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Literature: authors starting with C

42 studies, books and laws, each with its reference, a sentence on the content and the pages that cite it. All letters

Caginalp and Laurent (1998) · The predictive power of price patterns

Caginalp, G.; Laurent, H.. Applied Mathematical Finance 5 (3–4), pp. 181–205. doi:10.1080/135048698334637

Three-day candlestick patterns in S&P 500 stocks from 1992 to 1996 with statistically significant out-of-sample predictive power.

Cited in: Technical analysis, chart patterns and candlesticks from a quant perspective · Glossary: Candlestick chart

Cai and Haque (2024) · Private Credit: Characteristics and Risks

Cai, Fang; Haque, Sharjil. Board of Governors of the Federal Reserve System, FEDS Notes, February 23, 2024; accessed October 25, 2026. Source

An overview by the US Federal Reserve: the characteristics of private credit (middle market, floating rate, senior secured), its size compared with leveraged loans and high yield, and risks to financial stability.

Cited in: Private credit and public credit compared: returns, risks and what the research shows · Private debt in practice: direct lending, unitranche, mezzanine, loan structure and fund vehicles · Glossary: Private credit · Glossary: Business development company (BDC)

CAIA Association (2024) · Innovation Unleashed: The Rise of Total Portfolio Approach

CAIA Association. CAIA Association, March 2024, with contributions from CPP Investments, NZ Super Fund, Future Fund, and GIC; accessed October 25, 2026. Source

Report by large sovereign and pension funds on the total portfolio approach: a common measure of risk and return for the whole portfolio instead of budgets per asset class, implemented differently by each organization.

Cited in: Strategic and tactical asset allocation and the total portfolio approach · Glossary: Total portfolio approach

CalPERS (2025) · CalPERS Board Adopts Streamlined Investment Approach to Seize Market Opportunities

California Public Employees' Retirement System. CalPERS, press release, November 17, 2025; accessed October 25, 2026. Source

From July 1, 2026, CalPERS replaces its strategic asset allocation with the total portfolio approach, using a reference portfolio of 75% equities and 25% bonds instead of eleven benchmarks per asset class.

Cited in: Strategic and tactical asset allocation and the total portfolio approach · Glossary: Reference portfolio

Campbell and Shiller (1988) · Stock Prices, Earnings, and Expected Dividends

Campbell, John Y.; Shiller, Robert J.. The Journal of Finance 43 (3), pp. 661–676. doi:10.1111/j.1540-6261.1988.tb04598.x

Shows that valuation ratios based on ten-year earnings predict future returns; the CAPE is built on this.

Cited in: Shiller P/E (CAPE): how expensive is the stock market? · Valuation with the Shiller P/E: methodology

Campbell and Shiller (1991) · Yield Spreads and Interest Rate Movements: A Bird's Eye View

Campbell, John Y.; Shiller, Robert J.. The Review of Economic Studies 58 (3). doi:10.2307/2298008

A large spread between long and short rates predicts rising short rates in the long run but falling long yields in the short run, contrary to the pure expectations hypothesis.

Cited in: Carry trade: earning interest with currencies and bonds · Market expectations: what the yield curve, inflation-linked bonds and options reveal about the future · Yield curve: what the term structure reveals and why an inverted curve is seen as a warning sign · Bond math: calculating price, yield, duration, convexity and spreads · Glossary: Expectations hypothesis

Campbell and Shiller (1998) · Valuation Ratios and the Long-Run Stock Market Outlook

Campbell, John Y.; Shiller, Robert J.. The Journal of Portfolio Management 24 (2), pp. 11–26. doi:10.3905/jpm.24.2.11

High valuations (ten-year P/E, dividend yield) preceded low returns over the following ten years.

Cited in: Shiller P/E (CAPE): how expensive is the stock market? · Tactical allocation methodology: how the eleven tactical models work · Glossary: Return forecasts from valuation

Campbell and Thompson (2008) · Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?

Campbell, John Y.; Thompson, Samuel B.. Review of Financial Studies 21 (4), pp. 1509–1531. doi:10.1093/rfs/hhm055

With simple sign restrictions, many predictive regressions beat the historical mean; the out-of-sample R² is small but meaningful for investors.

