Philippe Jorion

Names

Identifer

Contact

Affiliations

• University of California-Irvine / Paul Merage School of Business
  • EDIRC entry
  • location:

Research profile

author of:

• Risk Management
  Annual Review of Financial Economics, Annual Reviews (2010)
  by Philippe Jorion
  (ReDIF-article, anr:refeco:v:2:y:2010:p:347-365)
• Risk Management Lessons from the Credit Crisis
  European Financial Management, European Financial Management Association (2009)
  by Philippe Jorion
  (ReDIF-article, bla:eufman:v:15:y:2009:i:5:p:923-933)
• Risk management lessons from Long‐Term Capital Management
  European Financial Management, European Financial Management Association (2000)
  by Philippe Jorion
  (ReDIF-article, bla:eufman:v:6:y:2000:i:3:p:277-300)
• Information Transfer Effects of Bond Rating Downgrades
  The Financial Review, Eastern Finance Association (2010)
  by Philippe Jorion & Gaiyan Zhang
  (ReDIF-article, bla:finrev:v:45:y:2010:i:3:p:683-706)
• Integration vs. Segmentation in the Canadian Stock Market
  Journal of Finance, American Finance Association (1986)
  by Jorion, Philippe & Schwartz, Eduardo
  (ReDIF-article, bla:jfinan:v:41:y:1986:i:3:p:603-14)
• Purchasing Power Parity in the Long Run
  Journal of Finance, American Finance Association (1990)
  by Abuaf, Niso & Jorion, Philippe
  (ReDIF-article, bla:jfinan:v:45:y:1990:i:1:p:157-74)
• Testing the Predictive Power of Dividend Yields
  Journal of Finance, American Finance Association (1993)
  by Goetzmann, William Nelson & Jorion, Philippe
  (ReDIF-article, bla:jfinan:v:48:y:1993:i:2:p:663-79)
• Currency Hedging for International Portfolios
  Journal of Finance, American Finance Association (1993)
  by Glen, Jack & Jorion, Philippe
  (ReDIF-article, bla:jfinan:v:48:y:1993:i:5:p:1865-86)
• Predicting Volatility in the Foreign Exchange Market
  Journal of Finance, American Finance Association (1995)
  by Jorion, Philippe
  (ReDIF-article, bla:jfinan:v:50:y:1995:i:2:p:507-28)
• Global Stock Markets in the Twentieth Century
  Journal of Finance, American Finance Association (1999)
  by Philippe Jorion & William N. Goetzmann
  (ReDIF-article, bla:jfinan:v:54:y:1999:i:3:p:953-980)
• Firm Value and Hedging: Evidence from U.S. Oil and Gas Producers
  Journal of Finance, American Finance Association (2006)
  by Yanbo Jin & Philippe Jorion
  (ReDIF-article, bla:jfinan:v:61:y:2006:i:2:p:893-919)
• Credit Contagion from Counterparty Risk
  Journal of Finance, American Finance Association (2009)
  by Philippe Jorion & Gaiyan Zhang
  (ReDIF-article, bla:jfinan:v:64:y:2009:i:5:p:2053-2087)
• A (Sub)penny for Your Thoughts: Tracking Retail Investor Activity in TAQ
  Journal of Finance, American Finance Association (2024)
  by Brad M. Barber & Xing Huang & Philippe Jorion & Terrance Odean & Christopher Schwarz
  (ReDIF-article, bla:jfinan:v:79:y:2024:i:4:p:2403-2427)
• Bayes-Stein Estimation for Portfolio Analysis
  Journal of Financial and Quantitative Analysis, Cambridge University Press (1986)
  by Jorion, Philippe
  (ReDIF-article, cup:jfinqa:v:21:y:1986:i:03:p:279-292_01)
• The Pricing of Exchange Rate Risk in the Stock Market
  Journal of Financial and Quantitative Analysis, Cambridge University Press (1991)
  by Jorion, Philippe
  (ReDIF-article, cup:jfinqa:v:26:y:1991:i:03:p:363-376_00)
• Re-Emerging Markets
  Journal of Financial and Quantitative Analysis, Cambridge University Press (1999)
  by Goetzmann, William N. & Jorion, Philippe
  (ReDIF-article, cup:jfinqa:v:34:y:1999:i:01:p:1-32_00)
• The Determinants of Operational Risk in U.S. Financial Institutions
