Working Papers

WP# Title of Paper Author
2014
1-14 A Protocol for Factor Identification Kuntara Pukthuanthong and Richard Roll
2013
1-13

Rival Reactions

Nihat Aktas, Eric de Bodt, Richard Roll

2-13 Financial Market Shocks and the Macroeconomy

Avanidhar Subrahmanyam, Sheridan Titman

3-13

Time Varying Market Efficiency in the Cross-Section of Expected Stock Returns

Ferhat Akbas, Will J. Armstrong, Sorin Sorescu, Aanidhar Subrahmanyam 

4-13 The Pricing of Good and Bad Private Information

Michael J. Brennan, Sahn-Wook Huh, Avanidhar Subrahmanyam

5-13

An Empirical Analysis of Co-Movements in High-and Low-Frequency Measures of Market Efficiency

Dominik M. Rosch, Avanidhar Subrahmanyam, Mathijs A. Van Dijk

6-13

DEFLATION RISK

Matthias Fleckenstein, Francis A. Longstaff, Hanno Lustig

7-13

Disagreement and Asset Prices

Bruce I. Carlin, Francis A. Longstaff, Kyle Matoba

8-13

Stressors and Financial Market Trading: The Case of Marital Separation

Andrew Grant, Petko Kalev, Avanidhar Subrahmanyam, Joakim Westerholm

9-13

Informed Trading and the Pricing of Good and Bad Private Information in the Cross-Section of Expected Stock Returns

Michael J. Brennan, Sahn-Wook Huh, Avanidhar Subrahmanyam

10-13

Short-Term Reversals and the Efficiency of Liquidity Provision

Si Cheng, Allaudeen Hameed, Avanidhar Subrahmanyam, Sheridan Titman 

11-13

Time Varying Market Efficiency 

Ferhat Akbas, Will J. Armstrong, Sorin Sorescu, Avanidhar Subrahmanyam

2012
1-12 Optimal Pricing Strategy in the Case of Price Dispersion: New Evidence from the Tokyo Housing Market Yongheng Deng, Stuart A. Gabriel, Kiyohiko G. Nishimura, Diehang (Della) Zheng
2-12 Can Metropolitan Housing Risk be Diversified? A Cautiopnary Tale from the Recent Boom and Bust

John Cotter, Stuart Gabriel and Richard Roll

3-12

Fear and Loathing in the Housing Market:Evidence from Search Query Data

Marcelle Chauve, Stuart Gabriel, Chandler Lutz 

2011
1-11 How Stable Are Corporate Capital Structures? Richard Roll, Harry DeAngelo
2-11 Learning from Repetitive Acquisitions: Evidence frm the Time Between Deals Richard Roll, Nihat Aktas, Eric de Bodt
3-11

A Simple Method for Assessing Project Risk by Adjusting for Growth Options Leverage

Antonio E. Bernardo; Bhagwan Chowdhry; Amit Goyal
4-11 Volume in Redundant Assets Richard Roll, Eduardo S. Schwartz & Avanidhar Subrahmanyam
5-11 (Im) Possible Frontiers: A Comment Moshe Levy and Richard Roll
6-11

Institutional Determinants of Capital Structure Adjustment Speeds

7-11 Systemic Sovereign Credit Risk: Lessons From The U.S. And Europe Andrew Ang, Francis A. Longstaff
8-11 Investment in Organization Capital Bruce Carlin, Bhagwan Chowdhry, Mark Garmaise
9-11 Integration and Contagion in US Housing Markets John Cotter, Stuart Gabriel, Richard Roll
10-11 Volatility, Correlation, and Spread ETFs as Factors Richard Roll
11-11 Hedging Corporate Cash Flow Risk Bhagwan Chowdhry, Eduardo Schwartz
12-11 Anchoring and HOusing Choice: Results of a Natural Policy Experiment Yuval Arbel, Danny Ben-Shahar, Stuart Gabriel
1-12

CEO Narcissism and the Takeover Process: From Private Initiation to Deal Completion

Richard Roll, Nihat Aktas, Eric de Bodt and Helen Bollaert

2010
1-10 Cash Flow Multipliers and Optimal Investment Decisions Holger Kraft, Eduardo Schwartz
2-10 Migration And Economic Growth In China: The Role of Knowledge and Human Capital Spillover Yuming Fu, Stuart Gabriel
3-10 Internationally Correlated Jumps Richard Roll, Kuntara Pukthuanthong-Le
4-10 CEO Narcissism and the Takeover Process Richard Roll, Nihat Aktas, Eric de Bodt and Helen Bollaert
5-10 MicroHoo: Lesson from a takeover attempt

Nihat Aktas, Eric de Bodt, and Richard Roll

6-10 Volume in Redundant Assets Richard Roll, Eduardo S. Schwartz & Avanidhar Subrahmanyam
7-10 Development and Freedom as Risk Management Bhagwan Chowdhry, Richard Roll, Konark Saxena

