Publications
Forthcoming
Ahn, Dong-Hyun, Jennifer Conrad and
Robert
Dittmar, “Basis Assets,”
Review
of Financial Studies.
Atanassov, Julian and Han Kim, “Labor and Corporate
Governance: International Evidence from Restructuring Decisions,” Journal
of Finance.
Ravi Bansal, Robert Dittmar, and Dana Kiku,
“Cointegration and Consumption Risks in Assets Returns,” Review of
Financial Studies.
Bharath, Sreedhar,
Pasquariello, Paolo, and Guojun Wu, “Does Asymmetric Information
Drive Capital Structure Decisions?” Review of Financial Studies.
Brenner, Menachem, Pasquariello, Paolo, and Marti
Subrahmanyam, “On the Volatility and Comovement of U.S. Financial markets
Around Macroeconomic News Announcements,” Journal of Financial and
Quantitative Analysis.
Brophy, David,
Paige Ouimet (PhD student) and
Clemens Sialm,
“Hedge Funds as Investors of Last Resort?”
Review of Financial Studies.
Chava, Sudheer, Livdan Dmitry, and Amiyatosh Purnanandam,
“Do Shareholder Rights Affect the Cost of Bank Loans?” Review of
Financial Studies.
Dittmar,
Amy and
Robert Dittmar,
“The Timing of Financing Decisions: An Examination of the Correlation in
Financing Waves,” Journal of Financial Economics.
Goettler, R., C. Parlour, and
Uday Rajan,
“Informed Traders and Limit Order Markets,” Journal of Financial
Economics.
Gupta,
Nandini and
Kathy Yuan,
“On the Growth Effect of Stock Market Liberalizations,” Review of
Financial Studies.
He, Y.,
Li, Haitao,
Wang, J., and C. Wu, “Are Liquidity and Information Risks Priced in the
Treasury Bond Market?” Journal of Finance.
Jarrow, R.,
Li, Haitao,
Liu, S., and C. Wu, “Reduced-Form Valuation of Callable Corporate Bonds:
Theory and Evidence,“ Journal of Financial Economics.
Kallberg, Jarl, Liu, Crocker, and
Paolo
Pasquariello,
“Updating Expectations: An Analysis of Post-9/11 Returns,” Journal of
Financial Markets.
Kim, Han,
Morse Adair, and Luigi Zingales, “Are Elite Universities Losing their
Competitive Edge?” Journal of Financial Economics.
Kim, Han
and M. Zhu,
“Universities as Firms: the Case of US Overseas Programs” NBER.
Li, Erica,
Livdan, Dmitry, and Lu Zhang,
“Anomalies,” Review of Financial Studies.
Li, Haitao
and F. Zhao, “Nonparametric Estimation of State-Price Densities Implicit in
Interest Rate Cap Prices,” Review of Financial Studies.
A. Egorov, Li, Haitao,
and D. Ng,
“A Tale of Two Yield Curves: Modeling the Joint Term Structure of Dollar and
Euro” Journal of Econometrics.
Livdan, Dmitry, Sapriza, Horacio, and
Lu Zhang,
“Financially Constrained Stock Returns,” Journal of Finance.
Liu, Laura and
Lu Zhang,
“Momentum Profits, Factor Pricing, and Macroeconomic Risk,” Review of
Financial Studies.
Lyandres, Evgeny, Sun, Le, and
Lu Zhang,
“The New Issues Puzzle: Testing the Investment-Based Explanation,” Review
of Financial Studies.
Pasquariello, Paolo
and Clara Vega, “The On-The-Run Liquidity Phenomenon,” Journal of
Financial Economics.
Pasquariello, Paolo,
“The Anatomy of Financial Crises: Evidence from the Emerging ADR Market,”
Journal of International Economics.
Purnanandam,
Amiyatosh,
“Financial Distress and Corporate Risk Management: Theory & Evidence,”
Journal of Financial Economics.
Seyhun,
Nejat,
“Insider Trading and Effectiveness of Chinese Walls in Securities Firms,”
Journal of Law, Economics and Policy.
Top of page
2008
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M.P. Narayanan |
Bharath, Sreedhar,
and Tyler Shumway, “Forecasting Default with the Merton
Distance-to-Default Model,” 2008, Review of Financial Studies 21,
1339-1369.
Bharath,
Sreedhar,
Sunder Jayanthi, and Shyam Sunder “Accounting quality and Debt Contracting,”
2008, The Accounting Review 83, 1-28.
Campello, Murillo, Chen, Long, and Lu Zhang, “Expected Returns, Yield
Spreads, and Asset Pricing Tests,” 2008, Review of Financial Studies
21, 1297-1338.
Chen,
Long, Petkova, Ralitsa, and Lu Zhang, “The Expected Value Premium,”
2008, Journal of Financial Economics 87, 269-280.
Dittmar, Robert
and Kathy Yuan,
“Do Sovereign Bonds Benefit Corporate Bonds in Emerging Markets?” 2008,
Review of Financial Studies 21, 1983-2014.
Kallberg Jarl and Paolo Pasquariello, “Time-Series and
Cross-Sectional Excess Comovement in Stock Indexes,” 2008, Journal of
Empirical Finance 15, 481-502.
Khoroshilov , Yuri and
M.P. Narayanan,
“The Role of Profit-Based and Stock-Based Components in Incentive
Compensation,” 2008, Journal of Financial Intermediation 17, 357-378.
