Amit Goyal

Department of Finance, Faculty of Business and Economics

University of Lausanne and Swiss Finance Institute

Building Extranef 234

1015 Lausanne, Switzerland

Tel: +41 21 692 3676

Fax: +41 21 692 3435

Voip: +1 404 592 9906

E-mail: amit.goyal@unil.ch

Curriculum Vita

Published Papers

• Empirical Cross-Sectional Asset Pricing: A Survey,” March 2012, Financial Markets and Portfolio Management 26(1), 3‒38. (invited non-refereed article)
• Performance Persistence in Institutional Investment Management, (with Jeff Busse and Sunil Wahal), April 2010, Journal of Finance 65(2), 765-790.
• Cross-Section of Option Returns and Volatility, (with Alessio Saretto), November 2009, Journal of Financial Economics 94(2), 310-326.
• Liquidity and the Post-Earnings-Announcement-Drift, (with Tarun Chordia, Gil Sadka, Ronnie Sadka, and Lakshmanan Shivakumar), July/August 2009, Financial Analyst Journal 65(4), 18-32.
• How Common are Common Return Factors Across Nyse and Nasdaq?, (with Christophe Pérignon and Christophe Villa), December 2008, Journal of Financial Economics 90(3), 252-271.
• The Selection and Termination of Investment Managers by Plan Sponsors, (with Sunil Wahal), August 2008, Journal of Finance 63(4) 1805-1847.
• A Comprehensive Look at the Empirical Performance of Equity Premium Prediction (with Ivo Welch), July 2008, Review of Financial Studies 21(4) 1455-1508. [Michael Brennan Award for Best Paper at the Review of Financial Studies]

• Original data (up to 2005) used in the paper
• Updated data (up to 2010)
• Here is an update of the tables in the paper with data upto 2009
• Many people had asked us to run a variety of robustness checks. Most of these were not included in the paper. Here is an appendix including all the results.

• This is the updated version of this appendix (with data upto 2009)

• Growth Options, Beta, and the Cost of Capital, (with Antonio Bernardo and Bhagwan Chowdhry), Summer 2007, Financial Management 36(2), 5-17.
• The Impact of Trades on Daily Volatility, (with Doron Avramov and Tarun Chordia), Winter 2006, Review of Financial Studies 19(4), 1241-1277.
• Liquidity and Autocorrelations in Individual Stock Returns, (with Doron Avramov and Tarun Chordia), October 2006, Journal of Finance 61(5), 2365-2394.
• A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability, (with Michael W. Brandt, Pedro Santa-Clara, and Jonathan R. Stroud), Fall 2005, Review of Financial Studies 18(3), 831-873.
• Demographics, Stock Market Flows, and Stock Returns, March 2004, Journal of Financial and Quantitative Analysis 39(1), 115-142.
• Idiosyncratic Risk Matters!, (with Pedro Santa-Clara), June 2003, Journal of Finance 58(3), 975-1007.
• Predicting the Equity Premium with Dividend Ratios, (with Ivo Welch), May 2003, Management Science 49(5), 639-654.
• Understanding the Financial Crisis in Asia, (with Bhagwan Chowdhry), May 2000, Pacific-Basin Finance Journal 8(2), 135-152.

Working Papers

• Is Momentum an Echo?, (with Sunil Wahal), September 2011.
• Buyers Versus Sellers: Who Initiates Trades And When?, (with Tarun Chordia and Narsimhan Jegadeesh), August 2011.
• Investing in a Global World, (with Jeff Busse and Sunil Wahal), May 2011.
• Pairwise Correlations, (with Tarun Chordia and Qing Tong), April 2011.
• A Note on “Predicting Returns with Financial Ratios,” (with Ivo Welch), 2003.
• The Long-Run Stock Performance of Financially Distressed Firms: An Empirical Investigation, (with Matthias Kahl and Walter N. Torous), 2003.
• Predictability of Stock Return Volatility from GARCH Models, 2000.

Last modified: May 11, 2011