2009

1-09 Capital Structure Effects on Prices of Firm Stock Options: Test Using Implied Market Values of Corporate Debt (Revised, November, 2010) Robert Geske, Yi Zhou
2-09 Sell-side Illiquidity and the Cross-Section of Expected Stock Returns Avanidhar Subrahmanyam, Michael J. Brennan, Tarun Chordia, Qing Tong
3-09 O/S: The Relative Trading Activity in Options and Stock Richard Roll, Eduardo Schwartz, and Avanidhar Subrahmanyam
4-09 Gold and the Dollar (and the Euro, Pound and Yen) Kuntara Pukthuanthong-Le and Richard Roll
5-09

How Does the Market Value Toxic Assets? (forth coming in the Journal of Financial and Quantitative Analysis)

Francis A. Longstaff and Brett Myers
6-09 Optimal Financial Naivete Avanidhar Subrahmanyam
7-09 Human Capital Spillovers, Labor Migration and Regional Development in China Yuming Fu and Stuart A. Gabriel
8-09 How Sovereign is Sovereign Credit Risk? Francis A. Longstaff, Jun Pan, Lasse H. Pedersen and Kenneth J. Singleton
9-09 Counterparty Credit Risk and the Credit Default Swap Market Navneet Arora, Priyank Gandhi and Francis A. Longstaff
10-09 IQ and Stock Market Participation Mark Grinblatt, Matti Keloharju and Juhani Linnainmaa
11-09 Is Conduit Lending to Blame? Asymmetric Information, Adverse Selection, and the Pricing of CMBS Xudong An, Yongheng Deng and Stuart A. Gabriel
12-09 Towards a Common European Monetary Union Risk Free Rate Sergio Mayordomo, Juan Ignacio Pena and Eduardo S. Schwartz
13-09 Do Smart Investors Outperform Dumb Investors? Mark Grinblatt, Matti Keloharju, Juhani Linnainmaa
14-09 A Comparative Anatomy of REITs and Residential Real Estate Indexes: Returns, Risks and Distributional Characteristics Richard Roll, John Cotter
15-09 Liquidity Skewness Richard Roll, Avanidhar Subrahmanyam
16-09 Internationally Correlated Jumps Kuntara Pukthuanthong-Le and Richard Roll
17-09 Housing Risk and Return: Evidence From A Housing Asset-Pricing Model

Karl Case, John Cotter, and Stuart Gabriel

2008

1-08 The Market Portfolio May Be Mean-Variance Efficient After All Moshe Levy, Richard Roll
2-08 Real Interest Rates, Expected Inflation, and Real Estate Returns: A Comparison of the U.S. and Canada Kuntara Pukthuanthong, Richard Roll
3-08 Systemic Credit Risk: What is the Market Telling Us? Vineer Bhansali, Robert Gingrich and Francis Longstaff
4-08 Train Wrecks: Asset Pricing and the Valuation of Severely Distressed Assets Francis Longstaff
5-08 Possibility of dying as a unified explanation of (i) Why we discount the future, (ii) get weaker with age, and (iii) display risk-aversion Bhagwan Chowdhry
6-08 Corporate Finance Policies and Social Networks Cesare Fracassi
7-08 Alternative Variance Estimators for Pricing Options Robert Geske, Richard Roll, and Yuzhao Zhang
8-08 CDO Market Implosion and the Pricing of Subprime Mortgage-Backed Securities Yongheng Deng, Stuart A. Gabriel, Anthony B. Sanders
9-08 Do the GSEs Expand the Supply of Mortgage Credit? New Evidence of Crowd Out in the Secondary Mortgage Market Stuart A. Gabriel, Stuart S. Rosenthal
10-08 Average and Marginal Tobin's q as Indicators of Future Growth Opportunities, Expected Return, and Risk Richard Roll and J. Fred Weston
11-08 The Elapsed Time Between Acquisitions Nihat Aktas, Eric de Bodt, and Richard Roll
12-08 Global Market Integration: An Alternative Measure and Its Application Kuntara Pukthuanthong-Le and Richard Roll

