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University of California at Los Angeles, Anderson Graduate School of Management / Anderson Graduate School of Management, UCLA


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Impact Factor

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5-Years IF

12

5-Years H index

Main indicators


Raw data


IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.114141246 (%)0.06
19910.09163012446 (%)0.05
19920.11144413048 (%)0.06
19930.030.140.02145810.0241301561 (%)0.07
19940.12462128681 (100%)0.06
19950.16127410.014218621 (2.4%)0.1
19960.130.20.0788240.051162604 (%)0.09
19970.050.210.04169820.02142015221 (7.1%)0.09
19980.080.220.112412290.07192425461 (5.3%)10.040.13
19990.050.280.082614890.06204026452 (10%)10.040.16
20000.10.370.1354202170.087450586114 (5.4%)30.060.14
20010.140.360.1238240270.114048011128153 (%)20.050.17
20020.270.370.1832272340.13699225158291 (1.4%)20.060.18
20030.410.40.2326298550.18237029174401 (4.3%)10.040.19
20040.160.420.2243341510.15139589176397 (5%)90.210.19
20050.260.430.2736377670.18256918193531 (4%)20.060.21
20060.130.450.16377460.12791017528 (%)0.2
20070.030.390.15377500.1336113721 (%)0.17
20080.390.13377640.17010514 (%)0.17
20090.370.19377570.1507915 (%)0.18
20100.330.08377440.120363 (%)0.15
20110.41377510.1400 (%)0.2
20120.46377510.1400 (%)0.21
20130.5377590.1600 (%)0.21
20140.54377720.1900 (%)0.26
20150.6377690.1800 (%)0.3
IF: Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for series in RePEc in year y
IF5: Impact Factor: C5Y / D5Y
DOC: Number of documents published in year y
CDO: Cumulative number of documents published until year y
CCU: Cumulative number of citations to papers published until year y
CIF: Cumulative impact factor
CIT: Number of citations to papers published in year y
D2Y: Number of articles published in y-1 plus y-2
C2Y: Cites in y to articles published in y-1 plus y-2
D5Y: Number of articles published in y-1 until y-5
C5Y: Cites in y to articles published in y-1 until y-5
%SC: Percentage of selft citations in y to articles published in y-1 plus y-2
CiY: Cites in year y to documents published in year y
II: Immediacy Index: CiY / Documents.
AII: Average Immediacy Index for series in RePEc in year y

 

50 most cited documents in this series:


#YearTitleCited
12001Valuing American Options by Simulation: A Simple Least-Squares Approach. (2001). Longstaff, Francis A. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt43n1k4jb.

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336
22004The MIDAS Touch: Mixed Data Sampling Regression Models. (2004). Santa-Clara, Pedro ; Ghysels, Eric ; Valkanov, Rossen . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt9mf223rs.

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88
31993Agency and Asset Pricing. (1993). Brennan, Michael. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt53k014sd.

Full description at Econpapers || Download paper

39
42002East Asia and Europe During the 1997 Asian Collapse: A Clinical Study of a Financial Crisis. (2002). Chakrabarti, Rajesh ; Roll, Richard . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt09f9j331.

Full description at Econpapers || Download paper

29
51989Facilitation of Competing Bids and the Price of a Takeover Target. (1989). Hirshleifer, David. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt2496649g.

Full description at Econpapers || Download paper

28
62001An Econometric Model of the Yield Curve With Macroeconomic Jump Effects. (2001). Piazzesi, Monika . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt5946p7hn.

Full description at Econpapers || Download paper

25
71995An Analytic Solution for Interest Rate Swap Spreads. (1995). Grinblatt, Mark. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt9s13f3zx.

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21
82001The Components of Corporate Credit Spreads: Default, Recovery, Tax, Jumps, Liquidity, and Market Factors. (2001). Geske, Robert ; Delianedis, Gordon . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt32x284q3.

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19
92000The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads. (2000). LIU, JUN ; Longstaff, Francis A. ; Mandell, Ravit E.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt0zw4f9w6.

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13
102000Stochastic Correlation Across International Stock Markets. (2000). Ball, Clifford A. ; Torous, Walter N.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt6vn9q79w.

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13
112002Relative Pricing of Options with Stochastic Volatility. (2002). Yan, Shu ; Santa-Clara, Pedro ; Ledoit, Olivier. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt7jp8f42t.