  Journal of Financial and Quantitative Analysis, Cambridge University Press (2011)
  by Chernobai, Anna & Jorion, Philippe & Yu, Fan
  (ReDIF-article, cup:jfinqa:v:46:y:2012:i:06:p:1683-1725_00)
• The Strategic Listing Decisions of Hedge Funds
  Journal of Financial and Quantitative Analysis, Cambridge University Press (2014)
  by Jorion, Philippe & Schwarz, Christopher
  (ReDIF-article, cup:jfinqa:v:49:y:2014:i:03:p:773-796_00)
• Time-series tests of a non-expected-utility model of asset pricing
  European Economic Review, Elsevier (1993)
  by Jorion, Philippe & Giovannini, Alberto
  (ReDIF-article, eee:eecrev:v:37:y:1993:i:5:p:1083-1100)
• Multivariate unit root tests of the PPP hypothesis
  Journal of Empirical Finance, Elsevier (1999)
  by Flores, Renato & Jorion, Philippe & Preumont, Pierre-Yves & Szafarz, Ariane
  (ReDIF-article, eee:empfin:v:6:y:1999:i:4:p:335-353)
• The choice of a multicurrency portfolio for a central bank: Bonds, eurodeposits, and forward contracts
  Global Finance Journal, Elsevier (1992)
  by Jorion, Philippe & Rolfo, Jacques
  (ReDIF-article, eee:glofin:v:3:y:1992:i:1:p:1-22)
• Does real interest parity hold at longer maturities?
  Journal of International Economics, Elsevier (1996)
  by Jorion, Philippe
  (ReDIF-article, eee:inecon:v:40:y:1996:i:1-2:p:105-126)
• Valuing executive stock options with endogenous departure
  Journal of Accounting and Economics, Elsevier (1995)
  by Cuny, Charles J. & Jorion, Philippe
  (ReDIF-article, eee:jaecon:v:20:y:1995:i:2:p:193-205)
• Returns to Japanese investors from US investments
  Japan and the World Economy, Elsevier (1996)
  by Jorion, Philippe
  (ReDIF-article, eee:japwor:v:8:y:1996:i:3:p:229-241)
• Option listing and stock returns : An empirical analysis
  Journal of Banking & Finance, Elsevier (1990)
  by Detemple, Jerome & Jorion, Philippe
  (ReDIF-article, eee:jbfina:v:14:y:1990:i:4:p:781-801)
• Bayesian and CAPM estimators of the means: Implications for portfolio selection
  Journal of Banking & Finance, Elsevier (1991)
  by Jorion, Philippe
  (ReDIF-article, eee:jbfina:v:15:y:1991:i:3:p:717-727)
• Are hedge fund managers systematically misreporting? Or not?
  Journal of Financial Economics, Elsevier (2014)
  by Jorion, Philippe & Schwarz, Christopher
  (ReDIF-article, eee:jfinec:v:111:y:2014:i:2:p:311-327)
• A multicountry comparison of term-structure forecasts at long horizons
  Journal of Financial Economics, Elsevier (1991)
  by Jorion, Philippe & Mishkin, Frederic
  (ReDIF-article, eee:jfinec:v:29:y:1991:i:1:p:59-80)
• Informational effects of regulation FD: evidence from rating agencies
  Journal of Financial Economics, Elsevier (2005)
  by Jorion, Philippe & Liu, Zhu & Shi, Charles
  (ReDIF-article, eee:jfinec:v:76:y:2005:i:2:p:309-330)
• Good and bad credit contagion: Evidence from credit default swaps
  Journal of Financial Economics, Elsevier (2007)
  by Jorion, Philippe & Zhang, Gaiyan
  (ReDIF-article, eee:jfinec:v:84:y:2007:i:3:p:860-883)
• The performance of emerging hedge funds and managers
  Journal of Financial Economics, Elsevier (2010)
  by Aggarwal, Rajesh K. & Jorion, Philippe
  (ReDIF-article, eee:jfinec:v:96:y:2010:i:2:p:238-256)
• Term premiums and the integration of the eurocurrency markets
  Journal of International Money and Finance, Elsevier (1992)
  by Jorion, Philippe
  (ReDIF-article, eee:jimfin:v:11:y:1992:i:1:p:17-39)
• Mean reversion in real exchange rates: evidence and implications for forecasting
  Journal of International Money and Finance, Elsevier (1996)