2007

1-07 Corporate Governance and Financial Markets Avanidhar Subrahmanyam
2-07 Mergers and Acquisitions in 2007 Kenneth Ahern and Fred Weston
3-07 M&As: The Good, the Bad, and the Ugly Kenneth Ahern and Fred Weston
4-07 Investor Reaction to Inter-Corporate Business Contracting:Evidence and Explanation Fayez A. Elayan, Kuntara Pukthuanthong, Richard Roll
5-07 Learning, Hubris, and Corporate Serial Acquisitions Nihat Aktas, Eric de Bodt, Richard Roll
6-07 Corporate Serial Acquisitions: An empirical test of the learning hypothesis Nihat Aktas, Eric de Bodt, Richard Roll
7-07 Real Options with Uncertain Maturity and Competition Kristian R. Miltersen, Eduardo S. Schwartz
8-07 Pricing S&P 500 Index Put Options: Smiles, Skews, and Leverage Robert Geske, Yi Zhou
9-07 Options Trading Activity and Firm Valuation Richard Roll, Eduardo Schwartz, and Avanidhar Subrahmanyam
10-07 Systematic Mispricing Michael J. Brennan, Ashley W. Wang
11-07 Why Has Trading Volume Increased? Tarun Chordia, Richard Roll, and Avanidhar Subrahmanyam
12-07 The Mispricing Return Premium Michael J. Brennan, Ashley W. Wang
13-07 Capital Gains Taxes, Agency Costs, and Closed-end Fund Discounts Michael J. Brennan, Ravi Jain
14-07 HUD Purchase Goals and Crowd Out: Do the GSEs Expand the Supply of Mortgage Credit? Stuart A. Gabriel, Stuart S. Rosenthal
15-07 Secondary Markets, Risk, and Access to Credit Evidence From the Mortgage Market Stuart A. Gabriel, Stuart S. Rosenthal
16-07 Optimal Pricing Strategy with Price Dispersion: New Evidence from the Tokyo Housing Market Yongheng Denga, Stuart A. Gabriel, Kiyohiko G. Nishimurac, and Diehang Zhenga
17-07 Franchising Microfinance (Updated February 2009) Amit Bubna and Bhagwan Chowdhry
18-07 Are Mutual Fund Fees Competitive? What IQ-Related Behavior Tells Us Mark Grinblatt, Seppo Ikäheimo, and Matti Keloharju
19-07 Negotiation Under the Threat of an Auction: Friendly deals, ex-ante competition and bidder returns Nihat Aktas, Eric de Bodt & Richard Roll

2006

1-06 International Capital Markets and Foreign Exchange Risk Michael J. Brennan and Yihong Xia
2-06 Updated February 2007, see 6-07 Nihat Aktas, Eric de Bodt, and Richard Roll
3-06 An Empirical Analysis of the Pricing of Collateralized Debt Obligations (Updated April 2006) Francis Longstaff and Arvind Rajan
4-06 Liquidity, Return, and Order Flow Linkages Between REITs and the Stock Market Avanidhar Subrahmanyam
5-06 Executive Compensation and Investor Clientele (Updated July 2006) Laura Frieder and Avanidhar Subrahmanyam
6-06 Sensation Seeking, Overconfidence, and Trading Adversity (Updated January 2008) Mark Grinblatt and Matti Keloharju
7-06 Lagged Order Flows and Returns: A Longer-Term Perspective Avanidhar Subrahmanyam
8-06 Dual-Class Premium, Corporate Governance, and the Mandatory Bid Rule: Evidence from the Brazilian Stock Market Andre Carvalhal da Silva and Avanidhar Subrahmanyam
9-06 Information and Intermediary: Are Market Intermediaries Informed Traders in Electronic Markets? Amber Anand and Avanidhar Subrahmanyam
10-06 A General Stochastic Volatility Model for the Pricing and Forecasting of Interest Rate Derivatives Anders B. Trolle and Eduardo S. Schwartz
11-06 Impulse Responses of Exchange Rate and Prices under Purchasing Power Parity: Japanese Evidence from An Extracted Inflation-Based Study Hirao Kojima
12-06 Do Real Exchange Rates Follow A Random Walk?: Extracted Inflation-Based Evidence from Japanese Yen Hirao Kojima
13-06 Theory-Based Illiquidity and Asset Pricing Tarun Chordia, Sahn-Wook Huh and Avanidhar Subrahmanyam
14-06 The Anatomy of Fluctuations in Book/Market Ratios Amber Anand and Avanidhar Subrahmanyam
15-06 How Employees Stock Options and Executive Equity Ownership Affect Long-term IPO Operating Performance Richard Roll, Thomas Walker, Kuntara Pukthuanthong
16-06 Social Networks and Corporate Governance Avanidhar Subrahmanyam
17-06 Unspanned stochastic volatility the pricing of commodity derivatives Anders B. Trolle, Eduardo S. Schwartz
19-06 The Effects of Leverage On The Pricing S&P 500 Index Call Options Robert Geske, Yi Zhou

