Department of Finance
Faculty of Business and Economics
University of Lausanne and Swiss Finance Institute
Building Extranef 226
1015 Lausanne, Switzerland
Tel: +41 21 692 3676
Fax: +41 21 692 3435
E-mail: amit.goyal@unil.ch
Embedded Files
Main publications
Goyal, Amit, Sunil Wahal, and M. Deniz Yavuz, November 2025, Picking Partners: Manager Selection in Private Markets, forthcoming Journal of Financial Economics.
Goyal, Amit, Narasimhan Jegadeesh, and Yanbin Wu, November 2025, Price Impact in Closing Auctions, Opening Auctions, and Continuous Markets: A Benchmark for Cost of Trading on Anomalies, forthcoming Journal of Financial and Quantitative Analysis.
Cao, Jie, Amit Goyal, Xintong Zhan, and Weiming Zhang, August 2025, Unlocking ESG Premium from Options, forthcoming Journal of Financial and Quantitative Analysis.
Boulatov, Alexei, Assaf Eisdorfer, Amit Goyal, and Alexei Zhdanov, June 2025, Cheap Option Are Expensive, forthcoming Review of Asset Pricing Studies.
Goyal, Amit, Adam V. Reed, Esad Smajlbegovic, and Amar Soebhag, October 2025, Stealthy Shorts: Informed Liquidity Supply, Journal of Financial Economics 172, 104155.
Alexiou, Lykourgos, Amit Goyal, Alexandros Kostakis, and Leonidas Rompolis, July 2025, Pricing Event Risk: Evidence from Concave Implied Volatility Curves, Review of Finance 29(4), 963–1007.
Goyal, Amit, and Alessio Saretto, June 2025, Can Equity Option Returns Be Explained by a Factor Model? IPCA Says Yes, Review of Financial Studies 38(6), 1783–1821.
Goyal, Amit, Narasimhan Jegadeesh, and Avanidhar Subrahmanyam, January 2025, Empirical Determinants of Momentum: A Perspective Using International Data, Review of Finance 29(1), 241–273.
Goyal, Amit, Sunil Wahal, and M. Deniz Yavuz, December 2024, Choosing Investment Managers, Journal of Financial and Quantitative Analysis 59(8), 3531–3563.
Goyal, Amit, Ivo Welch, and Athanasse Zafirov, November 2024, A Comprehensive 2022 Look at the Empirical Performance of Equity Premium Prediction, Review of Financial Studies 37(11), 3490–3557.
Data (up to 2021) in matlab format and zipped csv format.
Data (up to 2024) in matlab format and zipped csv format.
All data up to 2024 (includes data from GW (2008) and GWZ (2024) in one file) in excel format but only the full-sample version.
Cao, Jie, Amit Goyal, Sai Ke, and Xintong Zhan, June 2024, Option Trading and Stock Price Informativeness, Journal of Financial and Quantitative Analysis 59(4), 1516–1540.
Cao, Jie, Amit Goyal, Xiao Xiao, and Xintong Zhan, March 2023, Implied Volatility Changes and Corporate Bond Returns, Management Science 69(3), 1375–1397.
Chordia, Tarun, Amit Goyal, and Alessio Saretto, May 2020, Anomalies and False Rejections, Review of Financial Studies 33(5), 2134‒2179.
Eisdorfer, Assaf, Amit Goyal, and Alexei Zhdanov, April 2019, Equity Misvaluation and Default Options, Journal of Finance 72(4), 845‒898.
Goyal, Amit, and Narasimhan Jegadeesh, May 2018, Cross-Sectional and Time-Series Tests of Return Predictability: What is the Difference? Review of Financial Studies 31(5), 1784‒1824.
Chordia, Tarun, Amit Goyal, Yoshio Nozawa, Avanidhar Subrahmanyam, and Qing Tong, August 2017, Are Capital Market Anomalies Common to Equity and Corporate Bond Markets? An Empirical Investigation, Journal of Financial and Quantitative Analysis 52(4), 1301‒1342.
Chordia, Tarun, Amit Goyal, and Narasimhan Jegadeesh, October 2016, Buyers Versus Sellers: Who Initiates Trades and When?Journal of Financial and Quantitative Analysis 51(5), 1467‒1490.
Goyal, Amit, and Sunil Wahal, December 2015, Is Momentum an Echo? Journal of Financial and Quantitative Analysis 50(6), 1237‒1267.
Busse, Jeffrey A., Amit Goyal, and Sunil Wahal, April 2014, Investing in a Global World, Review of Finance 18(2), 561‒590. [Spängler IQAM Best Paper in Investments Prize at the Review of Finance]
Busse, Jeffrey A., Amit Goyal, and Sunil Wahal, April 2010, Performance Persistence in Institutional Investment Management, Journal of Finance 65(2), 765‒790.
Goyal, Amit, and Alessio Saretto, November 2009, Cross-Section of Option Returns and Volatility, Journal of Financial Economics 94(2), 310‒326.
Goyal, Amit, Christophe Pérignon, and Christophe Villa, December 2008, How Common are Common Return Factors Across Nyse and Nasdaq? Journal of Financial Economics 90(3), 252‒271.