  by Jorion, Philippe & Sweeney, Richard J.
  (ReDIF-article, eee:jimfin:v:15:y:1996:i:4:p:535-550)
• Interest rates and risk premia in the stock market and in the foreign exchange market
  Journal of International Money and Finance, Elsevier (1987)
  by Giovannini, Alberto & Jorion, Philippe
  (ReDIF-article, eee:jimfin:v:6:y:1987:i:1:p:107-123)
• Foreign exchange risk premia volatility once again
  Journal of International Money and Finance, Elsevier (1988)
  by Giovannini, Alberto & Jorion, Philippe
  (ReDIF-article, eee:jimfin:v:7:y:1988:i:1:p:111-113)
• Who is Minding the Store? Order Routing and Competition in Retail Trade Execution
  Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2024)
  by Xing Huang & Philippe Jorion & Jeongmin Lee & Christopher Schwarz
  (ReDIF-paper, fip:fedgfe:2024-80)
• The Long-Term Risks of Global Stock Markets
  Financial Management, Financial Management Association (2003)
  by Philippe Jorion
  (ReDIF-article, fma:fmanag:jorion03)
• Testing the Predictive Power of Dividend Yields
  Papers, Columbia - Graduate School of Business (1992)
  by Goetzman, W.N. & Jorion, P.
  (ReDIF-paper, fth:colubu:93-03)
• Option Listing And Stock Returns
  Papers, Columbia - Graduate School of Business (1989)
  by Detemple, J.B. & Jorion, P.
  (ReDIF-paper, fth:colubu:fb-_89-13)
• Risk and Turnover in the Foreign Exchange Market
  NBER Chapters, National Bureau of Economic Research, Inc (1996)
  by Philippe Jorion
  (ReDIF-chapter, nbr:nberch:11361)
• Bank Trading Risk and Systemic Risk
  NBER Chapters, National Bureau of Economic Research, Inc (2007)
  by Philippe Jorion
  (ReDIF-chapter, nbr:nberch:9605)
• Bank Trading Risk and Systemic Risk
  NBER Working Papers, National Bureau of Economic Research, Inc (2005)
  by Philippe Jorion
  (ReDIF-paper, nbr:nberwo:11037)
• The Time-Variation of Risk and Return in the Foreign Exchange and Stock Markets
  NBER Working Papers, National Bureau of Economic Research, Inc (1988)
  by Alberto Giovannini & Philippe Jorion
  (ReDIF-paper, nbr:nberwo:2573)
• Time-Series Tests of a Non-Expected-Utility Model of Asset Pricing
  NBER Working Papers, National Bureau of Economic Research, Inc (1989)
  by Alberto Giovannini & Philippe Jorion
  (ReDIF-paper, nbr:nberwo:3195)
• A Multi-Country Comparison of Term Structure Forecasts at Long Horizons
  NBER Working Papers, National Bureau of Economic Research, Inc (1991)
  by Philippe Jorion & Frederic Mishkin
  (ReDIF-paper, nbr:nberwo:3574)
• A Century of Global Stock Markets
  NBER Working Papers, National Bureau of Economic Research, Inc (1997)
  by William N. Goetzmann & Philippe Jorion
  (ReDIF-paper, nbr:nberwo:5901)
• Re-emerging Markets
  NBER Working Papers, National Bureau of Economic Research, Inc (1997)
  by William N. Goetzmann & Philippe Jorion
  (ReDIF-paper, nbr:nberwo:5906)
• A Century of Global Stock Markets
  NBER Working Papers, National Bureau of Economic Research, Inc (2000)
  by Philippe Jorion & William N. Goetzmann
  (ReDIF-paper, nbr:nberwo:7565)
• On Jump Processes in the Foreign Exchange and Stock Markets
  The Review of Financial Studies, Society for Financial Studies (1988)
  by Philippe Jorion
  (ReDIF-article, oup:rfinst:v:1:y:1988:i:4:p:427-445)
• The Fix Is In: Properly Backing out Backfill Bias
  The Review of Financial Studies, Society for Financial Studies (2019)
  by Philippe Jorion & Christopher Schwarz
  (ReDIF-article, oup:rfinst:v:32:y:2019:i:12:p:5048-5099.)
• The January Effect: Still There after All These Years
  Financial Analysts Journal, Taylor & Francis Journals (1996)