2005

1-05 Corruption, Firm Governance, and the Cost of Capital Mark Garmaise and Jun Liu
2-05 Risk, Return and Dividends Andrew Ang and Jun Liu
3-05 Information, Diversification, and Cost of Capital John Hughes, Jing Liu, and Jun Liu
4-05 A Theory of Socialistic Internal Capital Markets Antonio E. Bernardo, Jiang Luo, and James J.D. Wang
5-05 Using Option Pricing Theory to Infer About Historical Equity Premiums Knut K. Aase
6-05 On the Consistency of the Lucas Pricing Formula (UPDATED 6/6/05) Knut K. Aase
7-05 Option Strategies: Good Deals and Margin Calls Pedro Santa-Clara and Alessio Saretto
8-05 Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns Michael W. Brandt, Pedro Santa-Clara, and Rossen Valkanov
9-05 Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options Pedro Santa-Clara and Shu Yan
10-05 Homeownership as a Constraint on Asset Allocation Stephen Day Cauley, Andrey D. Pavlov, and Eduardo S. Schwartz
11-05 Pricing Microfinance Loans and Loan Guarantees using Biased Loan Write-off Data Bhagwan Chowdhry, David Cassell, James B. Gamett, Gary J. Milkwick, Chad D. Nielsen, Jon D. Sederstrom
12-05 The Joint Dynamics of Liquidity, Returns, and Volatility Across Small and Large Firms Tarun Chordia, Asani Sarkar, and Avanidhar Subrahmanyam
13-05 Updated February 2007, see 5-07 Nihat Aktas, Eric de Bodt, and Richard Roll
14-05 Equilibrium in Marine Mutual Insurance Markets with Convex Operating Costs Knut K. Aase
15-05 The perpetual American put option for jump-diffusions with applications Knut K. Aase
16-05 Option Pricing Kernels and the ICAPM Michael J. Brennan, Xiaoquan Liu, and Yihong Xia,
17-05 Dollar Cost Averaging Michael J. Brennan, Feifei Li, and Walter N. Torous
18-05 Motivating entrepreneurial activity in a firm Antonio E. Bernardo, Hongbin Cai, and Jiang Luo
19-05 How Employee Stock Options and Executive Equity Ownership Enhance Long-term IPO Performance Kuntara Pukthuanthong, Richard Roll, Thomas Walker
20-05 The Valuation Effect and Determinants of Corporate Contracting Fayez A. Elayan, Kuntara Pukthuanthong, Richard Roll
21-05 Liquidity and Market Efficiency Tarun Chordia, Richard Roll, and Avanidhar Subrahmanyam
22-05 Franchising Microfinance (Updated Sept.2007 See 17-07) Amit Bubna and Bhagwan Chowdhry
23-05 Investor Psychology and Tests of Factor Pricing Models Kent Daniel, David Hirshleifer, and Avanidhar Subrahmanyam
24-05 Growth Options, Beta, and the Cost of Capital (Updated 10/27/06) Antonio E. Bernardo, Bhagwan Chowdhry, and Amit Goyal