Kim,
Han
and W. Kim, “Changes in Korean Corporate Governance: A Response to Crisis”,
2008, Journal of Applied Corporate Finance 20, 47-58.
Li
Haitao,
Wells, M., and L. Yu, “A Bayesian Analysis of Return Dynamics with Lévy
Jumps,” 2008, Review of Financial Studies 21, 2345-2378.
Liu,
Naiping and Lu Zhang, “Is the Value Spread a Useful Predictor of
Returns?” 2008, Journal of Financial Markets 11, 199-227.
Narayanan, M.P.
and Nejat Seyhun, “The Dating Game: Do Managers Designate Option
Grant Dates to Increase Their Compensation?” 2008, Review of Financial
Studies 21, 1907-1945.
Ozdenoren, Emre
and Kathy Yuan, “Feedback Effects and Asset Prices,”
Journal of Finance 63, 1939-1975.
Top of page
2007
Acharya, Viral, Bharath, Sreedhar, and Anand
Srinivasan, “Does Industry wide Distress Affect Defaulted Firms? Evidence
from Creditor Recoveries,” 2007, Journal of Financial Economics 85,
787-821.
Ahern, Kenneth
and Fred Weston, "M&As: The Good, the Bad, and the Ugly," 2007, Journal
of Applied Finance 17, 5-20.
Bharath, Sreedhar,
Sandeep Dahiya, and Antony Saunders, “So What do I get: A Bank’s View of
Lending Relationships?” 2007, Journal of Financial Economics 85,
368-419.
Capozza, Dennis
and Ryan Israelsen, "Predictability in Equilibrium: The Price
Dynamics of Real Estate Investment Trusts," 2007, Real Estate Economics
35.
Chara, Sudheer and Amiyatosh Purnanandam,
“Determinants of the Floating-To-Fixed Rate Debt Structure of Firms”, 2007,
Journal of Financial Economics 85, 755-786.
Davis, Gerry
and Han Kim, “Business Ties and Proxy Voting by Mutual Funds,” 2007,
Journal of Financial Economics 85, 552-570.
Dittmar, Amy
and Jan Mahrt-Smith, “Corporate Governance and the Value of Cash Holdings,”
2007, Journal of Financial Economics 83, 599-634.
Dittmar, Amy
and Anjan Thakor, “Why Do Firms Issue Equity?” 2007, Journal of Finance
62, 1-54.
Durnev, Art and Han Kim, “Explaining Differences in
the Quality of Governance Among Companies: Evidence from Emerging Markets,”
2007, Journal of Applied Corporate Finance 19, 16-24.
Ghose, A., T. Mukhopadhyay and
Uday Rajan,
“The Impact of Internet Referral Services on a Supply Chain,” 2007,
Information Systems Research 18, 300–319.
Hong, Y., Li,
Haitao and F. Zhao, “Can the Random Walk Model Be Beaten in
Out-of-Sample Density Forecasts: Evidence from Intraday Foreign Exchange
Rates,” 2007,
Journal of
Econometrics,
141: 736-776.
Li, Haitao, R. Jarrow and F.
Zhao, “Interest Rate Caps ‘Smile’ Too! But Can the LIBOR Market Models
Capture It?” 2007,
Journal of
Finance,
62: 345-382.
Pasquariello, Paolo
and Clara Vega, “Informed and Strategic Order Flow in the
Bond Markets,” Review of Financial Studies 20, 1975-2019.
Pasquariello, Paolo,
“Imperfect Competition, Information Heterogeneity, and Financial Contagion,”
Review of Financial Studies 20, 391-426.
Pasquariello, Paolo,
“Informative Trading or Just Costly Noise? An Analysis of Central Bank
Interventions,” Journal of Financial Markets 10, 107-143.
Purnanandam, Amiyatosh,
“Interest Rate Derivatives at Commercial Banks: An Empirical Investigation,”
2007, Journal of Monetary Economics 54, 1769-1808.
Top of page
2006
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.
Capozza, Dennis
and T. Thomson, “Sub-prime Transitions: Lingering or Malingering in
Default,” with T. Thomson,
Journal of
Real Estate Finance and Economics,
33: 241-258.
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.
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Haitao Li |
Gomes, Joao F., Amir Yaron
and
Lu Zhang,
“Asset Pricing Implications of Firms’ Financing constraints,” 2006,
Review of Financial Studies,
19 (4): 1321-1356.
Kim, Han,
Adair Morse,
and Luigi Zingales, “What Has Mattered to Economics since 1970?” 2006,
Journal of Economic Perspectives,
20 (4): 189-202.
Li, Haitao
and F. Zhao, “Unspanned Stochastic Volatility: Evidence from Hedging
Interest Rate Derivatives,” 2006,
Journal of
Finance
61, 341-378.
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, 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.
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.
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,
60 (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.
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.
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.
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.
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.
Purnanandam, Amiyatosh
and Bhaskaran Swaminathan, “Are IPOs Really Underpriced?” with B.
Swaminathan, 2004,
Review of
Financial Studies,
17(3), 811-848.
Telang, R.,
U. Rajan
and T. Mukhopadhyay, “The Market Structure for Internet
Search
Engines,” 2004,
Journal of
Management Information Systems,
21(2), 137-160.
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