Goyal, Amit, and Sunil Wahal, August 2008, The Selection and Termination of Investment Managers by Plan Sponsors, Journal of Finance 63(4) 1805‒1847.
Goyal, Amit, and Ivo Welch, July 2008, A Comprehensive Look at the Empirical Performance of Equity Premium Prediction 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 2024) (From 2022, data on lty from FRED, data on ltr/corpr from Bloomberg indices)
Avramov, Doron, Tarun Chordia, and Amit Goyal, Winter 2006, The Impact of Trades on Daily Volatility, Review of Financial Studies 19(4), 1241‒1277.
Avramov, Doron, Tarun Chordia, and Amit Goyal, October 2006, Liquidity and Autocorrelations in Individual Stock Returns, Journal of Finance 61(5), 2365‒2394.
Brandt, Michael W., Amit Goyal, Pedro Santa-Clara, and Jonathan R. Stroud, Fall 2005, A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability, 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.
Goyal, Amit, and Pedro Santa-Clara, June 2003, Idiosyncratic Risk Matters! Journal of Finance 58(3), 975‒1007.
Goyal, Amit, and Ivo Welch, May 2003, Predicting the Equity Premium with Dividend Ratios, Management Science 49(5), 639‒654.
Other publications
Amit Goyal, Avanidhar Subrahmanyam, and Bhaskaran Swaminathan, October 2023, Illiquidity and the Cost of Equity Capital: Evidence from Actual Estimates of Capital Cost for U.S. Data, Review of Financial Economics 41(4), 364‒391.
Goyal, Amit, Ramon Tol, and Sunil Wahal, 2023, Forbearance in Institutional Investment Management: Evidence from Survey Data, Financial Analyst Journal 79(2), 7‒20.
Eisdorfer, Assaf, Amit Goyal, and Alexei Zhdanov, Fall 2018, Distress Anomaly and Shareholder Risk: International Evidence, Financial Management 47(3), 553‒581.
Goyal, Amit, Antti Ilmanen, and David Kabiller, 2015, Bad Habits and Good Practices, Journal of Portfolio Management 41(4), 97‒107.
Ang, Andrew, Amit Goyal, and Antti Ilmanen, Fall 2014, Asset Allocation and Bad Habits, Rotman International Journal of Pension Management 7(2), 16‒27.
Bernardo, Antonio, Bhagwan Chowdhry, and Amit Goyal, Summer 2012, Assessing Project Risk, Journal of Applied Corporate Finance 24(3), 94‒100.
Empirical Cross-Sectional Asset Pricing: A Survey, March 2012, Financial Markets and Portfolio Management 26(1), 3‒38. (invited non-refereed article)
Chordia, Tarun, Amit Goyal, Gil Sadka, Ronnie Sadka, and Lakshmanan Shivakumar, July/August 2009, Liquidity and the Post-Earnings-Announcement-Drift, Financial Analyst Journal 65(4), 18‒32.
Bernardo, Antonio, Bhagwan Chowdhry, and Amit Goyal, Summer 2007, Growth Options, Beta, and the Cost of Capital, Financial Management 36(2), 5‒17.
Chowdhry, Bhagwan, and Amit Goyal, May 2000, Understanding the Financial Crisis in Asia, Pacific-Basin Finance Journal 8(2), 135‒152.
Working papers
Goyal, Goyal, Yoshio Nozawa, and Yancheng Qiu, November 2025, On The Drivers of Corporate Bond Lending.
Bali, Turan G., Amit Goyal, Mathis Mörke, and Florian Weigert, December 2025, In Search of Seasonality in Intraday and Overnight Option Returns.
Cao, Jie, Amit Goyal, Yajing Wang, Xintong Zhan, and Weiming Zhang, July 2025, Opioid Crisis and Firm Downside Tail Risks: Evidence from the Option Market.
Goyal, Amit, and Sunil Wahal, July 2024, R&D, Innovation, and the Stock Market.
Bali, Turan G., Heiner Beckmeyer, and Amit Goyal, March 2024, A Joint Factor Model for Bonds, Stocks, and Options.
Permanent working papers
Bali, Turan G., Amit Goyal, Dashan Huang, Fuwei Jiang, Quan Wen, May 2022, Predicting Corporate Bond Returns: Merton Meets Machine Learning.
Chordia, Tarun, Amit Goyal, and Jay Shanken), November 2017, Cross-Sectional Asset Pricing with Individual Stocks: Betas versus Characteristics.
Goyal, Amit, July 2017, No Size Anomalies in U.S. Bank Stock Returns.
Chordia, Tarun, Amit Goyal, and Qing Tong, April 2011, Pairwise Correlations.
Goyal, Amit, and Ivo Welch, 2003, A Note on “Predicting Returns with Financial Ratios.
Goyal, Amit, Matthias Kahl and Walter N. Torous, 2003.The Long-Run Stock Performance of Financially Distressed Firms: An Empirical Investigation.
Goyal, Amit, 2000, Predictability of Stock Return Volatility from GARCH Models.
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