25-05

Learning and Stock Market Participation

Juhani Linnainmaa

26-05

The Limit Order Effect

Juhani Linnainmaa

27-05

Learning From Experience

Juhani Linnainmaa

28-05

The Individual Day Trader

Juhani Linnainmaa

2004

1-04 The Cross-Section of Analyst Recommendations Sorin Sorescu and Avanidhar Subrahmanyam
2-04 Commonality in Liquidity Shocks and Market Collapse: Theory and Application to the Market for Perps Chitru S. Fernando, Richard J. Herring, and Avanidhar Subrahmanyam
3-04 A Delegated Agent Asset-Pricing Model Bradford Cornell and Richard Roll
4-04 How Did It Happen? Michael J. Brennan
5-04 Taxes and Dividend Clientele: Evidence from Trading and Ownership Structure Yi-Tsung Lee, Yu-Jane Liu, Richard Roll and Avanidhar Subrahmanyam
6-04 European M&A Regulation is Protectionist Nihat Aktas, Eric de Bodt, and Richard Roll
7-04 Order Flow Patterns around Seasoned Equity Offerings and their Implications for Stock Price Movements Sahn-Wook Huh and Avanidhar Subrahmanyam
8-04 Strategic Behavior and Underpricing in Uniform Price Auctions: Evidence from Finnish Treasury Auctions Matti Keloharju, Kjell G. Nyborg, and Kristian Rydqvist
9-04 Optimal Portfolios with Parametric Weights Michael W. Brandt, Pedro Santa-Clara, Rossen Valkanov
10-04 Bidding and Performance in Repo Auctions: Evidence from ECB Open Market Operations Ulrich Bindseil, Kjell G. Nyborg, and Ilya A. Strebulaev
11-04 To Expense or not to Expense Employee Stock Options: The Market Reaction Fayez A. Elayan, Kuntara Pukthuanthong, and Richard Roll
12-04 Expected Returns and the Expected Growth in Rents of Commercial Real Estate Alberto Piazzi, Walt Torous, and Rossen Valkanov
13-04 How Do Analyst Recommendations Respond to Major News? Jennifer S. Conrad, Brad Cornell, Wayne R. Landsman, and Brian Rountree
14-04 The Value of Private Information Jun Liu, Ehud Peleg, and Avanidhar Subrahmanyam
15-04 The "Cherry-Picking" Option in the U.S. Treasury Buyback Options Francis A. Longstaff, Bing Han, and Craig Merrill
16-04 Liquidity and the Law of One Price: The Case of the Futures/Cash Basis Richard Roll, Eduardo S. Schwartz, and Avanidhar Subrahmanyam
17-04 Illiquid Assets and Optimal Portfolio Choice (UPDATED 10/16/06) Eduardo S. Schwartz and Claudio Tebaldi
2003
1-03 Empirical TIPs Richard Roll
2-03 Successful Integration Richard S. Parenteau and J. Fred Weston
3-03 Changing Motives for Share Repurchases Juan A. Siu and J. Fred Weston
4-03 A Unifying Theory of Value Based Management Samuel C. Weaver and J. Fred Weston
5-03 Order Imbances and Market Efficiency: Evidence from the Taiwan Stock Exchange Yi-Tsung Lee, Yu-Jane Liu, Richard Roll, and Avanidhar Subrahmanyam
6-03 Term Structure Estimation in Low-Frequency Transaction Markets: A Kalman Filter Approach with Incomplete Panel-Data Gonzalo Cortazar, Eduardo S. Schwartz and Lorenzo Naranjo
7-03 Organizational Capital and Intrafirm Communication Bhagwan Chowdhry and Mark J. Garmaise
8-03 Risk and Valuation Under an Intertemporal Capital Asset Pricing Model Michael J. Brennan and Yihong Xia
9-03 The Dynamics of International Equity Market Expectations Michael J. Brennan, H. Henry Cao, Norman Strong, and Zinzhong Xu
10-03 There is a Risk-Return Tradeoff After All Eric Ghysels, Pedro Santa-Clara and Rossen Valkanov
11-03 Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market Francis A. Longstaff, Sanjay Mithal and Eric Neis
12-03 The Cross-Section of Expected Trading Activity Tarun Chordia, Sahn-Wook Huh and Avanidhar Subrahmanyam
13-03 A Model of R & D Valuation and the Design of Research Incentives Jason C. Hsu and Eduardo S. Schwartz
14-03 International Capital Markets and Foreign Exchange Risk Michael J. Brennan and Yihong Xia
15-03 On Distinguishing Between Rationales for Short-Horizon Predictability of Stock Returns Avanidhar Subrahmanyam
16-03 Interpersonal Effects in Consumption: Evidence from Automobile Purchases of Neighbors Mark Grinblatt, Matti Keloharju and Seppo Ikäheimo
17-03 Comovement as an Investment Tool Bradford Cornell
18-03 Bond Pricing with Default Risk Jason C. Hsu, Jesús Saá-Requejo, and Pedro Santa-Clara
19-03 What Drives Equity Market Non-Participation? Jason C. Hsu
2002
1-02 Patents and R & D as Real Options Eduardo S. Schwartz
2-02 Capital Budgeting in Multi-Division Firms: Information, Agency, and Incentives Antonio Bernardo, Hongbin Cai, and Jiang Luo
3-02 M & As as Adjustment Processes J. Fred Weston
4-02 Extracting Inflation from Stock Returns to test Purchasing Power Parity Bhagwan Chowdhry, Richard Roll, and Yihong Xia
5-02 The End of Class Warfare: An Examination of Income Disparity Richard Roll and John Talbott
6-02 Compensation and Recruiting: Private Universities versus Private Corporations Bradford Cornell
7-02 Financial Market Runs Antonio Bernardo and Ivo Welch
8-02 Does The Term Structure Forecast Consumption Growth? Andrea Berardi and Walter Torous
9-02 Feedback and the Success of Irrational Investors David Hirshleifer, Avanidhar Subrahmanyam, and Sheridan Titman