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13
121998Credit Risk and Risk Neutral Default Probabilities: Information About Migrations and Defaults. (1998). Geske, Robert ; Delianedis, Gordon . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt7dm2d31p.

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12
132004How Did It Happen?. (2004). Brennan, Michael. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt1047x6kv.

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12
141995Regime Shifts in Short Term Riskless Interest Rates. (1995). Ball, Clifford A. ; Torous, Walter N.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt5hs021jf.

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11
151997Bond Pricing with Default Risk. (1997). Santa-Clara, Pedro ; Saa-Requejo, Jesus . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt3w71g2ch.

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10
161995Is Institutional Investment in Initial Public Offerings Related to Long-Run Performance of These Firms?. (1995). Field, Laura C.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt1136n8ps.

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9
172002Electricity Forward Prices: A High-Frequency Empirical Analysis. (2002). Wang, Ashley ; Longstaff, Francis . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt7mh2m2bt.

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8
182002ELECTRICITY FORWARD PRICES: A High-Frequency Empirical Analysis. (2002). Wang, Ashley ; Longstaff, Francis A. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt3mw4q41x.

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8
192002Do Industries Lead the Stock Market? Gradual Diffusion of Information and Cross-Asset Return Predictability. (2002). Hong, Harrison ; Valkanov, Rossen ; Torous, Walter . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt6x49x543.

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8
202000Losing Money on Arbitrages: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities. (2000). LIU, JUN ; Longstaff, Francis A. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt48k8f97f.

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8
212001The Disposition Effect and Momentum. (2001). han, bing ; Grinblatt, Mark. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt6qg5d62p.

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7
222000Boundaries of Predictability: Noisy Predictive Regressions. (2000). Valkanov, Rossen ; Torous, Walter . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt33p7672z.

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7
232004Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options. (2004). Yan, Shu ; Santa-Clara, Pedro. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt5dv8v999.

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7
242004THE MARKET PRICE OF RISK IN INTEREST RATE SWAPS: THE ROLES OF DEFAULT AND LIQUIDITY RISKS. (2004). LIU, JUN ; Longstaff, Francis A. ; Mandell, Ravit E.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt5z42g22g.

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7
252003Estimation and Test of a Simple Model of Intertemporal Capital Asset Pricing. (2003). Brennan, Michael ; Wang, Ashley W ; Xia, Yihong . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt20r0j5t8.

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6
262000The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence. (2000). Santa-Clara, Pedro ; Longstaff, Francis A. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt65f1914p.

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6
272000Learning About Predictability: The Effects of Parameter Uncertainty on Dynamic Asset Allocation. (2000). Xia, Yihong . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt3167f8mz.

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6
282004Dynamic Portfolio Selection by Augmenting the Asset Space. (2004). Santa-Clara, Pedro ; Brandt, Michael W.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt632436gt.

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6
292004Bidding and Performance in Repo Auctions: Evidence from ECB Open Market Operations. (2004). Strebulaev, Ilya ; Nyborg, Kjell ; Bindseil, Ulrich . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt9878h0kn.

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5
302005Risk and Return in Fixed Income Arbitage: Nickels in Front of a Steamroller?. (2005). Yu, Fan ; Duarte, Jefferson ; Longstaff, Francis A.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt6zx6m7fp.

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5
312000Valuation of Information Technology Investments as Real Options. (2000). Zozaya-Gorostiza, Carlos ; Schwartz, Eduardo S.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt4dv270zv.

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5
321998Resolution of a Financial Puzzle. (1998). Brennan, Michael ; Xia, Yihong . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt5497w2bh.

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5
332001International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth!. (2001). Santa-Clara, Pedro ; Cochrane, John ; Brandt, Michael . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt1jw137zd.

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5
342001Financial Distress as a Selection Mechanism: Evidence from the United States. (2001). Kahl, Matthias . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt0dg192r9.

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4
351999Can We Disentangle Risk Aversion from Intertemporal Substitution in Consumption. (1999). Schwartz, Eduardo ; Torous, Walter N.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt3qs6r307.

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4
362000Electricity prices and power derivatives: Evidence from the Nordic Power Exchange. (2000). Schwartz, Eduardo ; Lucia, Julio J.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt12w8v7jj.

