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Philippe Jorion

Personal Details

First Name:Philippe
Middle Name:
Last Name:Jorion
Suffix:
RePEc Short-ID:pjo72
[This author has chosen not to make the email address public]
http://www.merage.uci.edu/~jorion/
Terminal Degree:1983 Booth School of Business; University of Chicago (from RePEc Genealogy)

Affiliation

Paul Merage School of Business
University of California-Irvine

Irvine, California (United States)
http://merage.uci.edu/
RePEc:edi:gsucius (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Xing Huang & Philippe Jorion & Jeongmin Lee & Christopher Schwarz, 2024. "Who is Minding the Store? Order Routing and Competition in Retail Trade Execution," Finance and Economics Discussion Series 2024-080, Board of Governors of the Federal Reserve System (U.S.).
  2. Philippe Jorion, 2005. "Bank Trading Risk and Systemic Risk," NBER Working Papers 11037, National Bureau of Economic Research, Inc.
  3. Renato Flôres & Philippe Jorion & Pierre-Yves Preumont & Ariane Szafarz, 1999. "Multivariate Unit root Tests of the PPP Hypothesis," ULB Institutional Repository 2013/711, ULB -- Universite Libre de Bruxelles.
  4. Philippe Jorion & William N. Goetzmann, 1998. "A Longer Look at Dividend Yields," Yale School of Management Working Papers ysm41, Yale School of Management.
  5. William N. Goetzmann & Philippe Jorion, 1997. "Re-emerging Markets," NBER Working Papers 5906, National Bureau of Economic Research, Inc.
  6. William N. Goetzmann & Philippe Jorion, 1997. "A Century of Global Stock Markets," NBER Working Papers 5901, National Bureau of Economic Research, Inc.
  7. Goetzman, W.N. & Jorion, P., 1992. "Testing the Predictive Power of Dividend Yields," Papers 93-03, Columbia - Graduate School of Business.
  8. Philippe Jorion & Frederic Mishkin, 1991. "A Multi-Country Comparison of Term Structure Forecasts at Long Horizons," NBER Working Papers 3574, National Bureau of Economic Research, Inc.
  9. Detemple, J.B. & Jorion, P., 1989. "Option Listing And Stock Returns," Papers fb-_89-13, Columbia - Graduate School of Business.
  10. Alberto Giovannini & Philippe Jorion, 1989. "Time-Series Tests of a Non-Expected-Utility Model of Asset Pricing," NBER Working Papers 3195, National Bureau of Economic Research, Inc.
  11. Alberto Giovannini & Philippe Jorion, 1988. "The Time-Variation of Risk and Return in the Foreign Exchange and Stock Markets," NBER Working Papers 2573, National Bureau of Economic Research, Inc.