10-02 Electricity Forward Prices: A High-Frequency Empirical Analysis Francis Longstaff and Ashley Wang
11-02 R and D Investments with Competitive Interactions Kristian R. Miltersen and Eduardo S. Schwartz
12-02 Chicanery, Intelligence, and Financial Market Equilibrium Avanidhar Subrahmanyam
13-02 Corporate Earnings and the Equity Premium Francis Longstaff and Monika Piazzesi
14-02 Debt Policy, Corporate Taxes, and Discount Rates Mark Grinblatt and Jun Liu
15-02 Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities Francis A. Longstaff
16-02 Do Industries Lead the Stock Market? Gradual Diffusion of Information and Cross-Asset Return Predictability Harrison Hong, Walter Torous, and Rossen Valkanov
2001
1-01 "Time Variation in Investment Opportunities, Valuation, and Empirical Asset Pricing" defunct; replaced by
10-01
Michael Brennan and Ashley Wenquing Wang
2-01 Dynamic Asset Allocation with Event Risk Jun Liu, Francis A. Longstaff, and Jun Pan
3-01 An Economic Model of the Yield Curve with Macroeconomic Jump Effects Monika Piazzesi
4-01 Dynamic Portfolio Choice: A Simulation Approach Michael W. Brandt, Amit Goyal, and Pedro Santa-Clara
5-01 The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices Francis A. Longstaff
6-01 Dynamic Choice and Risk Aversion Jun Liu
7-01 Portfolio Optimization with Many Assets: The Importance of Short-Selling Moshe Levy and Yaacov Ritov
8-01 Conditioning Information and Variance on Pricing Kernals Geert Bekart and Jun Liu
9-01 Paper Millionaires: How Valuable is Stock to a Stockholder Who is Restricted from Selling it? Matthias Kahl, Jun Liu, and Francis Longstaff
10-01 Intertemporal Capital Asset Pricing and the Fama-French Three-Factor Model Michael Brennan, Ashley W. Wang, and Yihong Xia
11-01 Evidence on the Speed of Convergence to Market Efficiencyforthcoming, Journal of Financial Economics Tarun Chordia, Richard Roll, and Avanidhar Subrahmanyam
12-01 Market Response to European Regulation of Business Combinations Nihat Aktas, Eric de Bodt, and Richard Roll
13-01 Idiosyncratic Risk Matters! Amit Goyal and Pedro Santa-Clara
14-01 International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth!) Michael Brandt, John Cochrane, and Pedro Santa-Clara
15-01 Brand Perceptions and the Market for Common Stockforthcoming, Journal of Financial and Quantitative Analysis Laura Frieder and Avanidhar Subrahmanyam
16-01 Financial Distress as a Selection Mechanism: Evidence from the United States Matthias Kahl
17-01 Common Determinants of Bond and Stock Market Liquidity: The Impact of Financial Crises, Monetary Policy, and Mutual Fund Flowsforthcoming,Review of Financial Studies Tarun Chordia, Asani Sarkar, and Avanidhar Subrahmanyam
18-01 The Disposition Effect and Momentum Mark Grinblatt and Bing Han
19-01 Why Many Developing Nations Just Aren't Richard Roll and John Talbot
20-01 Order Imbalances and Market Efficiency: Evidence from the Taiwan Stock Exchangeforthcoming,Journal of Financial and Quantitative Analysis Yi-Tsung Lee, Yu-Jane Liu, Richard Roll, and Avanidhar Subrahmanyam
21-01 "Non-Secular Regularities in Stock Returns: The Impact of the High Holy Days on the U.S. Equity Market" forthcoming,Financial Analysts Journal Laura Frieder & Avanidhar Subrahmanyam
22-01 The Components of Corporate Credit Spreads: Default, Recovery, Tax, Jumps, Liquidity, and Market Factors Gordon Delianedis and Robert Geske
23-01 The Exxon-Mobil Merger: An Archetype J. Fred Weston
2000
1-00 "Generalized Numeraire Portfolios" Giorgio De Santis, Bruno Gerard & Fulvio Ortu
2-00 "Predictive Regressions Revisited" Walter N. Torous & Shu Yan
3-00 "A note on trading mechanism and securities' value: The analysis of rejects from continuous trade" Beni Lauterbach
4-00 "The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence"forthcoming Journal of Finance Francis Longstaff, Pedro Santa-Clara, and Eduardo Schwartz
5-00 "Covarice Risk, Mispricing, and the Cross Section of Security Returns"forthcoming Journal of Finance Kent D. Daniel, David Hirshleifer, and Avanidhar Subrahmanyam
6-00 "Valuation of Information Technology Investments as Real Options" Eduardo S. Schwartz & Carlos Zozaya-Gorostiza
7-00 "The Parent Company Puzzle: When is the Whole Worth Less Than One of its Parts?"forthcoming, Journal of Corporate Finance Bradford Cornell & Qaio Liu
8-00 "Capital Budgeting and Compensation with Asymmetric Information and Moral Hazard"forthcoming, Journal of Corporate Finance Antonio E. Bernardo, Hongbin Cai, and Jiang Luo
9-00 "The Value of Voting Rights to Majority Shareholders: Evidence from Dual Class Stock Unifications" Shmuel Hauser & Beni Lauterbach
10-00 "Learning About Predictability: The Effects of Parameter Uncertainty on Dynamic Asset Allocation" Yihong Xia
11-00 "The Fed's Effect on Excess Returns and Inflation is Much Bigger Than You Think" Shingo Goto and Rossen Valkanov
12-00 "Evaluating Investments in Disruptive Technologies" Eduardo S. Schwartz and Carlos Zozaya-Gorostiza
