Publications
Forthcoming
Ahern, Kenneth and Denis
Sosyura, "Who
Writes the News? Corporate Press Releases during Merger Negotiations," Journal
of Finance.
Anderson, Charles, Dennis Capozza, and Robert Van Order,
"Deconstructing a Mortgage Meltdown: A Methodology for Decomposing
Underwriting Quality," Journal of Money Credit and Banking.
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.
Duchin, Ran and Denis
Sosyura,
"Divisional Managers and Internal Capital Markets," Journal
of Finance.
Duchin, Ran and Denis
Sosyura, "The
Politics of Government Investment, Journal
of Financial Economics.
Kim, Han
and Yao Lu, "CEO Ownership, External Governance, and Risk-taking,"
Journal of Financial Economics.
Kotter, Jason (PhD
Student) and Ugur Lel, "Friends or Foes? Target Selection Decisions of
Sovereign Wealth Funds and Their Consequences," Journal of Financial
Economics.
Li, Haitao, Wells, M., and Yu, L., “Return Dynamics with Lévy Jumps: Evidence
from Stock and Option Prices,” Mathematical Finance.
Li, Haitao, Xu, Y., and Zhang, X., “Evaluating Asset Pricing Models Using the
Second Hansen-Jagannathan Distance,” Journal of Financial Economics.
Palomino, Francisco, “Bond Risk Premia and Optimal Monetary Policy,” Review of
Economic Dynamics.
Purnanandam,
Amiyatosh, "Originate-to-distribute model and the subprime mortgage
crisis," Review of Financial Studies.
2011
Bhattacharyya, Sugato, “Horizontal
Acquisitions and Buying Power: A Product Market Analysis (with Amrita Nain),
2011, Journal of Financial Economics 99(1): 97-115.
Chava, Sudheer
and Amiyatosh Purnanandam, "The Effect of Banking-Crisis on
Bank-Dependent Borrows," 2011, Journal of Financial Economics, 99,
116-135.
Egorov, A., Haitao Li,
and D. Ng,
“A Tale of Two Yield Curves: Modeling the Joint Term Structure of Dollar and
Euro Interest Rates” Journal of Econometrics 162, 55-70, 2011.
Li, Haitao, X., Zhang, and R. Zhao, “Investing in Talents: Manager
Characteristics and Hedge Fund Performances,” Journal of Financial and
Quantitative Analysis 46, 59-82, 2011.
Top of page
2010
Attar, A., E., Campioni, G. Piaser, and Uday Rajan, “On
Multiple-Principal Multiple-Agent Models of Moral Hazard,” 2010, Games
and Economic Behavior, 68, 376-380.
Bharath,
Sreedhar and Amy Dittmar, “Why Do Firms Use Private Equity to Opt Out
of Public Markets,” 2010, Review of Financial Studies, 23(5):
1772-1818.
Capozza, Dennis
and Ryan Israelsen, “How Quickly do Equity Prices Converge to Intrinsic
Value?” Journal of Investment Management, 2010, 8:4, 1-13.
Chava, Sudheer and
Amiyatosh Purnanandam, "CEOs vs. CFOs: Incentives and Corporate
Policies," 2010, Journal of Financial Economics, 97, 263-278.
Chava, Sudheer and
Amiyatosh Purnanandam, "Is Default Risk Negatively Related to Stock
Returns?" 2010, Review of Financial Studies, 23, 2523-2559.
Inci,
Ahmet Can, Lu Biao, and H. Nejat Seyhun,
"Intraday Behavior of Stock Prices and Traces around Insider Trading," 2010,
Financial Management.
Inci,
Ahmet Can and H.
Nejat Seyhun, "How do Quotes and
Prices Evolve around Isolated Informed Trades?" 2010, Journal of
Economics and Finance, 10.1007/s12197-010-0146-7.
Jarrow, R.,
Haitao Li,
S. Liu, and C. Wu, “Reduced-Form Valuation of Callable Corporate Bonds:
Theory and Evidence,“ Journal of Financial Economics 95, 227-248,
2010.
Kaul, Gautam and Moses
Lee, "Acumen Fund: Valuing a Social Venture (A)," 2010.
Kaul, Gautam and Moses
Lee, "Acumen Fund: Valuing a Social Venture (B)," 2010.
Kim, Han and Zhu, Min, “Universities as Firms: The Case of US Overseas
Programs,” American Universities in a Global Market, edited by
Charles Clotfelter, an NBER publication, the University of Chicago Press,
2010, pp. 163-205.
Liberopoulos, George, Isidoros Tsikis, and Stefanos Delikouras (PhD
student), “Backorder
Penalty Cost Coefficient “b”: What Could it Be?” 2010, International
Journal of Production Economics, 123, 166-178.
Pasquariello, Paolo, “Central Bank Intervention and the Intraday Process of Price
Formation in Currency Markets,” (2010), Journal of International Money and
Finance, 29, 1045-1061.
Rajan, Uday, Amit Seru,
and Vikrant Vig, "Statistical Default Models and Proceedings," (2010),
American Economic Review Paper and Proceedings, 100(2): 506-510.