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4
371999Flexible Multivariate GARCH Modeling With an Application to International Stock Markets. (1999). Wolf, Michael ; Santa-Clara, Pedro ; Ledoit, Olivier. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt93s6p8gb.

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4
382005Asset Pricing in Markets with Illiquid Assets. (2005). Longstaff, Francis A. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt2458g38x.

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4
392004International Capital Markets and Foreign Exchange Risk. (2004). Brennan, Michael ; Xia, Yihong . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt53z0s29k.

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4
402004Strategic Behavior and Underpricing in Uniform Price Auctions: Evidence from Finnish Treasury Auctions. (2004). Nyborg, Kjell ; Keloharju, Matti ; Rydqvist, Kristian . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt6v17p79w.

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4
412002Feedback and the Success. (2002). Subrahmanyam, Avanidhar ; Hirshleifer, David ; Titman, Sheridan . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt2b82s539.

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3
422005Dollar Cost Averaging. (2005). Brennan, Michael ; Li, Feifei ; Torous, Walt . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt53p0r65q.

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3
432003A Unifying Theory of Value Based Management. (2003). Weston, Fred J. ; Weaver, Samuel C.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt0xw5m9mz.

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3
442003Empirical TIPs. (2003). Roll, Richard . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt2nr4r8h4.

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3
452003Changing Motives for Share Repurchases. (2003). Weston, Fred J. ; Siu, Juan A.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt9146588t.

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3
461999The Cross Section of Expected Returns and its Relation to Past Returns: New Evidence. (1999). Grinblatt, Mark ; Moskowitz, Tobias J.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt1k67p66s.

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3
472002Does the term structure forecast. (2002). Berardi, Andrea ; Torous, Walter . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt4kd201gw.

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3
481999Approximate Arbitrage. (1999). Ledoit, Olivier ; Bernardo, Antonio . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt5dj834hk.

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3
492000The Feds Effect on Excess Returns and Inflation is Much Bigger Than You Think. (2000). Goto, Shingo . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt04f1z5hb.

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3
502003Bond Pricing with Default Risk. (2003). Santa-Clara, Pedro ; Hsu, Jason C. ; Saa-Requejo, Jesus . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt5bb1j39q.

Full description at Econpapers || Download paper

2

50 most relevant documents in this series (papers most cited in the last two years)


#YearTitleCited
12001Valuing American Options by Simulation: A Simple Least-Squares Approach. (2001). Longstaff, Francis A. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt43n1k4jb.

Full description at Econpapers || Download paper

120
22004The MIDAS Touch: Mixed Data Sampling Regression Models. (2004). Santa-Clara, Pedro ; Ghysels, Eric ; Valkanov, Rossen . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt9mf223rs.

Full description at Econpapers || Download paper

47
32002East Asia and Europe During the 1997 Asian Collapse: A Clinical Study of a Financial Crisis. (2002). Chakrabarti, Rajesh ; Roll, Richard . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt09f9j331.

Full description at Econpapers || Download paper

13
41989Facilitation of Competing Bids and the Price of a Takeover Target. (1989). Hirshleifer, David. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt2496649g.

Full description at Econpapers || Download paper

8
52002Relative Pricing of Options with Stochastic Volatility. (2002). Yan, Shu ; Santa-Clara, Pedro ; Ledoit, Olivier. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt7jp8f42t.

Full description at Econpapers || Download paper

3
61993Agency and Asset Pricing. (1993). Brennan, Michael. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt53k014sd.

Full description at Econpapers || Download paper

2
72001An Econometric Model of the Yield Curve With Macroeconomic Jump Effects. (2001). Piazzesi, Monika . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt5946p7hn.

Full description at Econpapers || Download paper

2
82002Do Industries Lead the Stock Market? Gradual Diffusion of Information and Cross-Asset Return Predictability. (2002). Hong, Harrison ; Valkanov, Rossen ; Torous, Walter . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt6x49x543.

Full description at Econpapers || Download paper

2

Citing documents used to compute impact factor 0:


YearTitle

Recent citations (cites in year: CiY)


10 most frequent citing series


#SeriesCites

Warning!! This is still an experimental service. The results of this service should be interpreted with care, especially in research assessment exercises. The processing of documents is automatic. There still are errors and omissions in the identification of references. We are working to improve the software to increase the accuracy of the results.

Source data used to compute the impact factor of RePEc series.

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 1 2016. Contact: CitEc Team