Articles

  1. Brad M. Barber & Xing Huang & Philippe Jorion & Terrance Odean & Christopher Schwarz, 2024. "A (Sub)penny for Your Thoughts: Tracking Retail Investor Activity in TAQ," Journal of Finance, American Finance Association, vol. 79(4), pages 2403-2427, August.
  2. Philippe Jorion, 2021. "Hedge Funds vs. Alternative Risk Premia," Financial Analysts Journal, Taylor & Francis Journals, vol. 77(4), pages 65-81, October.
  3. Philippe Jorion & Christopher Schwarz, 2019. "The Fix Is In: Properly Backing out Backfill Bias," The Review of Financial Studies, Society for Financial Studies, vol. 32(12), pages 5048-5099.
  4. Jorion, Philippe & Schwarz, Christopher, 2014. "Are hedge fund managers systematically misreporting? Or not?," Journal of Financial Economics, Elsevier, vol. 111(2), pages 311-327.
  5. Jorion, Philippe & Schwarz, Christopher, 2014. "The Strategic Listing Decisions of Hedge Funds," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 49(3), pages 773-796, June.
  6. Rajesh K. Aggarwal & Philippe Jorion, 2012. "Is There a Cost to Transparency?," Financial Analysts Journal, Taylor & Francis Journals, vol. 68(2), pages 108-123, March.
  7. Chernobai, Anna & Jorion, Philippe & Yu, Fan, 2011. "The Determinants of Operational Risk in U.S. Financial Institutions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 46(6), pages 1683-1725, December.
  8. Philippe Jorion & Gaiyan Zhang, 2010. "Information Transfer Effects of Bond Rating Downgrades," The Financial Review, Eastern Finance Association, vol. 45(3), pages 683-706, August.
  9. Philippe Jorion, 2010. "Risk Management," Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 347-365, December.
  10. Rajesh K. Aggarwal & Philippe Jorion, 2010. "Hidden Survivorship in Hedge Fund Returns," Financial Analysts Journal, Taylor & Francis Journals, vol. 66(2), pages 69-74, March.
  11. Aggarwal, Rajesh K. & Jorion, Philippe, 2010. "The performance of emerging hedge funds and managers," Journal of Financial Economics, Elsevier, vol. 96(2), pages 238-256, May.
  12. Philippe Jorion & Gaiyan Zhang, 2009. "Credit Contagion from Counterparty Risk," Journal of Finance, American Finance Association, vol. 64(5), pages 2053-2087, October.
  13. Philippe Jorion, 2009. "Risk Management Lessons from the Credit Crisis," European Financial Management, European Financial Management Association, vol. 15(5), pages 923-933, November.
  14. Philippe Jorion, 2008. "Risk Management for Event-Driven Funds," Financial Analysts Journal, Taylor & Francis Journals, vol. 64(1), pages 61-73, January.
  15. Jorion, Philippe & Zhang, Gaiyan, 2007. "Good and bad credit contagion: Evidence from credit default swaps," Journal of Financial Economics, Elsevier, vol. 84(3), pages 860-883, June.
  16. Yanbo Jin & Philippe Jorion, 2006. "Firm Value and Hedging: Evidence from U.S. Oil and Gas Producers," Journal of Finance, American Finance Association, vol. 61(2), pages 893-919, April.
  17. Jorion, Philippe & Liu, Zhu & Shi, Charles, 2005. "Informational effects of regulation FD: evidence from rating agencies," Journal of Financial Economics, Elsevier, vol. 76(2), pages 309-330, May.
  18. Philippe Jorion, 2003. "Portfolio Optimization with Tracking-Error Constraints," Financial Analysts Journal, Taylor & Francis Journals, vol. 59(5), pages 70-82, September.
  19. Philippe Jorion, 2003. "The Long-Term Risks of Global Stock Markets," Financial Management, Financial Management Association, vol. 32(4), Winter.
  20. Philippe Jorion, 2000. "Risk management lessons from Long‐Term Capital Management," European Financial Management, European Financial Management Association, vol. 6(3), pages 277-300, September.
  21. Philippe Jorion & William N. Goetzmann, 1999. "Global Stock Markets in the Twentieth Century," Journal of Finance, American Finance Association, vol. 54(3), pages 953-980, June.
  22. Goetzmann, William N. & Jorion, Philippe, 1999. "Re-Emerging Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(1), pages 1-32, March.
  23. Flores, Renato & Jorion, Philippe & Preumont, Pierre-Yves & Szafarz, Ariane, 1999. "Multivariate unit root tests of the PPP hypothesis," Journal of Empirical Finance, Elsevier, vol. 6(4), pages 335-353, October.
  24. Jorion, Philippe & Sweeney, Richard J., 1996. "Mean reversion in real exchange rates: evidence and implications for forecasting," Journal of International Money and Finance, Elsevier, vol. 15(4), pages 535-550, August.
  25. Philippe Jorion, 1996. "Risk2: Measuring the Risk in Value at Risk," Financial Analysts Journal, Taylor & Francis Journals, vol. 52(6), pages 47-56, November.
  26. Jorion, Philippe, 1996. "Returns to Japanese investors from US investments," Japan and the World Economy, Elsevier, vol. 8(3), pages 229-241, September.
  27. Robert A. Haugen & Philippe Jorion, 1996. "The January Effect: Still There after All These Years," Financial Analysts Journal, Taylor & Francis Journals, vol. 52(1), pages 27-31, January.
  28. Jorion, Philippe, 1996. "Does real interest parity hold at longer maturities?," Journal of International Economics, Elsevier, vol. 40(1-2), pages 105-126, February.
  29. Jorion, Philippe, 1995. "Predicting Volatility in the Foreign Exchange Market," Journal of Finance, American Finance Association, vol. 50(2), pages 507-528, June.
  30. Goetzmann, William N & Jorion, Philippe, 1995. "A Longer Look at Dividend Yields," The Journal of Business, University of Chicago Press, vol. 68(4), pages 483-508, October.
  31. Cuny, Charles J. & Jorion, Philippe, 1995. "Valuing executive stock options with endogenous departure," Journal of Accounting and Economics, Elsevier, vol. 20(2), pages 193-205, September.
  32. Jorion, Philippe & Giovannini, Alberto, 1993. "Time-series tests of a non-expected-utility model of asset pricing," European Economic Review, Elsevier, vol. 37(5), pages 1083-1100, June.
  33. Glen, Jack & Jorion, Philippe, 1993. "Currency Hedging for International Portfolios," Journal of Finance, American Finance Association, vol. 48(5), pages 1865-1886, December.
  34. Goetzmann, William Nelson & Jorion, Philippe, 1993. "Testing the Predictive Power of Dividend Yields," Journal of Finance, American Finance Association, vol. 48(2), pages 663-679, June.
  35. Jorion, Philippe, 1992. "Term premiums and the integration of the eurocurrency markets," Journal of International Money and Finance, Elsevier, vol. 11(1), pages 17-39, February.
  36. Jorion, Philippe & Rolfo, Jacques, 1992. "The choice of a multicurrency portfolio for a central bank: Bonds, eurodeposits, and forward contracts," Global Finance Journal, Elsevier, vol. 3(1), pages 1-22.
  37. Jorion, Philippe & Mishkin, Frederic, 1991. "A multicountry comparison of term-structure forecasts at long horizons," Journal of Financial Economics, Elsevier, vol. 29(1), pages 59-80, March.
  38. Jorion, Philippe, 1991. "Bayesian and CAPM estimators of the means: Implications for portfolio selection," Journal of Banking & Finance, Elsevier, vol. 15(3), pages 717-727, June.
  39. Jorion, Philippe, 1991. "The Pricing of Exchange Rate Risk in the Stock Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 26(3), pages 363-376, September.
  40. Jorion, Philippe, 1990. "The Exchange-Rate Exposure of U.S. Multinationals," The Journal of Business, University of Chicago Press, vol. 63(3), pages 331-345, July.
  41. Abuaf, Niso & Jorion, Philippe, 1990. "Purchasing Power Parity in the Long Run," Journal of Finance, American Finance Association, vol. 45(1), pages 157-174, March.
  42. Detemple, Jerome & Jorion, Philippe, 1990. "Option listing and stock returns : An empirical analysis," Journal of Banking & Finance, Elsevier, vol. 14(4), pages 781-801, October.
  43. Philippe Jorion & Neal M. Stoughton, 1989. "An empirical investigation of the early exercise premium of foreign currency options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 9(5), pages 365-375, October.
  44. Philippe Jorion, 1988. "On Jump Processes in the Foreign Exchange and Stock Markets," The Review of Financial Studies, Society for Financial Studies, vol. 1(4), pages 427-445.
  45. Giovannini, Alberto & Jorion, Philippe, 1988. "Foreign exchange risk premia volatility once again," Journal of International Money and Finance, Elsevier, vol. 7(1), pages 111-113, March.
  46. Giovannini, Alberto & Jorion, Philippe, 1987. "Interest rates and risk premia in the stock market and in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 6(1), pages 107-123, March.
  47. Jorion, Philippe & Schwartz, Eduardo, 1986. "Integration vs. Segmentation in the Canadian Stock Market," Journal of Finance, American Finance Association, vol. 41(3), pages 603-614, July.
  48. Jorion, Philippe, 1986. "Bayes-Stein Estimation for Portfolio Analysis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(3), pages 279-292, September.
  49. Jorion, Philippe, 1985. "International Portfolio Diversification with Estimation Risk," The Journal of Business, University of Chicago Press, vol. 58(3), pages 259-278, July.

