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
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Main publications
Pricing Event Risk: Evidence from Concave Implied Volatility Curves, (with Lykourgos Alexiou, Alexandros Kostakis, and Leonidas Rompolis), December 2024, forthcoming Review of Finance.
Can Equity Option Returns Be Explained by a Factor Model? IPCA Says Yes, (with Alessio Saretto), June 2024, forthcoming Review of Financial Studies.
Empirical Determinants of Momentum: A Perspective Using International Data, (with Narasimhan Jegadeesh and Avanidhar Subrahmanyam), January 2025, Review of Finance 29(1), 241–273.
Choosing Investment Managers, (with Sunil Wahal and M. Deniz Yavuz) December 2024, Journal of Financial and Quantitative Analysis 59(8), 3531–3563.
A Comprehensive 2022 Look at the Empirical Performance of Equity Premium Prediction, (with Ivo Welch and Athanasse Zafirov), November 2024, 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.
Option Trading and Stock Price Informativeness, (with Jie Cao, Sai Ke, and Xintong Zhan) June 2024, Journal of Financial and Quantitative Analysis 59(4), 1516–1540.
Implied Volatility Changes and Corporate Bond Returns, (with Jie Cao, Xiao Xiao, and Xintong Zhan) March 2023, Management Science 69(3), 1375–1397.
Anomalies and False Rejections, (with Tarun Chordia and Alessio Saretto) May 2020, Review of Financial Studies 33(5), 2134‒2179.
Equity Misvaluation and Default Options, (with Assaf Eisdorfer and Alexei Zhdanov), April 2019, Journal of Finance 72(4), 845‒898.
Cross-Sectional and Time-Series Tests of Return Predictability: What is the Difference? (with Narasimhan Jegadeesh), May 2018, Review of Financial Studies 31(5), 1784‒1824.
Are Capital Market Anomalies Common to Equity and Corporate Bond Markets? An Empirical Investigation, (with Tarun Chordia, Yoshio Nozawa, Avanidhar Subrahmanyam, and Qing Tong), August 2017, Journal of Financial and Quantitative Analysis 52(4), 1301‒1342.
Buyers Versus Sellers: Who Initiates Trades and When? (with Tarun Chordia and Narasimhan Jegadeesh), October 2016, Journal of Financial and Quantitative Analysis 51(5), 1467‒1490.
Is Momentum an Echo? (with Sunil Wahal), December 2015, Journal of Financial and Quantitative Analysis 50(6), 1237‒1267.
Investing in a Global World, (with Jeff Busse and Sunil Wahal), April 2014, Review of Finance 18(2), 561‒590. [Spängler IQAM Best Paper in Investments Prize at the Review of Finance]
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.
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 2024) (From 2022, data on lty from FRED, data on ltr/corpr from Bloomberg indices)
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.
Other publications
Illiquidity and the Cost of Equity Capital: Evidence from Actual Estimates of Capital Cost for U.S. Data, October 2023, (with Avanidhar Subrahmanyam, and Bhaskaran Swaminathan), Review of Financial Economics 41(4), 364‒391.
Forbearance in Institutional Investment Management: Evidence from Survey Data, (with Ramon Tol and Sunil Wahal), 2023, Financial Analyst Journal 79(2), 7‒20.
Distress Anomaly and Shareholder Risk: International Evidence, (with Assaf Eisdorfer and Alexei Zhdanov), Fall 2018, Financial Management 47(3), 553‒581.
Bad Habits and Good Practices, (with Antti Ilmanen and David Kabiller), 2015, Journal of Portfolio Management 41(4), 97‒107.
Asset Allocation and Bad Habits, (with Andrew Ang and Antti Ilmanen), Fall 2014, Rotman International Journal of Pension Management 7(2), 16‒27.
Assessing Project Risk, (with Antonio Bernardo and Bhagwan Chowdhry), Summer 2012, 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)
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.
Growth Options, Beta, and the Cost of Capital, (with Antonio Bernardo and Bhagwan Chowdhry), Summer 2007, Financial Management 36(2), 5‒17.
Understanding the Financial Crisis in Asia, (with Bhagwan Chowdhry), May 2000, Pacific-Basin Finance Journal 8(2), 135‒152.
Working papers
Picking Partners: Manager Selection in Private Markets, (with Sunil Wahal and M. Deniz Yavuz), September 2024.
Opioid Crisis and Firm Downside Tail Risks: Evidence from the Option Market (with Jie Cao, Yajing Wang, Xintong Zhan, and Weiming Zhang), august 2024.
Stealthy Shorts: Informed Liquidity Supply (with Adam V. Reed, Esad Smajlbegovic, and Amar Soebhag), August 2024.
Price Impact: Continuous Trading, Closing Auctions, and Opening Auctions, (with Narasimhan Jegadeesh and Yanbin Wu), August 2024.
R&D, Innovation, and the Stock Market, (with Sunil Wahal), July 2024.
A Joint Factor Model for Bonds, Stocks, and Options (with Turan G. Bali and Heiner Beckmeyer), March 2024.
Unlocking ESG Premium from Options, (with Jie Cao, Xintong Zhan, and Weiming Zhang) August 2023.
Cheap Option Are Expensive, (with Alexei Boulatov, Assaf Eisdorfer, and Alexei Zhdanov), April 2023.
Predicting Corporate Bond Returns: Merton Meets Machine Learning, (with Turan G. Bali, Dashan Huang, Fuwei Jiang, and Quan Wen), May 2022.
Permanent working papers
Cross-Sectional Asset Pricing with Individual Stocks: Betas versus Characteristics, (with Tarun Chordia and Jay Shanken), November 2017.
No Size Anomalies in U.S. Bank Stock Returns, July 2017.
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.
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