13-00 "Tax Loss Trading and Wash Sales" Mark Grinblatt & Matti Keloharju
14-00 "Some Evidence that a Tobin Tax on Foreign Exchange Transactions may Increase Volatility" (formerly titled "Transactions Costs in the Foreign Exchange Market.") Robert Z. Aliber, Bhagwan Chowdhry & Shu Yan
15-00 "Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange"forthcoming, Review of Derivatives Research Julio J. Lucia & Eduardo Schwartz
16-00 Stochastic Correlation Across International Stock Marketsforthcoming, Journal of Empirical Finance Clifford A. Ball & Walter N. Torous
17-00 "Pay at the Executive Suite: How do U.S. Banks Compensate their Top Management Teams?" James Ang, Beni Lauterbach & Ben Z. Schreiber
18-00 "Stable Modelling of Credit Risk" (Appendix) Svetlozar Rachev, Eduardo Schwartz, & Irina Khindanova
19-00 "The Problem of Optimal Asset Allocation with Stable Distributed Returns" Sergio Ortobelli, Svetlozar Rachev & Eduardo Schwartz
20-00 "The Stable non-Gaussian Asset Allocation: A Comparison with the Classical Gaussian Approach" Yesim Tokat, Svetlozar Rachev & Eduardo Schwartz
21-00 "Trading Activity and Expected Stock Returns" Tarun Chordia, Avanidhar Subrahmanyam & V. Ravi Anshuman
22-00 "Liquidity Dynamics Across Small and Large Firms" (formerly titled "The Cross Section of Daily Variation in Liquidity") Tarun Chordia, L. Shivakumar & Avanidhar Subrahmanyam
23-00 "Dynamic Asset Allocation Under Inflation" forthcoming, Journal of Finance Michael J. Brennan & Yihong Xia
24-00 "East Asia and Europe During the 1997 Asia Collapse: A Clinical Study of A Financial Crisis" Rajesh Chakrabarti & Richard Roll
25-00 "Rational Pricing of Internet Companies Revisited" forthcoming, Financial Review Eduardo S. Schwartz & Mark Moon
26-00 "Benefits to Homeowners from Mortgage Portfolios Retained by Fannie Mae and Freddie Mac" Richard Roll
27-00 "Order Imbalance, Liquidity, and Market Returns" forthcoming, Journal of Financial Economics Tarun Chordia, Richard Roll & Avanidhar Subrahmanyam
28-00 "Political Cycles and the Stock Market" Pedro Santa-Clara and Rossen Valkanov
29-00 "Rational Infinitely-Lived Asset Prices Must be Non-Stationary" Richard Roll
30-00 "The Market Price of Risk in Interest Rate Swaps: The Roles of Defaulty and Liquidity Risks" Jun Liu, Francis Longstaff, and Ravit E. Mandell
31-00 "Demographics and Expected Returns" Jiang Luo
32-00 "Valuing Intel: A Strange Tale of Analysts and Announcements" Bradford Cornell
33-00 "International IPOs, Market Segmentation, and Investor Recognition"forthcoming,International Review of Finance Padma Kadiyala and Avanidhar Subrahmanyam
34-00 "Does Diversification Cause the Diversification Discount?" Belen Villalonga
35-00 "Order Imbalance and Individual Stock Returns"forthcoming, Journal of Financial Economics Tarun Chordia and Avanidhar Subrahmanyam
36-00 "The Differences between Credit Spreads and Default Spreads: Is the Residual Partially a Liquidity Spread ?" (redone as 22-01) Gordon Delianedis and Robert Geske
37-00 "Boundaries of Predictability: Noisy Predictive Regressions" Walter Torous and Rossen Valkanov
38-00 "The Risk and Return of Venture Capital" John Cochrane
1999
1-99 "Individual Decision-Making and Welfare" Michael J. Brennan & Walter N. Torous
2-99 "Crashes as Critical Points" Anders Johansen, Olivier Ledoit & Didier Sornette
3-99 "Estimating Large Conditional Covariance Matrices With an Application to International Stock Markets" Olivier Ledoit & Pedro Santa-Clara
4-99 "Predicting the Equity Premium" Amit Goyal & Ivo Welch
5-99 "Simulated Likelihood Estimation of Multivariate Diffusions with an Application to Interest Rates and Exchange Rates with Stochastic Volatility"forthcoming, Journal of Financial Economics Michael W. Brandt & Pedro Santa-Clara
6-99 "The Scarcity of Effective Monitors and Its Implications For Corporate Takeovers and Ownership Structures" (formerly titled "Blockholder Identity, Equity Ownership Structures, and Hostile Takeovers") Gary Gorton & Matthias Kahl
7-99 "Stable Modeling of Value at Risk" Irina Khindanova, Svetlozar Rachev & Eduardo Schwartz
8-99 "Throwing Away a Billion Dollars: The Cost of Suboptimal Exercise Strategies in the Swaptions Market", forthcoming, Journal of Financial Economics Francis A. Longstaff, Pedro Santa-Clara & Eduardo Schwartz
9-99 "A Theory of Legal Presumptions" Antonio E. Bernardo, Eric Talley, and Ivo Welch
10-99 "Mergers and Performance" J. Fred Weston
11-99 "Deal Terms in the big Transactions of the Nineties" J. Fred Weston & Brian Johnson
12-99 "Mergers and Restructuring in the World Oil Industry" J. Fred Weston
13-99 "Distance Bias, Language Bias, and Investor Sophistication: Results from Finland" Mark Grinblatt
14-99 "What Makes Hot Money Hot? The Relative Volatility of International Flows of Debt and Equity Capital" Michael J. Brennan and Carmen Aranda
15-99 "The Relevance of Currency Risk in the EMU" Giorgio De Santis, Bruno Gerard & Pierre Hillion