Chapters

  1. Philippe Jorion, 2007. "Bank Trading Risk and Systemic Risk," NBER Chapters, in: The Risks of Financial Institutions, pages 29-57, National Bureau of Economic Research, Inc.
  2. Philippe Jorion, 1996. "Risk and Turnover in the Foreign Exchange Market," NBER Chapters, in: The Microstructure of Foreign Exchange Markets, pages 19-40, National Bureau of Economic Research, Inc.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Rankings

This author is among the top 5% authors according to these criteria:
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  2. Number of Distinct Works, Weighted by Simple Impact Factor
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  5. Number of Distinct Works, Weighted by Number of Authors and Recursive Impact Factors
  6. Number of Citations
  7. Number of Citations, Discounted by Citation Age
  8. Number of Citations, Weighted by Simple Impact Factor
  9. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  10. Number of Citations, Weighted by Recursive Impact Factor
  11. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
  12. Number of Citations, Weighted by Number of Authors
  13. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  14. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
  15. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  16. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  17. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
  18. h-index
  19. Number of Registered Citing Authors
  20. Number of Registered Citing Authors, Weighted by Rank (Max. 1 per Author)
  21. Number of Journal Pages
  22. Number of Journal Pages, Weighted by Simple Impact Factor
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  24. Number of Journal Pages, Weighted by Number of Authors
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  27. Number of Abstract Views in RePEc Services over the past 12 months
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  31. Euclidian citation score
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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 4 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-CFN: Corporate Finance (2) 2000-03-01 2004-03-22
  2. NEP-FIN: Finance (2) 2004-03-22 2005-01-23
  3. NEP-IFN: International Finance (2) 2000-02-28 2004-03-22
  4. NEP-DEV: Development (1) 2004-03-22
  5. NEP-FMK: Financial Markets (1) 2004-03-22
  6. NEP-INV: Investment (1) 2024-11-04
  7. NEP-MST: Market Microstructure (1) 2024-11-04
  8. NEP-RMG: Risk Management (1) 2004-03-22

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