University of California at Los Angeles, Anderson Graduate School of Management / Anderson Graduate School of Management, UCLA
Citation Profile [Updated: 2024-12-09 13:41:37]
5 Years H Index
16
Impact Factor (IF)
0
5 Years IF
0
Data available in this
report
[Raw
data] [50 most cited papers]
[50 most relevant papers]
[cites used to compute IF]
[Recent
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Main indicators
Raw Data
| IF | AIF | CIF | IF5 | DOC | CDO | CIT | NCI | CCU | D2Y | C2Y | D5Y | C5Y | SC | %SC | CiY | II | AII | |
| 1990 | 0 | 0.17 | 0 | 0 | 7 | 7 | 0 | 0 | 6 | 23 | 0 | 0 | 0.1 | |||||
| 1991 | 0 | 0.15 | 0 | 0 | 8 | 15 | 4 | 0 | 12 | 23 | 0 | 0 | 0.1 | |||||
| 1992 | 0 | 0.13 | 0 | 0 | 7 | 22 | 1 | 0 | 15 | 24 | 0 | 0 | 0.09 | |||||
| 1993 | 0.07 | 0.17 | 0.1 | 0.07 | 7 | 29 | 101 | 3 | 3 | 15 | 1 | 28 | 2 | 0 | 0 | 0.1 | ||
| 1994 | 0 | 0.17 | 0 | 0 | 2 | 31 | 1 | 3 | 14 | 34 | 0 | 0 | 0.08 | |||||
| 1995 | 0.11 | 0.22 | 0.05 | 0.03 | 6 | 37 | 52 | 2 | 5 | 9 | 1 | 31 | 1 | 0 | 0 | 0.13 | ||
| 1996 | 0.38 | 0.25 | 0.15 | 0.17 | 4 | 41 | 3 | 6 | 11 | 8 | 3 | 30 | 5 | 0 | 0 | 0.14 | ||
| 1997 | 0.1 | 0.27 | 0.08 | 0.08 | 8 | 49 | 17 | 4 | 15 | 10 | 1 | 26 | 2 | 0 | 0 | 0.15 | ||
| 1998 | 0.17 | 0.32 | 0.2 | 0.3 | 12 | 61 | 50 | 12 | 27 | 12 | 2 | 27 | 8 | 1 | 8.3 | 1 | 0.08 | 0.18 |
| 1999 | 0.1 | 0.39 | 0.12 | 0.16 | 13 | 74 | 33 | 9 | 36 | 20 | 2 | 32 | 5 | 1 | 11.1 | 1 | 0.08 | 0.26 |
| 2000 | 0.28 | 0.54 | 0.19 | 0.33 | 27 | 101 | 140 | 18 | 55 | 25 | 7 | 43 | 14 | 6 | 33.3 | 4 | 0.15 | 0.25 |
| 2001 | 0.4 | 0.49 | 0.34 | 0.33 | 19 | 120 | 1154 | 40 | 96 | 40 | 16 | 64 | 21 | 5 | 12.5 | 4 | 0.21 | 0.28 |
| 2002 | 0.8 | 0.54 | 0.36 | 0.52 | 17 | 137 | 113 | 48 | 145 | 46 | 37 | 79 | 41 | 4 | 8.3 | 2 | 0.12 | 0.31 |
| 2003 | 1.11 | 0.53 | 0.55 | 0.7 | 13 | 150 | 51 | 82 | 227 | 36 | 40 | 88 | 62 | 0 | 1 | 0.08 | 0.3 | |
| 2004 | 0.53 | 0.6 | 0.51 | 0.7 | 22 | 172 | 491 | 88 | 315 | 30 | 16 | 89 | 62 | 6 | 6.8 | 9 | 0.41 | 0.36 |
| 2005 | 0.8 | 0.6 | 0.57 | 0.81 | 18 | 190 | 74 | 109 | 424 | 35 | 28 | 98 | 79 | 6 | 5.5 | 2 | 0.11 | 0.37 |
| IF: | Two years Impact Factor: C2Y / D2Y |
| AIF: | Average Impact Factor for all series in RePEc in year y |
| CIF: | Cumulative impact factor |
| IF5: | Five years Impact Factor: C5Y / D5Y |
| DOC: | Number of documents published in year y |
| CDO: | Cumulative number of documents published until year y |
| CIT: | Number of citations to papers published in year y |
| NCI: | Number of citations in year y |
| CCU: | Cumulative number of citations to papers published until 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: | selft citations in y to articles published in y-1 plus y-2 |
| %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). 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 | 965 |
| 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 | 398 |
| 3 | 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 | 87 |
| 4 | 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 | 78 |
| 5 | 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 | 59 |
| 6 | 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 | 46 |
| 7 | 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 | 41 |
| 8 | 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 | 34 |
| 9 | 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 | 30 |
| 10 | 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 | 25 |
| 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 | 22 |
| 12 | 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 | 20 |
| 13 | 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 | 20 |
| 14 | 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 | 18 |
| 15 | 2005 | Corruption, 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. Full description at Econpapers || Download paper | 17 |
| 16 | 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 | 17 |
| 17 | 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 | 14 |
| 18 | 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 | 14 |
| 19 | 1993 | Private vs. Public Lending: Evidence from Covenants. (1993). Tuckman, Bruce ; Kahan, Marcel . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt1xw4w7sk. Full description at Econpapers || Download paper | 13 |
| 20 | 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 |
| 21 | 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 | 11 |
| 22 | 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 |
| 23 | 2005 | The Joint Dynamics of Liquidity, Returns, and Volatility Across Small and Large Firms. (2005). Subrahmanyam, Avanidhar ; Sarkar, Asani ; Chordia, Tarun . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt6z81z2wc. Full description at Econpapers || Download paper | 11 |