Cited in: Return forecasting models: ARIMA, GARCH, LSTM and machine learning · Glossary: Out-of-sample R²

Campbell et al. (2010) · Global Currency Hedging

Campbell, John Y.; Serfaty-de Medeiros, Karine; Viceira, Luis M.. The Journal of Finance 65 (1), pp. 87–121. doi:10.1111/j.1540-6261.2009.01524.x

Which currencies equity investors should hedge: the US dollar, the Swiss franc and the euro act as protection in crises.

Cited in: Currency risk: how exchange rates change your return · Home bias: the preference for your home market and what it costs · Carry trade: earning interest with currencies and bonds · Short selling, hedge funds and hedging: types and how they work · Overlay management with futures: beta, duration and currency overlays, contract numbers and liquidity needs · Asset classes with a long history: methodology · Glossary: Currency hedging

Campbell et al. (2017) · Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds

Campbell, John Y.; Sunderam, Adi; Viceira, Luis M.. Critical Finance Review 6 (2), pp. 263–301. doi:10.1561/104.00000043

The covariance of US Treasuries with stocks was slightly positive on average in 1953–2014, unusually high in the early 1980s and negative in the early 21st century; a term structure model in which inflation and the real rate covary with the real economy explains the shift and a decline of about two percentage points in the term premium.

Cited in: Stock-bond correlation: regimes, drivers and what it means for 60/40, risk parity and hedging

Campbell et al. (2020) · Macroeconomic Drivers of Bond and Equity Risks

Campbell, John Y.; Pflueger, Carolin; Viceira, Luis M.. Journal of Political Economy 128 (8), pp. 3148–3185. doi:10.1086/707766

A consumption-based model with habit formation: the switch in the equity beta of US Treasuries from positive (1979–2001) to negative (2001–2011) follows from the changed comovement of inflation and the output gap, but only if risk premiums change as well.

Cited in: Stock-bond correlation: regimes, drivers and what it means for 60/40, risk parity and hedging

Campisi (2000) · Primer on Fixed Income Performance Attribution

Campisi, Stephen. The Journal of Performance Measurement 4 (4), pp. 14–25. Source

Introduction to performance attribution for bond portfolios: decomposition into income, Treasury effect (change in yields), spread effect and selection, with formulas and a case study.

Cited in: Multi-asset attribution: weighting schemes, top-down and bottom-up, currencies and overlays · Glossary: Campisi model

Canakgoz and Beasley (2009) · Mixed-integer programming approaches for index tracking and enhanced indexation

Canakgoz, N. A.; Beasley, J. E.. European Journal of Operational Research 196 (1), pp. 384–399. doi:10.1016/j.ejor.2008.03.015

Formulates index tracking with a cap on the number of securities as a mixed-integer optimization problem.

Cited in: Index replication: full replication, optimized sampling and swaps

Cardoso et al. (2025) · The Dynamics of Evasion: The Price Cap on Russian Oil Exports and the Amassing of the Shadow Fleet

Cardoso, Diego S.; Salant, Stephen W.; Daubanes, Julien. SSRN. doi:10.2139/ssrn.5110126

A model of the Russian shadow fleet, which operates without Western services in order to circumvent the oil price cap, and of the effect of different sanctions.

Cited in: Ship tracking data and satellite images: what they reveal about commodities · Glossary: Shadow fleet

Cariño (1999) · Combining Attribution Effects Over Time

Cariño, David R.. The Journal of Performance Measurement, pp. 5–14. Source

Links attribution effects across several periods using logarithmic factors, so that they add up exactly to the excess return over the whole period.

Cited in: Multi-asset attribution: weighting schemes, top-down and bottom-up, currencies and overlays · Performance attribution: Brinson decomposition, factors and linking over time · Glossary: Linking of attribution effects

Cavallo and Rigobon (2016) · The Billion Prices Project: Using Online Prices for Measurement and Research

Cavallo, Alberto; Rigobon, Roberto. Journal of Economic Perspectives 30 (2), pp. 151–178. doi:10.1257/jep.30.2.151

Online prices collected daily from many retailers in many countries; price indices built from them track official consumer prices in most countries.

