Publications
Forthcoming
Acharya, Viral V., Sreedhar Bharath and Anand Srinivasan,
"Does Industry Wide Distress Affect Defaulted Firms? Evidence from
Creditor Recoveries," Journal of Financial Economics
Ahn, Dong-Hyun, Jennifer Conrad and Robert Dittmar,
"Basis Assets," Review of Financial Studies
Bansal, Ravi, Robert Dittmar, and
Anan Kiku, "Cointegration and consumption risks in assets returns,"
Review of Financial Studies
Bharath, Sreedhar
and Tyler Shumway,
"Forecasting Defaulth with the Merton-to-Default Model," forthcoming,
Review of Financial Studies
Bharath, Sreedhar,
Jayanthi Sunder, and Shyam Sunder, "Accounting Quality and Debt
Contracting," forthcoming, The Accounting Review
Bharath, Sreedhar, Sandeep Dahiya, Anthony Saunders
and Anand Srinivasan, "So What Do I Get: A Bank's View of Lending
Relationships?" Journal of Financial Economics
Brophy, David, Paige Ouimet (PhD student)
and Clemens Sialm, "Hedge Funds as Investors of
Last Resort?" Review of Financial Studies
Capozza, Dennis and T. Thomson, "Sub-prime Transitions:
Lingering or Malingering in Default," with T. Thomson, Journal
of Real Estate Finance and Economics
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M.P. Narayanan |
Chava, Sudheer and Amiyatosh Purnanandam, "Determinants
of the Floating-to-Fixed Rate Debt Structure of Firms," Journal of
Financial Economics
Dittmar, Amy and Robert Dittmar,
2007, "The Timing of Financing Decisions: An Examination of the
Correlation in Financing Waves," Journal of Financial Economics
Dittmar, Robert and Kathy Yuan, "Do
Sovereign Bonds Benefit Corporate Bonds in Emerging Markets?" Review
of Financial Studies
Gomes, Joao F., Amir Yaron and Lu Zhang, "Asset
Pricing Implications of Firms' Financing Constraints," Review
of Financial Studies
Gopalan, Radhakrishnan, Vikram Nanda and Amit Seru (PhD
student), "Affiliated Firms and Financial Support: Evidence from
Indian Business Groups," Journal of Financial Economics
Hong, Y., Haitao Li and F. Zhao, "Can the Random Walk
Model Be Beaten in Out-of-Sample Density Forecasts: Evidence from Intraday
Foreign Exchange Rates," Journal of Econometrics
Ivkovic, Zoran, Clemens Sialm and Scott Weisbenner,
"Portfolio Concentration and the Performance of Individual Investors,"
Journal of Financial and Quantitative Analysis
Kacperczyk, Marcin T., Clemens Sialm and Lu Zheng,
"Unobserved Actions of Mutual Funds," Review of Financial
Studies
Kacperczyk, Marcin T., Clemens Sialm and Lu
Zheng, "Industry Concentration and Mutual Fund Performance,"
Journal of Investment Management
Kacperczyk, Marcin T. and Amit Seru (PhD student), "Fund
Manager Use of Public Information: New Evidence on Managerial Skills,"
Journal of Finance
Kim, E. Han, Adair Morse (PhD student)
and Luigi Zingales, "What Has Mattered to Economics since 1970?"