  by Robert A. Haugen & Philippe Jorion
  (ReDIF-article, taf:ufajxx:v:52:y:1996:i:1:p:27-31)
• Risk2: Measuring the Risk in Value at Risk
  Financial Analysts Journal, Taylor & Francis Journals (1996)
  by Philippe Jorion
  (ReDIF-article, taf:ufajxx:v:52:y:1996:i:6:p:47-56)
• Portfolio Optimization with Tracking-Error Constraints
  Financial Analysts Journal, Taylor & Francis Journals (2003)
  by Philippe Jorion
  (ReDIF-article, taf:ufajxx:v:59:y:2003:i:5:p:70-82)
• Risk Management for Event-Driven Funds
  Financial Analysts Journal, Taylor & Francis Journals (2008)
  by Philippe Jorion
  (ReDIF-article, taf:ufajxx:v:64:y:2008:i:1:p:61-73)
• Hidden Survivorship in Hedge Fund Returns
  Financial Analysts Journal, Taylor & Francis Journals (2010)
  by Rajesh K. Aggarwal & Philippe Jorion
  (ReDIF-article, taf:ufajxx:v:66:y:2010:i:2:p:69-74)
• Is There a Cost to Transparency?
  Financial Analysts Journal, Taylor & Francis Journals (2012)
  by Rajesh K. Aggarwal & Philippe Jorion
  (ReDIF-article, taf:ufajxx:v:68:y:2012:i:2:p:108-123)
• Hedge Funds vs. Alternative Risk Premia
  Financial Analysts Journal, Taylor & Francis Journals (2021)
  by Philippe Jorion
  (ReDIF-article, taf:ufajxx:v:77:y:2021:i:4:p:65-81)
• International Portfolio Diversification with Estimation Risk
  The Journal of Business, University of Chicago Press (1985)
  by Jorion, Philippe
  (ReDIF-article, ucp:jnlbus:v:58:y:1985:i:3:p:259-78)
• The Exchange-Rate Exposure of U.S. Multinationals
  The Journal of Business, University of Chicago Press (1990)
  by Jorion, Philippe
  (ReDIF-article, ucp:jnlbus:v:63:y:1990:i:3:p:331-45)
• A Longer Look at Dividend Yields
  The Journal of Business, University of Chicago Press (1995)
  by Goetzmann, William N & Jorion, Philippe
  (ReDIF-article, ucp:jnlbus:v:68:y:1995:i:4:p:483-508)
• Multivariate Unit root Tests of the PPP Hypothesis
  ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (1999)
  by Renato Flôres & Philippe Jorion & Pierre-Yves Preumont & Ariane Szafarz
  (ReDIF-paper, ulb:ulbeco:2013/711)
• An empirical investigation of the early exercise premium of foreign currency options
  Journal of Futures Markets, John Wiley & Sons, Ltd. (1989)
  by Philippe Jorion & Neal M. Stoughton
  (ReDIF-article, wly:jfutmk:v:9:y:1989:i:5:p:365-375)
• Re-Emerging Markets
  Yale School of Management Working Papers, Yale School of Management (1998)
  by Philippe Jorion & William N. Goetzmann
  (ReDIF-paper, ysm:somwrk:ysm111)
• A Century of Global Stock Markets
  Yale School of Management Working Papers, Yale School of Management (2004)
  by William N. Goetzmann & Philippe Jorion
  (ReDIF-paper, ysm:somwrk:ysm16)
• A Longer Look at Dividend Yields
  Yale School of Management Working Papers, Yale School of Management (1998)
  by Philippe Jorion & William N. Goetzmann
  (ReDIF-paper, ysm:somwrk:ysm41)
• Re-emerging Markets
  Yale School of Management Working Papers, Yale School of Management (1998)
  by William Goetzmann & Philippe Jorion
  (ReDIF-paper, ysm:somwrk:ysm50)
• A Century of Global Stock Markets
  Yale School of Management Working Papers, Yale School of Management (1997)
  by William Goetzmann & Philippe Jorion
  (ReDIF-paper, ysm:somwrk:ysm53)
• Re-emerging Markets
  Yale School of Management Working Papers, Yale School of Management (1998)
  by William Goetzmann & Philippe Jorion
  (ReDIF-paper, ysm:wpaper:ysm50)
• A Century of Global Stock Markets
  Yale School of Management Working Papers, Yale School of Management (1997)
  by William Goetzmann & Philippe Jorion
  (ReDIF-paper, ysm:wpaper:ysm53)