Cited in: Alternative data: job ads, Reddit, X, satellites and card payments

Cboe (2019) · Cboe Volatility Index (VIX Index): Methodology

Cboe Global Markets. Cboe Global Markets, version of July 26, 2019. Source

The official calculation rules for the VIX: options on the S&P 500 with more than 23 and fewer than 37 days to expiry, interpolated to 30 days.

Cited in: VIX: how to read the stock market's fear gauge

Cboe (2020) · Cboe Receives Final Regulatory Approval for Cboe Market Close (press release)

Cboe Global Markets. Cboe Global Markets, January 22, 2020, published on Mondo Visione; accessed October 25, 2026. Source

Cboe Market Close matches MOC orders in stocks not listed on Cboe against each other at 15:35 and executes them at the closing price of the listing exchange; the remainder goes into that exchange's closing auction.

Cited in: Order types and execution: from limit orders to MOC, VWAP, TAS and BTIC

Célérier and Vallée (2017) · Catering to Investors Through Security Design: Headline Rate and Complexity

Célérier, Claire; Vallée, Boris. The Quarterly Journal of Economics 132 (3), pp. 1469–1508. doi:10.1093/qje/qjx007

Text analysis of 55,000 structured products for retail investors in Europe 2002–2010: the higher the advertised best-case return, the more complex and risky the product and the more profitable it is for the distributing banks.

Cited in: Glossary: Reverse convertible

Cera et al. (2025) · Private markets: risks and benefits from financial diversification in the euro area

Cera, Katharina; Ferrante, Alessandro; Schwartz Blicke, Oscar. European Central Bank, Financial Stability Review, May 2025 (box), May 21, 2025; accessed October 25, 2026. Source

ECB: private credit funds in the euro area, at €106 billion, are much smaller than in North America; firms are more highly indebted after private investors come in, and the risks lie mainly in concentration and opaque interconnections.

Cited in: Private debt in practice: direct lending, unitranche, mezzanine, loan structure and fund vehicles

Cerdeiro et al. (2020) · World Seaborne Trade in Real Time: A Proof of Concept for Building AIS-based Nowcasts from Scratch

Cerdeiro, Diego; Komaromi, Andras; Liu, Yang; Saeed, Mamoon. International Monetary Fund, IMF Working Paper 20/57. doi:10.5089/9781513544106.001

Builds indicators of world seaborne trade from raw AIS messages (ports, voyages, cargo volumes inferred from draft) and compares them with official trade statistics.

Cited in: Ship tracking data and satellite images: what they reveal about commodities · Ships at chokepoints (beta): methodology · Glossary: Draft · Glossary: Ballast voyage · Glossary: Nowcasting

CFA Institute (2019) · Global Investment Performance Standards (GIPS®) for Firms, 2020 Edition

CFA Institute. CFA Institute, effective January 1, 2020; accessed October 25, 2026. Source

Standard for presenting performance: time-weighted returns after transaction costs, composites of all fee-paying discretionary mandates, at least five and up to ten years of history, and money-weighted returns only under certain conditions.

Cited in: Portfolio reporting: how to report return, risk, attribution and costs properly · RFP and mandate awards: how institutional investors select asset managers · Glossary: GIPS · Glossary: Composite

CFA Institute (2019) · CFA Institute Releases 2020 Global Investment Performance Standards

CFA Institute. CFA Institute, press release, July 9, 2019; accessed October 25, 2026. Source

Announces the 2020 GIPS standards: money-weighted instead of time-weighted returns may be chosen under certain conditions, and pooled funds get more options; compliance is not required by law but is regarded as best practice.

Cited in: Portfolio reporting: how to report return, risk, attribution and costs properly · Glossary: GIPS

Chambers and Zdanowicz (2014) · The Limitations of Diversification Return

Chambers, Donald R.; Zdanowicz, John S.. The Journal of Portfolio Management 40 (4), pp. 65–76. doi:10.3905/jpm.2014.40.4.065

Shows that the diversification return is not a higher expected value; any benefit from rebalancing comes from mean reversion, not from diversification or lower variance.

Cited in: Overfitting check and diversification return: the calculations in Backtest and Tactical · Glossary: Volatility harvesting

Chan (2013) · Algorithmic Trading: Winning Strategies and Their Rationale

Chan, Ernest P.. Wiley. doi:10.1002/9781118676998

A practitioner's book on mean-reversion and momentum strategies; Chapter 3 estimates the hedge ratio of a pair with the Kalman filter as a dynamic regression.