Journal of Economic Perspectives
Kim, E. Han and Gerry Davis, "Business
Ties and Proxy Voting by Mutual Funds," Journal of Financial
Economics
Li, Haitao,
Y. He, J. Wang, and C. Wu, "Are Liquidity and Information Risks Priced
in the Treasury Bond Market?" accepted at the Journal of Finance
Li, Haitao, M. Wells and L. Yu, "A Bayesian Analysis
of Return Dynamics with Levy Jumps," Review of Financial Studies
Li, Haitao, R. Jarrow and F. Zhao, "Interest Rate
Caps ‘Smile' Too! But Can the LIBOR Market Models Capture
It?" Journal of Finance
Narayanan, M.P., Cindy Schipani and Nejat Seyhun,
"The Economic Impact of Backdating of Executive Stock Options," Michigan
Law Review 105
Narayanan, M.P. and H.N. Seyhun, "The
Dating Game: Do Managers Designate Option Grant Dates to Increase Their
Compensation?" Review of Financial Studies
Parlour, C., V. Prasnikar and U. Rajan, "Compensating
for the Winner's Curse: Experimental Evidence," Games
and Economic Behavior
Pasquariello, Paolo, Jarl
Kallberg and Crocker Liu, 2007, "Updating Expectations: An Analysis of
Post-9/11 Returns," Journal of Financial Markets
Pasquariello, Paolo and Jarl
Kallberg, 2007, "Time-Series and Cross-Sectional Excess Comovement in Stock
Indexes, Journal of Empirical Finance
Purnanandam, Amiyatosh,
2007, "Financial Distress and Corporate Risk Management: Theory &
Evidence," Journal of Financial Economics
Purnanandam, Amiyatosh, Sudheer
Chava, and Dmitri Livdan, 2007, "Do Shareholder Rights Affect the Cost of
Bank Loans?" Review of Financial Studies
Shumway, Tyler and Sreedhar
Bharath, "Forecasting Default and the Merton Distance to Default Model,"
forthcoming in the RFS
Seyhun, Nejat, "Insider Trading and
Effectiveness of Chinese Walls in Securities Firms," Journal of Law,
Economics and Policy
Ozdenoren, Emre and Kathy Yuan,
"Feedback Effects and Asset Prices," Journal of Finance
Starks, Laura T., Li Yong and Lu Zheng, "Tax-loss
Selling and the January Effect: Evidence from Municipal Bond Closed-end
Funds," Journal of Finance
Chen, Long, Ralitsa Petkova, and Lu
Zhang, "The expected value premium," Journal of Financial Economics
Murillo Campello, Long Chen, and Lu
Zhang, "Expected returns, yield spreads, and asset pricing tests,"
Review of Financial Studies
Liu, Laura Xiaolei and Lu Zhang,
"Momentum profits, factor pricing, and macroeconomic risk," Review of
Financial Studies
Liu, Naiping and Lu Zhang, "Is the
value spread a useful predictor of returns? Journal of Financial Markets
Lyandres, Evgeny, Le Sun, and Lu Zhang,
"The new issues puzzle: Testing the investment-based explanation," Review
of Financial Studies
Top of page
2007
Bharath, Sreedhar, Viral V. Acharya,
and Anand Srinivasan, 2007, "Does Industry-Wide Distress Affect
Defaulted Firms? Evidence from Creditor Recoveries," Journal of Financial
Economics, 85(3), 787-821
Bharath, Sreedhar, Sandeep Dahiya,
Anthony Saunders, and Anand Srivivasan, 2007, "So What do I get: A
bank's view of lending relationships?" Journal of Financial Economics,
85(2), 368-419
Capozza, Dennis and Ryan
Israelsen, 2007, "Predictability in Equilibrium: The Price Dynamics of
Real Estate Investment Trusts," Real Estate Economics, 35:4
Dittmar, Amy and Jan Mahrt-Smith,
2007, "Corporate governance and the Value of Cash Holdings," Journal of
Financial Economics, 83, 599-634
Dittmar, Amy and Anjan Thakor, "Why
Do Firms Issue Equity?" 2007, Journal of Finance, 62, 1-54
Kim, Han and Jerry Davis,
2007, "Business Ties and Proxy Voting by Mutual Funds," Journal of
Financial Economics, Vol. 85, No. 2, August, pp. 552-570
Kim, Han and A. Durnew, 2007,
"Explaining Differences in the Quality of Governance Among Companies:
Evidence from Emerging Markets," Journal of Applied Corporate Finance, Vol.