Seru, Amit, Tyler Shumway and Noah Stoffman, “Learning By
Trading,” (2010), Review of Financial Studies.
Top of page
2009
Ahn, Dong-Hyun, Jennifer Conrad and
Robert
Dittmar, “Basis Assets,” 2009,
Review
of Financial Studies 22, 1533-1574.
Atanassov, Julian and Han Kim, “Labor and Corporate
Governance: International Evidence from Restructuring Decisions,” 2009,
Journal of Finance, 64, 341-374.
Bansal, Ravi, Robert Dittmar, and Dana Kiku,
“Cointegration and Consumption Risks in Assets Returns,” 2009, Review of
Financial Studies 22, 1343-1375.
Bharath, Sreedhar, Paolo Pasquariello and Wu, Guojun, “Does
Asymmetric Information Drive Capital Structure Decisions?” Review of
Financial Studies, 22, 3211-3243.
Brenner, Menachem, Paolo Pasquariello and Marti
Subrahmanyam, “On the Volatility and Comovement of U.S. Financial markets
Around Macroeconomic News Announcements,” Journal of Financial and
Quantitative Analysis, 2009, 44, 1265-1289, lead article.
Capozza, Dennis and A. Nakamura, “An Introduction to Owner Occupied Housing in
National Accounts and Inflation Measures,” 2009, Journal of Housing
Economics, 18, 151-155.
Chava, Sudheer,
Dmitri Livdan, and Amiyatosh Purnanandam, "Do Shareholder Rights
Affect the Cost of Bank Loans?" 2009, Review of Financial Studies,
22, 2973-3004.
Goettler, R., C. Parlour and Uday Rajan, “Informed Traders
and Limit Order Markets,” 2009, Journal of Financial Economics, 93,
67-87.
He, Y.,
Li, Haitao,
Wang, J., and C. Wu, “Are Liquidity and Information Risks Priced in the
Treasury Bond Market?” Journal of Finance 64, 467-503, 2009.
Kim, Han, “Corporate Governance and Labor Relations,” 2009, Journal of
Applied Corporate Finance, 21, 57-66.
Kim, Han, Adair Morse and Luigi Zingalesi, “Are Elite Universities Losing
their Competitive Edge?” 2009, Journal of Financial Economics, 93,
353-381, lead article.
Krishna, A., and Uday Rajan, “Cause Marketing: Spillover
Effects of Cause-Related Products in a Product Portfolio,” Management
Science (Marketing area), 55, 1469-1485.
Li, Haitao
and F. Zhao, “Nonparametric Estimation of State-Price Densities Implicit in
Interest Rate Cap Prices,” Review of Financial Studies 22, 4335-4376,
2009.
Li, Haitao, and Xu, Y., “Short Rate Dynamics and Regime Shifts,”
International Review of Finance 9, 211-241, 2009.
Pasquariello, Paolo and Vega, Clara, “The On-The-Run Liquidity Phenomenon,” Journal
of Financial Economics, 92, 1-24, lead article.
Top of page
2008
|
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.
Carmel, Jonathan, “But Is It Myopia? Risk Aversion and the Efficiency of
Stock-Based Incentives," 2008, Journal of Economics and Management
Strategy, 17:2, 541-579.
Dittmar, Amy, “Corporate Cash Policy and How to Manage it with Stock
Repurchases,” 2008, Journal of Applied Corporate Finance, 20, 22-34.
Dittmar, Amy and Robert Dittmar, “The Timing of Financing
Decisions: An Examination of the Correlation in Financing Waves,” 2008,
Journal of Financial Economics, 90, 59-83.
Dittmar, Robert
and
Kathy Yuan,
“The Pricing Impacts of Sovereign Bonds,” 2008,
Review of Financial Studies 21, 1983-2014.
Kallberg, Jarl, Crocker Liu and Paolo Pasquariello,
“Updating Expectations: An Analysis of Post-9/11 Returns,” 2008, Journal
of Financial Markets, 11, 400-432.
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. Reprinted in
Journal of Korean Law, 8, 2008.
Li
Haitao,
Wells, M., and L. Yu, “A Bayesian Analysis of Return Dynamics with Lévy
Jumps,” 2008, Review of Financial Studies 21, 2345-2378.
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.
Pasquariello, Paolo, “The Anatomy of Financial Crises: Evidence from the Emerging ADR
Market,” 2008, Journal of International Economics, 76, 193-207.
Purnanandam,
Amiyatosh,
“Financial Distress and Corporate Risk Management: Theory & Evidence,”
2008, Journal
of Financial Economics, 87, 706-739.
Seyhun,
Nejat,
“Insider Trading and Effectiveness of Chinese Walls in Securities Firms,”
2008,
Journal of Law, Economics and Policy, 4, 2, 369-407.
Top of page
2007
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
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.
|
Haitao Li |
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.
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
Uday 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
Uday 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
Uday Rajan,
“Rationing in IPOs,” 2005,
Review of
Finance,
9(1): 33-63.
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.
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.,
Uday Rajan
and T. Mukhopadhyay, “The Market Structure for Internet
Search
Engines,” 2004,
Journal of
Management Information Systems,
21(2), 137-160.
Top of page
|