Cited in: Pairs trading and statistical arbitrage: idea, methods, research · Long/short and statistical arbitrage: methodology · Glossary: Hedge ratio · Glossary: Kalman filter

Chan et al. (2003) · The Level and Persistence of Growth Rates

Chan, Louis K. C.; Karceski, Jason; Lakonishok, Josef. The Journal of Finance 58 (2), pp. 643–684. doi:10.1111/1540-6261.00540

Long-term earnings growth is barely more persistent than chance would suggest and hard to predict; analysts' growth forecasts are too optimistic.

Cited in: Fundamental analysis: valuing a company like an investor

Chanos (2002) · Statement before the Committee on Energy and Commerce, U.S. House of Representatives, hearing “Lessons Learned from Enron’s Collapse: Auditing the Accounting Industry,” February 6, 2002 (Serial No. 107-83, pp. 71 ff.)

Chanos, James S.. U.S. Government Printing Office; accessed October 25, 2026. Source

Chanos describes Kynikos Associates (founded in 1985 and specializing in short selling) and why the firm shorted Enron from November 2000: a pre-tax return on capital of about 7% against a cost of capital of more like 9%, gain-on-sale accounting, insider selling.

Cited in: Legendary investors: the investment styles of the most famous investors, from Graham to Simons

Charupat and Miu (2011) · The Pricing and Performance of Leveraged Exchange-Traded Funds

Charupat, Narat; Miu, Peter. Journal of Banking & Finance 35 (4), pp. 966–977. doi:10.1016/j.jbankfin.2010.09.012

Leveraged ETFs are traded mainly by retail investors with very short holding periods; deviations from the multiple are small for holding periods of up to a week and grow as holding periods lengthen.

Cited in: Leveraged ETFs and return stacking: how they work, long holding periods, costs and research · How leveraged ETFs are built: swaps, daily rebalancing and gamma risk

Chatrath and Liang (1998) · REITs and Inflation: A Long-Run Perspective

Chatrath, Arjun; Liang, Youguo. Journal of Real Estate Research 16 (3), pp. 311–326. doi:10.1080/10835547.1998.12090955

No positive relationship between REIT returns and inflation in regressions; signs of long-run co-movement with the price level 1972–1995 that other cointegration tests do not confirm.

Cited in: Liquid real assets: inflation protection with tradable real assets in a portfolio

Chekhlov et al. (2005) · Drawdown Measure in Portfolio Optimization

Chekhlov, Alexei; Uryasev, Stanislav; Zabarankin, Michael. International Journal of Theoretical and Applied Finance 08 (01), pp. 13–58. doi:10.1142/s0219024905002767

Defines conditional drawdown at risk and optimizes portfolios subject to drawdown limits.

Cited in: Maximum drawdown: the largest loss from a peak · Glossary: Conditional drawdown at risk

Chemmanur et al. (2014) · Corporate Venture Capital, Value Creation, and Innovation

Chemmanur, Thomas J.; Loutskina, Elena; Tian, Xuan. Review of Financial Studies 27 (8), pp. 2434–2473. doi:10.1093/rfs/hhu033

Start-ups financed by corporations (corporate venture capital) are younger, riskier and less profitable, but file more patents than firms backed by independent investors.

Cited in: Venture capital: funding rounds, valuation, the power law and what research knows about returns

Chen et al. (2004) · The Price Response to S&P 500 Index Additions and Deletions: Evidence of Asymmetry and a New Explanation

Chen, Honghui; Noronha, Gregory; Singal, Vijay. The Journal of Finance 59 (4), pp. 1901–1930. doi:10.1111/j.1540-6261.2004.00683.x

Added stocks rise permanently, while deleted stocks do not fall permanently; the authors explain the asymmetry by changes in investor attention.

Cited in: Smart indexing: added value for index funds around corporate actions and index changes · The index effect: what happens to prices when stocks join or leave an index

Chen et al. (2006) · Index Changes and Losses to Index Fund Investors

Chen, Honghui; Noronha, Gregory; Singal, Vijay. Financial Analysts Journal 62 (4), pp. 31–47. doi:10.2469/faj.v62.n4.4185

Arbitrage around index changes costs investors in S&P 500 and Russell 2000 funds $1.0 to $2.1 billion a year, a consequence of judging funds by their tracking error.

