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Last updated December, 3 2015 760.408 documents processed, 20.499.313 references and 8.066.571 citations

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

[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ]
[more data in EconPapers] [trace new citations] [Missing citations? Add them now] [Incorrect content? Let us know]

Main indicators


Raw data


IF AIF IF5 DOC CDO CCU CIF CIT D2Y C2Y D5Y C5Y %SC CiY II AII
19900.0814141246 (%)0.05
19910.0816302446 (%)0.05
19920.09144413048 (%)0.05
19930.030.10.02145810.0239301561 (%)0.05
19940.11462128681 (100%)0.05
19950.15127410.014218621 (2.4%)0.1
19960.130.190.0788240.051162604 (%)0.09
19970.050.20.04169820.02122015221 (8.3%)0.08
19980.040.210.092412280.07182415451 (5.6%)10.040.12
19990.050.270.082614880.05194026452 (10.5%)10.040.15
20000.10.360.1354202170.086550586114 (6.2%)30.060.14
20010.130.360.1138240260.113098010128143 (1%)20.050.17
20020.240.370.1632272300.11619222158261 (1.6%)20.060.18
20030.390.390.2126298520.17227027174371 (4.5%)10.040.18
20040.160.410.1943341460.13112589176347 (6.3%)90.210.18
20050.260.430.2636377650.17216918193511 (4.8%)20.060.22
20060.130.450.15377430.11791017527 (%)0.19
20070.380.15377480.133613720 (%)0.17
20080.380.12377580.15010513 (%)0.17
20090.350.18377500.1307914 (%)0.17
20100.320.06377420.110362 (%)0.15
20110.41377440.1200 (%)0.2
20120.46377470.1200 (%)0.21
20130.49377500.1300 (%)0.22
20140.56377620.1600 (%)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:


[Click on heading to sort table]

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

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248
2004The MIDAS Touch: Mixed Data Sampling Regression Models. (2004). Ghysels, Eric ; Valkanov, Rossen ; Santa-Clara, Pedro . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt9mf223rs.

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62
1993Agency and Asset Pricing. (1993). Brennan, Michael J.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt53k014sd.

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37
1989Facilitation of Competing Bids and the Price of a Takeover Target. (1989). . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt2496649g.

Full description at Econpapers || Download paper

25
2001An 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.

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24
2002East 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.

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21
1995An 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
2001The Components of Corporate Credit Spreads: Default, Recovery, Tax, Jumps, Liquidity, and Market Factors. (2001). Delianedis, Gordon ; Geske, Robert . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt32x284q3.

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14
2002Relative Pricing of Options with Stochastic Volatility. (2002). Ledoit, Olivier ; Yan, Shu ; Santa-Clara, Pedro . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt7jp8f42t.

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

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12
2000Stochastic 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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12
2004How Did It Happen?. (2004). Brennan, Michael J. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt1047x6kv.

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12
2000The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads. (2000). Longstaff, Francis A. ; Mandell, Ravit E. ; Liu, Jun . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt0zw4f9w6.

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11
1995Regime 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
1997Bond Pricing with Default Risk. (1997). Saa-Requejo, Jesus ; Santa-Clara, Pedro . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt3w71g2ch.

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9
1995Is 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
2002Electricity 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
2002Do Industries Lead the Stock Market? Gradual Diffusion of Information and Cross-Asset Return Predictability. (2002). 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
2002ELECTRICITY 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
2000Losing Money on Arbitrages: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities. (2000). Longstaff, Francis A ; Liu, Jun . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt48k8f97f.

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8
2001The 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
2004THE MARKET PRICE OF RISK IN INTEREST RATE SWAPS: THE ROLES OF DEFAULT AND LIQUIDITY RISKS. (2004). Longstaff, Francis A. ; Mandell, Ravit E. ; Liu, Jun . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt5z42g22g.

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

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6
2003Estimation and Test of a Simple Model of Intertemporal Capital Asset Pricing. (2003). Wang, Ashley W ; Xia, Yihong ; Brennan, Michael . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt20r0j5t8.

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

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6
2000Learning 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
1998Resolution of a Financial Puzzle. (1998). Brennan, Michael J. ; Xia, Yihong . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt5497w2bh.

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5
2004Bidding and Performance in Repo Auctions: Evidence from ECB Open Market Operations. (2004). Bindseil, Ulrich . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt9878h0kn.

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5
2000Valuation 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
2000Boundaries 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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5
2000The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence. (2000). Schwartz, Eduardo S ; 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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5
2005Risk 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
2001International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth!. (2001). Cochrane, John ; Santa-Clara, Pedro ; Brandt, Michael . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt1jw137zd.

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5
2001Financial 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
2004International Capital Markets and Foreign Exchange Risk. (2004). Brennan, Michael J. ; Xia, Yihong . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt53z0s29k.

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4
1999Can 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
1999Flexible 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
2004Strategic Behavior and Underpricing in Uniform Price Auctions: Evidence from Finnish Treasury Auctions. (2004). Nyborg, Kjell G. ; 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
2005Asset 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
2002Feedback and the Success. (2002). Subrahmanyam, Avanidhar ; Titman, Sheridan ; Hirshleifer, David . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt2b82s539.

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

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

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3
2000Electricity 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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3
2003Empirical 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
2003Changing 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
2000The 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
2005Using Option Pricing Theory to Infer About Historical Equity Premiums. (2005). Aase, Knut K. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt3dd602j5.

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2
2003Organization Capital and Intrafirm Communication. (2003). Chowdhry, Bhagwan ; GARMAISE, MARK J.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt8j01z46g.

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2
2005Corruption, Firm Governance, and the Cost of Capital. (2005). Liu, Jun ; Garmaise, Mark J. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt29403706.

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2
2002Financial Market Runs. (2002). Bernardo, Antonio E. ; Welch, Ivo . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt0zd313hf.

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2

50 most relevant documents in this series:


Papers most cited in the last two years. [Click on heading to sort table]

YearTitleCited
2001Valuing American Options by Simulation: A Simple Least-Squares Approach. (2001). Schwartz, Eduardo S ; 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

86
2004The MIDAS Touch: Mixed Data Sampling Regression Models. (2004). Ghysels, Eric ; Valkanov, Rossen ; Santa-Clara, Pedro . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt9mf223rs.

Full description at Econpapers || Download paper

33
2002East 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

11
1989Facilitation of Competing Bids and the Price of a Takeover Target. (1989). . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt2496649g.

Full description at Econpapers || Download paper

5
2001An 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

4
1993Agency and Asset Pricing. (1993). Brennan, Michael J.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt53k014sd.

Full description at Econpapers || Download paper

3
2002Do Industries Lead the Stock Market? Gradual Diffusion of Information and Cross-Asset Return Predictability. (2002). 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

3
2002Relative Pricing of Options with Stochastic Volatility. (2002). Ledoit, Olivier ; Yan, Shu ; Santa-Clara, Pedro . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt7jp8f42t.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2
2000Boundaries 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.

Full description at Econpapers || Download paper

2
2004The Cross-Section of Analyst Recommendations. (2004). Sorescu, Sorin . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt76x8k0cc.

Full description at Econpapers || Download paper

2

Citing documents used to compute impact factor 0:


[Click on heading to sort table]

YearTitleSee

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.