| 24 | 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 | 11 |
| 25 | 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 | 11 |
| 26 | 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 | 11 |
| 27 | 2003 | Risk and Valuation Under an Intertemporal. (2003). Brennan, Michael ; Xia, Yihong . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt98x741b1. Full description at Econpapers || Download paper | 10 |
| 28 | 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 |
| 29 | 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 | 10 |
| 30 | 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 | 9 |
| 31 | 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 | 9 |
| 32 | 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 | 9 |
| 33 | 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 | 9 |
| 34 | 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 | 9 |
| 35 | 2001 | Dynamic Choice and Risk Aversion. (2001). LIU, JUN. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt36v1d9zg. Full description at Econpapers || Download paper | 8 |
| 36 | 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 | 8 |
| 37 | 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 | 8 |
| 38 | 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 | 8 |
| 39 | 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 | 7 |
| 40 | 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 | 7 |
| 41 | 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 | 7 |
| 42 | 1993 | The Blind Leading the Blind: Social Influence, Fads, and Informational Cascades. (1993). Hirshleifer, David. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt8wz980p5. Full description at Econpapers || Download paper | 7 |
| 43 | 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 | 7 |
| 44 | 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 | 7 |
| 45 | 2005 | Information, Diversification, and Cost of Capital. (2005). LIU, JUN ; Hughes, John S. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt82j2d59r. Full description at Econpapers || Download paper | 7 |
| 46 | 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 | 7 |
| 47 | 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 | 7 |
| 48 | 2003 | A Model of R&D Valuation and the Design of Research Incentives. (2003). Schwartz, Eduardo S. ; Hsu, Jason C.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt28j7c9r4. Full description at Econpapers || Download paper | 6 |
| 49 | 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 | 6 |
| 50 | 1986 | Common Factors in the Serial Correlation of Stock Returns. (1986). Fama, Eugene F. ; French, Kenneth R.. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt2jf8r7n7. Full description at Econpapers || Download paper | 6 |
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). 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 | 149 |
| 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 | 84 |
| 3 | 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 | 7 |
| 4 | 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 | 4 |
| 5 | 2005 | The Joint Dynamics of Liquidity, Returns, and Volatility Across Small and Large Firms. (2005). Subrahmanyam, Avanidhar ; Sarkar, Asani ; Chordia, Tarun . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt6z81z2wc. Full description at Econpapers || Download paper | 3 |
| 6 | 2005 | Corruption, 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. Full description at Econpapers || Download paper | 2 |
| 7 | 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 | 2 |
| 8 | 2001 | Portfolio Optimization with Many Assets: The Importance of Short-Selling. (2001). Levy, Moshe ; Ritov, Yaacov. In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt41x4t67m. Full description at Econpapers || Download paper | 2 |
| 9 | 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 |
| 10 | 2000 | Dynamic Asset Allocation under Inflation. (2000). Brennan, Michael ; Xia, Yihong . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt8p95456t. Full description at Econpapers || Download paper | 2 |
| 11 | 1993 | Private vs. Public Lending: Evidence from Covenants. (1993). Tuckman, Bruce ; Kahan, Marcel . In: University of California at Los Angeles, Anderson Graduate School of Management. RePEc:cdl:anderf:qt1xw4w7sk. Full description at Econpapers || Download paper | 2 |
Citing documents used to
compute impact factor:
| Year | Title |
|---|
Recent citations
10 most frequent citing series