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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


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

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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

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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

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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


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

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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

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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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