19, No. 1, Winter, pp. 16-24
Pasquariello, Paolo and Clara Vega,
2007, "Informed and Strategic Order Flow in the Bond Markets," Review of
Financial Studies, 20, pp. 1975-2019
Pasquariello, Paolo, 2007,
"Imperfect Competition, Information Heterogeneity, and Financial Contagion,"
Review of Financial Studies, 20, pp. 391-426
Pasquariello, Paolo, 2007,
"Informative Trading or Just Costly Noise? An Analysis of Central Bank
Interventions," Journal of Financial Markets, 10, pp. 107-143
Purnanandam Amiyatosh,
2007, "Interest Rate Derivatives at Commercial Banks: An Empirical
Investigation," Journal of
Monetary Economics, 54, 1769-1808
Purnanandam, Amiyatoch and Sudheer Chava, 2007, "Determinants of the
floating-to-fixed rate debt structure of firms," Journal of
Financial Economics, 85, 755-786
Ghose, A.,
T. Mukhopadhyay, and U. Rajan, 2007, "The Impact of Internet Referral
Services on a Supply Chain," Information Systems Research,
18(3):300-319
Parlour, C.,
V. Prasnikar, and U. Rajan, 2007, "Compensating for the Winner's
Curse: Experimental Evidence," Games and Economic Behavior, 60(2):339-356
Top of page
2006
Aggarwal, Rajesh and Guojun Wu, "Stock Market
Manipulations," 2006, Journal of Business, 79, 1915-1953
Boyer, Brian, Tomomi Kumagai and Kathy Yuan, "How
do Crises Spread? Evidence from Accessible and Inaccessible Stock Indices,"
2006, Journal of Finance, 61 (2), 957-1003
Chawla, S., Uday Rajan, R. Ravi and A. Sinha, "Minmax
Payoffs of a Location Game," 2006, Operations Research Letters,
34(5): 499-507
Egorov, A., Y. Hong and Haitao Li, "Validating
Forecasts of the Joint Probability Density of Bond Yields: Can Affine
Models Beat Random Walk?" 2006, Journal of Econometrics,
135, 255-284
Gerard, Bruno and Guojun Wu, "How Important Is
Intertemporal Risk for Asset Allocation?" Journal of Business,
2006, 79, 2203-2241
|
Haitao Li |
Kim, Han, A. Morse, and L.
Zingales, 2006, "What Has mattered to Economics since 1970?" Journal of
Economic Perspectives, Vol. 20, No. 4, Fall, pp. 189-202
Li, Haitao and F. Zhao, "Unspanned Stochastic Volatility:
Evidence from Hedging Interest Rate Derivatives," 2006, Journal of
Finance, 61, 341-378
Sialm, Clemens, "Stochastic Taxation and Asset
Pricing in Dynamic General Equilibrium," 2006, Journal of Economic
Dynamics and Control, 30, 511-540
Whited, Toni and Guojun Wu, "Financial Constraints
Risk," 2006, Review of Financial Studies, 19, 531-559
Yuan, Kathy, Lu Zheng and Qiaoqiao
Zhu, "Are Investors Moonstruck? – Lunar Phases and Stock Returns,"
2006, Journal of Empirical Finance, 13, 1-23
Top of page
2005
Bansal, Ravi, Robert Dittmar and Christian Lundblad,
"Consumption, Dividends, and the Cross-Section of Equity Returns,"
2005, Journal of Finance, 60, 1639–1672
Brown, Craig and Serdar Dinc, "The Politics of
Bank Failures: Evidence from Emerging Markets," Quarterly Journal
of Economics, 2005, 120, 1413-1444
Brown, Keith, Amy Dittmar and Henri Servaes, "Corporate
Governance, Incentives, and Industry Consolidations," 2005, Review
of Financial Studies, 18, 1
Cao, C., Haitao Li and F. Yu, "Is Investor Misreaction
Economically Significant? Evidence from Short- and Long-term S&P 500
Index Options," 2005, Journal of Futures Markets, 25, 717-752
Capozza, Dennis and T. Thomson, "Optimal Stopping
and Losses on Subprime Mortgages," 2005, Journal of Real Estate
Finance and Economics, 30:2
Capozza, Dennis, T. Thomson and R. Israelsen,
"Appraisal, Agency and Atypicality: Evidence from Manufactured Housing,"
2005, Real Estate Economics, 33:3, 509-537
Choudhary, V., A. Ghose, T. Mukhopadhyay and U. Rajan,
"Personalized Pricing and Quality Differentiation," 2005,
Management Science, 51(7): 1120-1130
Coval, Joshua and Tyler Shumway, "Do Behavioral
Biases Affect Prices?" 2005, Journal of Finance, 1-34
Dinc, Serdar, "Politicians and Banks: Political