Cited in: Smart indexing: added value for index funds around corporate actions and index changes · Glossary: Front-running

Chen et al. (2006) · Human Capital, Asset Allocation, and Life Insurance

Chen, Peng; Ibbotson, Roger G.; Milevsky, Moshe A.; Zhu, Kevin X.. Financial Analysts Journal 62 (1), pp. 97–109. doi:10.2469/faj.v62.n1.4061

Framework in which asset allocation and life insurance follow jointly from human capital and its mortality risk.

Cited in: Your whole wealth: total wealth from portfolio, home, human capital and car

Cheng and Madhavan (2009) · The Dynamics of Leveraged and Inverse Exchange-Traded Funds

Cheng, Minder; Madhavan, Ananth. Journal of Investment Management 7 (4). Source

How leveraged and inverse ETFs work: daily rebalancing of leverage at the market close, a path-dependent option in the return, and their suitability for long-term investors.

Cited in: Leverage in a portfolio: return, risk, costs and margin calls · How leveraged ETFs are built: swaps, daily rebalancing and gamma risk · Order types and execution: from limit orders to MOC, VWAP, TAS and BTIC · Methodology of the free calculators: FIRE, savings plan, withdrawal and leveraged ETF · Glossary: Leveraged ETF · Glossary: Daily leverage reset · Glossary: Inverse ETF

Chernenko et al. (2022) · Why Do Firms Borrow Directly from Nonbanks?

Chernenko, Sergey; Erel, Isil; Prilmeier, Robert. The Review of Financial Studies 35 (11), pp. 4902–4947. doi:10.1093/rfs/hhac016

Loan agreements of US middle-market firms in 2010–2015: a third of the loans come directly from nonbanks, and two thirds of these can be traced back to bank regulation.

Cited in: Private credit and public credit compared: returns, risks and what the research shows

Chetty et al. (2024) · The Economic Impacts of COVID-19: Evidence from a New Public Database Built Using Private Sector Data

Chetty, Raj; Friedman, John N.; Stepner, Michael. The Quarterly Journal of Economics 139 (2), pp. 829–889. doi:10.1093/qje/qjad048

A public database built from anonymized data of private companies (consumer spending, business revenues, job postings, employment) on the economy during the pandemic (with the Opportunity Insights Team).

Cited in: Alternative data: job ads, Reddit, X, satellites and card payments · Glossary: Transaction data

Chingono and Rasmussen (2015) · Leveraged Small Value Equities

Chingono, Brian; Rasmussen, Daniel. SSRN Working Paper, August 2015. doi:10.2139/ssrn.2639647

Replicates the selection of buyout funds on the stock market: small, cheap, highly indebted US stocks that are paying down debt; high average returns from 1965 to 2013 with very high volatility.

Cited in: Measuring private markets: J-curve, cash flows, smoothing and public proxies

Choi and Shachar (2013) · Did Liquidity Providers Become Liquidity Seekers? Evidence from the CDS-Bond Basis during the 2008 Financial Crisis

Choi, Jaewon; Shachar, Or. Federal Reserve Bank of New York, Staff Reports No. 650. Source

After the Lehman collapse, the CDS-bond basis turned sharply negative, mainly because hedge funds unwound basis trades they had built up earlier; dealers provided liquidity but could not close the gap.

Cited in: Basis trades: positive and negative basis in bonds, CDS and futures · Glossary: CDS-bond basis

Chopra and Ziemba (1993) · The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice

Chopra, Vijay Kumar.; Ziemba, William T.. The Journal of Portfolio Management 19 (2), pp. 6–11. doi:10.3905/jpm.1993.409440

Errors in expected returns distort the optimized portfolio many times more than errors in variances and covariances.

Cited in: Efficient frontier: Markowitz portfolio optimization · Beyond Markowitz: estimation error, noise and true diversification · Covariance estimation: why optimizers need shrinkage · Michaud resampled optimization: more stable portfolio weights through simulation · Optimization methodology: estimation, objectives, Black-Litterman, resampling and walk-forward · Glossary: Estimation error · Glossary: Error maximization

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