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

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

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
1990		0.1		14	14				12		46		(%)			0.06
1991		0.09		16	30			1	24		46		(%)			0.05
1992		0.11		14	44			1	30		48		(%)			0.06
1993	0.03	0.14	0.02	14	58	1	0.02	41	30	1	56	1	(%)			0.07
1994		0.12		4	62			1	28		68		1 (100%)			0.06
1995		0.16		12	74	1	0.01	42	18		62		1 (2.4%)			0.1
1996	0.13	0.2	0.07	8	82	4	0.05	1	16	2	60	4	(%)			0.09
1997	0.05	0.21	0.04	16	98	2	0.02	14	20	1	52	2	1 (7.1%)			0.09
1998	0.08	0.22	0.11	24	122	9	0.07	19	24	2	54	6	1 (5.3%)	1	0.04	0.13
1999	0.05	0.28	0.08	26	148	9	0.06	20	40	2	64	5	2 (10%)	1	0.04	0.16
2000	0.1	0.37	0.13	54	202	17	0.08	74	50	5	86	11	4 (5.4%)	3	0.06	0.14
2001	0.14	0.36	0.12	38	240	27	0.11	404	80	11	128	15	3 (%)	2	0.05	0.17
2002	0.27	0.37	0.18	32	272	34	0.13	69	92	25	158	29	1 (1.4%)	2	0.06	0.18
2003	0.41	0.4	0.23	26	298	55	0.18	23	70	29	174	40	1 (4.3%)	1	0.04	0.19
2004	0.16	0.42	0.22	43	341	51	0.15	139	58	9	176	39	7 (5%)	9	0.21	0.19
2005	0.26	0.43	0.27	36	377	67	0.18	25	69	18	193	53	1 (4%)	2	0.06	0.21
2006	0.13	0.45	0.16		377	46	0.12		79	10	175	28	(%)			0.2
2007	0.03	0.39	0.15		377	50	0.13		36	1	137	21	(%)			0.17
2008		0.39	0.13		377	64	0.17		0		105	14	(%)			0.17
2009		0.37	0.19		377	57	0.15		0		79	15	(%)			0.18
2010		0.33	0.08		377	44	0.12		0		36	3	(%)			0.15
2011		0.41			377	51	0.14		0		0		(%)			0.2
2012		0.46			377	51	0.14		0		0		(%)			0.21
2013		0.5			377	59	0.16		0		0		(%)			0.21
2014		0.54			377	72	0.19		0		0		(%)			0.26
2015		0.6			377	69	0.18		0		0		(%)			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:

#	Year	Title	Cited
1	2001	Valuing 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	336
2	2004	The 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	88
3	1993	Agency 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
4	2002	East 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
5	1989	Facilitation 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
6	2001	An 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
7	1995	An 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. Full description at Econpapers \|\| Download paper	21
8	2001	The 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. Full description at Econpapers \|\| Download paper	19
9	2000	The 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. Full description at Econpapers \|\| Download paper	13
10	2000	Stochastic 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. Full description at Econpapers \|\| Download paper	13
11	2002	Relative 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	13
12	1998	Credit 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. Full description at Econpapers \|\| Download paper	12
13	2004	How Did It Happen?. (2004). Brennan, Michael. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt1047x6kv. Full description at Econpapers \|\| Download paper	12
14	1995	Regime 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. Full description at Econpapers \|\| Download paper	11
15	1997	Bond 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. Full description at Econpapers \|\| Download paper	10
16	1995	Is 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. Full description at Econpapers \|\| Download paper	9
17	2002	Electricity 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. Full description at Econpapers \|\| Download paper	8
18	2002	ELECTRICITY 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. Full description at Econpapers \|\| Download paper	8
19	2002	Do 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	8
20	2000	Losing 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. Full description at Econpapers \|\| Download paper	8
21	2001	The 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. Full description at Econpapers \|\| Download paper	7
22	2000	Boundaries 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	7
23	2004	Jump 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. Full description at Econpapers \|\| Download paper	7
24	2004	THE 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. Full description at Econpapers \|\| Download paper	7
25	2003	Estimation 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. Full description at Econpapers \|\| Download paper	6
26	2000	The 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. Full description at Econpapers \|\| Download paper	6
27	2000	Learning 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. Full description at Econpapers \|\| Download paper	6
28	2004	Dynamic 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. Full description at Econpapers \|\| Download paper	6
29	2004	Bidding 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. Full description at Econpapers \|\| Download paper	5
30	2005	Risk 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. Full description at Econpapers \|\| Download paper	5
31	2000	Valuation 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. Full description at Econpapers \|\| Download paper	5
32	1998	Resolution 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. Full description at Econpapers \|\| Download paper	5
33	2001	International 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. Full description at Econpapers \|\| Download paper	5
34	2001	Financial 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. Full description at Econpapers \|\| Download paper	4
35	1999	Can 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. Full description at Econpapers \|\| Download paper	4
36	2000	Electricity 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. Full description at Econpapers \|\| Download paper	4
37	1999	Flexible 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. Full description at Econpapers \|\| Download paper	4
38	2005	Asset 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. Full description at Econpapers \|\| Download paper	4
39	2004	International 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. Full description at Econpapers \|\| Download paper	4
40	2004	Strategic 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. Full description at Econpapers \|\| Download paper	4
41	2002	Feedback 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. Full description at Econpapers \|\| Download paper	3
42	2005	Dollar 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. Full description at Econpapers \|\| Download paper	3
43	2003	A 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. Full description at Econpapers \|\| Download paper	3
44	2003	Empirical TIPs. (2003). Roll, Richard . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt2nr4r8h4. Full description at Econpapers \|\| Download paper	3
45	2003	Changing 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. Full description at Econpapers \|\| Download paper	3
46	1999	The 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. Full description at Econpapers \|\| Download paper	3
47	2002	Does 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. Full description at Econpapers \|\| Download paper	3
48	1999	Approximate Arbitrage. (1999). Ledoit, Olivier ; Bernardo, Antonio . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt5dj834hk. Full description at Econpapers \|\| Download paper	3
49	2000	The 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. Full description at Econpapers \|\| Download paper	3
50	2003	Bond 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)

#	Year	Title	Cited
1	2001	Valuing 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
2	2004	The 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
3	2002	East 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
4	1989	Facilitation 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
5	2002	Relative 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
6	1993	Agency 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
7	2001	An 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
8	2002	Do 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:

Year	Title

Recent citations (cites in year: CiY)

10 most frequent citing series

#		Series	Cites

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.