Data

 

 

Note: The data shows large liquidity shocks during the recent financial crisis, mostly in September 2008 (Lehman Brothers), March 2008 (Bear Stearns), and August 2007. Click here to see the plot of the aggregate liquidity series.

 

 

Note: In 2012-2013, Vanguard migrated 16 funds, including their largest fund, to the new CRSP Indexes. Press releases: Vanguard. CRSP.

 

Papers

 

 

Online Appendix to accompany the paper.

 

 

Featured in VOX (March 31, 2014).

Video: Capital Ideas, Chicago Booth, September 2014.

 

 

Data Appendix to accompany the paper (dataset construction).

Online Appendix to accompany the paper (additional robustness results).

 

A one-page summary, Capital Ideas, March 2014.

Video: The Big Question, Chicago Booth, August 2014.

 

Winner of the 2014 Best Paper Award, Rothschild Caesarea Center 11th Annual Academic Conference.

Winner of the 2013 Marshall Blume Prize in Financial Research for the best Wharton working paper (honorable mention).

 

Featured in the NBER Digest (June 2014), Capital Ideas (Summer 2014), Wall Street Journal (February 22, 2014), Morningstar’s Rekenthaler Report (a four-part series: Part 1, Part 2, Part 3, Part 4), CNN Money (March 2, 2014), Knowledge @ Wharton (April 29, 2014), Bankrate (May 2, 2014),  Seeking Alpha (February 19, 2014), International Financing Review (February 26, 2014), Parkiet (February 25, 2014; in Polish).

 

 

 

Technical Appendix to accompany the paper.

 

Featured in the Wall Street Journal (December 6, 2012), Wall Street Journal (November 5, 2011), Bloomberg (November 9, 2011), and Gewinn (January 2012; in German).

 

Video of the presentation at the 2012 UWFC.

 

 

Featured in the Financial Times (February 19, 2011), Institutional Investor (February 18, 2011), Knowledge@Wharton (February 2, 2011), Bloomberg (March 7, 2012), Capital Ideas (May 2012), Investment Europe (June 8, 2012), and Luxemburger Wort (November 14, 2012; in German).

 

 

Winner of the Smith Breeden Prize for the best paper on capital markets in the Journal of Finance (Distinguished Paper).

Featured in Fox Business (June 29, 2010).

 

Technical Appendix to accompany the paper.

 

 

Winner of the 2012 Whitebox Advisors Selected Research Prize for the best financial research of the year.

Winner of the 2008 Q Group Research Award.

Finalist for the Smith Breeden Prize for the best paper on capital markets in the Journal of Finance.

Finalist for the 2012 TIAA-CREF Paul A. Samuelson Award.

 

Summarized in FAMe (Finance and Accounting Memos), Issue 1, 2014.

Featured in the New York Times (March 29, 2009), Investment News (May 24, 2009), Dow Jones Newswires (February 18, 2009), New York Times (July 18, 2010), Bloomberg Businessweek (February 2, 2011), Marketwatch (July 15, 2011), Fama-French Forum (December 14, 2009), Capital Ideas (May 2012), New York Post (June 19, 2012), Absolute Return (June 19, 2012), Reuters (June 29, 2012).

 

TV interview on Consuelo Mack’s Wealthtrack, May 27, 2011.

TV interview on Fox Business News, June 27, 2012.

Interview on tastytrade, September 5, 2014.

 

Technical Appendix to accompany the paper.

 

 

Winner of the Barclays Global Investors Prize for the best paper at the 2006 European Finance Association Conference.

Featured in the Chicago GSB Capital Ideas (October 2007) and the Economist Intelligence Unit.

 

Technical Appendix to accompany the paper.

 

 

Winner of the Goldman Sachs Asset Management Award for the best paper in empirical investments at the 2007 Western Finance Association conference.

 

Technical Appendix to accompany the paper.

 

 

Winner of the NASDAQ Award for the best paper on capital formation at the 2008 Western Finance Association conference.

Featured in the Forbes Magazine (February 12, 2007).

 

Technical Appendix to accompany the paper.

 

 

Featured in the Investor’s Chronicle (February 2, 2009).

 

 

 

Winner of the Fama/DFA Prize for the best paper in the Journal of Financial Economics in the Areas of Capital Markets and Asset Pricing (second prize).

Read the synopsis of the article at SmartEconomist.com.

 

Unpublished Technical Appendix to accompany the paper.

 

 

Finalist for the Smith Breeden Prize for the best paper in the Journal of Finance.

 

Finalist for the Smith Breeden Prize for the best paper in the Journal of Finance.

Lead article.

Featured in the Time Magazine (June 9, 2003), the New York Times (Jan 5, 2003), and the Barron’s (Dec 23, 2002).

 

Our mutual fund selection model can be implemented in real time on MUTUALdecision.com.

 

Winner of the Smith Breeden Prize for the best paper on capital markets in the Journal of Finance (First Prize).

Lead article.

A small inconsequential typo.

 

Updated liquidity risk factor data (through December 2013).

 

Featured in the New York Times (Dec 28, 2008, as well as Aug 5, 2001).

 

Featured in the New York Times (April 2, 2000).

 

Winner of the Fama/DFA Prize for the best paper in the Journal of Financial Economics in the Areas of Capital Markets and Asset Pricing (second prize).

Winner of the Geewax, Terker, & Co. Prize in Investment Research for the best Wharton working paper (honorable mention).

Lead article.

 

 

Winner of the Geewax, Terker, & Co. Prize in Investment Research for the best Wharton working paper (first prize).

 

Lead article.

 

Finalist for the Smith Breeden Prize for the best paper in the Journal of Finance.

 

Finalist for the Brattle Prize for the best corporate finance paper in the Journal of Finance.

 

 

Other Publications

 

 

 

 

 

 

 


 

Google Scholar profile.

 


Click here for expert advice on how to write a lot of papers.



 
 

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