Influences on Government-Owned Banks in Emerging Markets," 2005,
Journal of Financial Economics, 77, 453-479
Goettler, R., C. Parlour and U. Rajan, "Equilibrium
in a Dynamic Limit Order Market," 2005, Journal of Finance,
60(5): 2149-2192
Hong, Y. and Haitao Li, "Nonparametric Specification
Testing for Continuous-time Models with Applications to Term Structure
of Interest Rates," 2005, Review of Financial Studies,
18, 37-84
Jarrow Robert and Amiyatosh Purnanandam, "A Generalized
Coherent Risk Measure: The Firm's Perspective," 2005, Finance
Research Letters, 2, 23-29
Kacperczyk, Marcin T., Clemens Sialm and Lu
Zheng, "On the Industry Concentration of Actively Managed
Equity Mutual Funds," 2005, Journal of Finance, 60(4),
1983- 2011
Kallberg, Jarl, Crocker Liu and Paolo Pasquariello,
"An Examination of the Asian Crisis: Regime Shifts in Currency and
Equity Markets," 2005, Journal of Business, 78, 169-211
Kim, E. Han and Art Durnev, "To Steal or Not to
Steal: Firm Attributes, Legal Environment, and Valuation," 2005,
Journal of Finance, Vol. 60, No. 3, 1461-1493
Parlour, C. and U. Rajan, "Rationing in IPOs,"
2005, Review of Finance, 9(1): 33-63
Pektova, Ralitsa and Lu Zhang, "Is Value Riskier
than Growth?" 2005, Journal of Financial Economics, 78
(1), 187-202
Qin, Lei and Guojun Wu, "Time-Varying Informed
and Uninformed Trading Activities," 2005, Journal of Financial
Markets, 8, 153-181
Yuan, Kathy, "Asymmetric Price Movement and the
Borrowing Constraint: A REE Model of Crises, Contagion, and Confusion,"
2005, Journal of Finance, 60 (1), 379-411
Yuan, Kathy, "The Liquidity Service of Benchmark
Securities," 2005, Journal of European Economic Association,
3 (5), 1156-1180
Zhang, Lu, "The Value Premium," 2005, Journal
of Finance, 60 (1), 67-103
Top of page
2004
Amin, Kaushik, Joshua Coval, and H. Nejat Seyhun, "Index
Option Prices and Stock Market Momentum," 2004, Journal of Business,
77, 4, 835-873
Barber, Brad, Terry Odean and Lu Zheng, "Out of
Sight, Out of Mind: The Effects of Expenses on Mutual Fund Flows,"
2004, Journal of Business, 78(6), 2095-2119
Brandt, Michael W., Qi Zeng, and Lu Zhang, "Equilibrium
Stock Return Dynamics Under Alternative Rules of Learning about Hidden
States," 2004, Journal of Economic Dynamics and Control,
28 (10), 1925-1954
Cai, Fang and Lu Zheng, "Institutional Trading
and Stock Returns," 2004, Finance Research Letters, 1 (3),
178-189
Capozza, Dennis, P. Hendershott and C. Mack, "An
Anatomy of Price Dynamics in Illiquid Markets: Analysis and Evidence from
Local Housing Markets," 2004, Real Estate Economics, 32:1,
1-32
Chari, Anusha and Peter Blair Henry, "Risk Sharing
and Asset Prices: Evidence from a Natural Experiment," 2004, Journal
of Finance, Vol. 59, No. 3, pp. 1295-1324
Dittmar, Amy, "Capital Structure in Corporate
Spin-offs," 2004, Journal of Business, 77, 9-43
Goel Anand, M.P. Narayanan and Vikram Nanda, "Career
Concerns and Resources Allocation in Conglomerates," 2004, Review
of Financial Studies, 17, 99-128
Hong Y., F. Zhao and Haitao Li, "Out-of-Sample
Performance of Discrete-time Spot Interest Rate Models," 2004, Journal
of Business and Economic Statistics, 22, 457-473
Nanda, Vikram, Jay Wang, and Lu Zheng,
"Family Values and the Star Phenomenon," 2004, Review
of Financial Studies, 17(3), 667-698
Poterba, James, John Shoven and Clemens Sialm, "Asset
Location for Retirement Savers," William Gale et al. (Editors), 2004,
Private Pensions and Public Policies, 290-331
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Amiyatosh Purnanandam |
Purnanandam, Amiyatosh and Bhaskaran Swaminathan, "Are
IPOs Really Underpriced?" with B. Swaminathan, 2004, Review of Financial
Studies, 17(3), 811-848
Shoven, John and Clemens Sialm, "Asset Location
in Tax-deferred and Conventional Savings Accounts," 2004, Journal
of Public Economics, 88, 23-38
Telang, R., U. Rajan and T. Mukhopadhyay, "The
Market Structure for Internet Search Engines," 2004, Journal
of Management Information Systems, 21(2), 137-160
Top of page
2003
Ahn, Dong-Hyun, Robert Dittmar, A. Ronald Gallant and
Bin Gao, "Purebred or Hybrid?: Reproducing the Volatility in Term
Structure Dynamics," 2003, Journal of Econometrics, 116,
147–180
Ahn, Dong-Hyun, Jennifer Conrad and Robert Dittmar,
"Risk Adjustment and Trading Strategies," 2003, Review
of Financial Studies, 16, 459–485
Bailey W., Haitao Li, C. Mao and R. Zhang, "Regulation
FD and Earnings Information: Market, Analyst, and Corporate Responses,"
2003, Journal of Finance, 58, 2489-2516
Capozza, Dennis and Paul Seguin, "Inside Ownership,
Risk Sharing and Tobin's q Ratios," 2003, Real Estate
Economics, 312, 3, 367-404
Conrad, Jennifer, Michael Cooper and Gautam Kaul, "Value
versus Glamour," 2003, Journal of Finance, 58, 1969-1995
Dittmar, Amy and Anil Shivdasani, "Divestitures
and Divisional Investment Policies," 2003, Journal of Finance,
58, 2711-2743
Dittmar, Amy, Jan Mahrt-Smith and Henri Servaes, "International
Corporate Governance and Corporate Cash Holdings," 2003, Journal
of Financial and Quantitative Analysis, 38, 111-134
Duffie, Darrell, Robert Jarrow, Amiyatosh Purnanandam
and Wei Yang, "Market Pricing of Deposit Insurance," 2003, Journal
of Financial Services Research, 24, 93-119
Egorov A., Haitao Li and Y. Xu, "Maximum Likelihood
Estimation of Time-inhomogeneous Diffusions," 2003, Journal
of Econometrics, 114, 107-139
Goel, Anand and Anjan Thakor, "Why Do Firms Smooth
Earnings?" 2003, Journal of Business, 76-1, 151-192
Gomes, Joao F., Amir Yaron and Lu Zhang, "Asset
Prices and Business Cycles with Costly External Finance," 2003,
Review of Economic Dynamics, 6 (4), 767-788
Gomes, Joao F., Leonid Kogan and Lu Zhang, "Equilibrium
Cross Section of Returns," 2003, Journal of Political Economy,
111 (4), 693-732
Hirshleifer, David and Tyler Shumway, "Good Day
Sunshine: Stock Returns and the Weather," 2003, Journal of Finance,
1009-1032
Kim, E. Han and J.K. Yi, "Effects of Unanticipated
EVAs on Stock Returns," 2003, Daehan Journal of Management,
No. 39, 134-154
Li, Haitao and C. Mao, "Corporate Use of Interest
Rate Swaps: Theory and Evidence," 2003, Journal of Banking and
Finance, 27, 1511-1538
Parlour, C. and U. Rajan, "Payment for Order Flow,"
2003, Journal of Financial Economics, 68(3), 379-411
Top of page
2002
Ahn, Dong-Hyun, Robert Dittmar and A. Ronald Gallant,
"Quadratic Term Structure Models: Theory and Evidence," 2002,
Review of Financial Studies, 15, 243–288
Altman, Edward, Sreedhar Bharath and Anthony Saunders,
"Credit Ratings and the BIS Capital Adequacy Reform Agenda,"
2002, Journal of Banking and Finance, 26, 909-921
Capozza, Dennis and Yuming Li, "Optimal Land Development
Decisions," 2002, Journal of Urban Economics, 51, 123-142
Dittmar, Robert, "Nonlinear Pricing Kernels, Kurtosis
Preference, and Evidence from the Cross-Section of Equity Returns,"
2002, Journal of Finance, 57, 369–403
Kallberg, Jarl, Crocker Liu and Paolo Pasquariello, "Regime
Shifts in Asian Equity and Real Estate Markets," 2002, Real
Estate Economics, 30, 263-291
Li, Haitao and Y. Xu, "Survival Bias and the Equity
Premium Puzzle," 2002, Journal of Finance, 57, 1981-1996
Pasquariello, Paolo, "Uncertainty of Trading Rules
in Currency Markets: an Application of Non-Parametric Bootstrapping,"
2002, Journal of Multinational Financial Management, 12, 107-133
Wu, Guojun and Zhijie Xiao, "An Analysis of Risk
Measures," 2002, Journal of Risk, 4, 53-75
Wu, Guojun and Zhijie Xiao, "A Generalized Partially
Linear Model of Asymmetric Volatility," 2002, Journal of Empirical
Finance, 9, 287-319
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