16-99 "International Portfolio Management, Currency Risk and the Euro" Giorgio De Santis, Bruno Gerard & Pierre Hillion
17-99 "Equity Duration, Growth Options and Asset Pricing" Bradford Cornell
18-99 "Approximate Arbitrage" Antonio Bernardo and Olivier Ledoit
19-99 "Assessing Asset Pricing Anomalies" Michael J. Brennan and Yihong Xia
20-99 "Investor Relations, Liquidity, and Stock Prices" Michael J. Brennan and Claudia Tamarowski
21-99 "Rational Pricing of Internet Companies" Eduardo S. Schwartz and Mark Moon
22-99 "Market Liquidity and Trading Activity" Tarun Chordia, Richard Roll, and Avanidhar Subrahmanyam
23-99 "The Term Structure with Highly Persistent Interest Rates" Rossen Valkanov
24-99 "The Cross Section of Expected Returns and its Relation to Past Returns: New Evidence" Mark Grinblatt and Tobias J. Moskowitz
25-99 "Can We Disentangle Risk Aversion from Intertemporal Substitution in Consumption?" Eduardo Schwartz and Walter N. Torous
26-99 "Understanding the Financial Crisis in Asia" Bhagwan Chowdhry and Amit Goyal
27-99 "Equity Premium and Dividend Yield Regressions: A lot of noise, little information, confusing results" Rossen Valkanov
28-99 "Long Horizon Regressions: Theoretical Results and Applications to the Expected Returns/Dividend Yields and the Fisher Effect Relationship" Rossen Valkanov
29-99 "When is Bad News Really Bad News?" Jennifer Conrad, Bradford Cornell, and Wayne R. Landsman
1998
1-98 "Monte Carlo Evaluation of an Undeveloped Oil Field" Gonzalo Cortazar and Eduardo S. Schwartz
2-98 "Risk, Duration and Capital Budgeting: New Evidence and Some Old Questions" Brad Cornell
3-98 "The Dynamics of the Forward Interest Rate Curve: A Formulation with State Variables" Frank de Jong and Pedro Santa-Clara
4-98 "The Scholastic Volatility of Short-Term Interest Rates: Some International Evidence" Clifford A. Ball and Walter N. Torous
5-98 "IPO Price Clustering and Discreteness" Duke K. Bristow
6-98 "Asymmetry and Power: Can Ethnic Dominance Minimize Ethnic Conflict?" Ivo Welch
8-98 "Momentum Investing and Performance Using Finland's Unique Data Set" Mark Grinblatt and Matti Keloharju
9-98 "Relative Pricing of Options with Stochastic Volatility" Olivier Ledoit & Pedro Santa-Clara
10-98 "View of Financial Economists on the Equity Premium and Professional Controversies" Ivo Welch
11-98 An Explanation of the Forward Premium "Puzzle" Richard Roll and Shu Yan
12-98 "Hypothesis Testing When the Sample Covariance Matrix Is Singular" Olivier Ledoit
13-98 "A Theory of Dividends Based on Tax Clienteles" Franklin Allen, Antonio Bernardo, and Ivo Welch
14-98 "Time Series and Cross Sectional Properties of Management Ownership and Valuation" Duke K. Bristow
15-98 "Convergence within the European Union: Evidence from the Interest Rates" Teresa Corzo Santamaria and Eduardo S. Schwartz
16-98 "The Term Structure of Very Short-term Rates: New Evidence for the Expectations Hypothesis" Francis Longstaff
17-98 "The Term Structure, the CAPM and the Market Risk Premium: An Interesting Puzzle" Bradford Cornell
18-98 "Credit Risk and Risk Neutral Default Probabilities: Information About Rating Migrations and Defaults" Gordon Delianedis & Robert Geske
19-98 "Commonality in Liquidity" (Updated May 1999) Tarun Chorida, Richard Roll & Avanidhar Subrahmanyam
20-98 "News Events, Information Acquisition, and Serial Correlation"(formerly called ""News Events, Information Acquisition, and Stock Price Behavior") forthcoming, Journal of Business Craig W. Holden & Avanidhar Subrahmanyam
21-98 "A Theory of Randomized Law Enforcement"forthcoming, Indian Economic Journal Avanidhar Subrahmanyam
22-98 "Feedback from Stock Prices to Cash Flows"(formerly called "Real Effects of Financial Market Trading") forthcoming,Journal ofFinance Avanidhar Subrahmanyam & Sheridan Titman
23-98 "Public Venture Capital Funds: New Relief from the Investment Company Act of 1940" Duke K. Bristow & Lee R. Petillon
24-98 "Valuing American Options by Simulation: A Simple Least-Squares Approach" Francis A. Longstaff & Eduardo S. Schwartz
25-98 "Do Industries Explain Momentum?" Tobias J. Moskowitz and Mark Grinblatt
26-98 "Resolution of a Financial Puzzle" Michael J. Brennan & Yihong Xia
27-98 "What Makes Investors Trade?" Mark Grinblatt & Matti Keloharju
28-98 "Wealthy People and Fat Tails: An Explanation for the Lévy Distribution of Stock Returns" Shiki Levy
29-98 "Investment Talent and the Pareto Wealth Distribution: An Experimental Analysis" (Appendix) Shiki Levy & Haim Levy
30-98 "The Effect of Insider Beliefs on Informed Trade, Market Liquidity, and Price Efficiency" Tyrone Callahan
31-98 "Resources, Real Options and Corporate Strategy" forthcoming, Journal of Financial Economics Antonio Bernardo & Bhagwan Chowdhry
1997
1-97 "The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging" (Updated Feb. 1997) Eduardo S. Schwartz
2-97 "Optimal Investment and Production Decisions and the Value of the Firm" (Updated October 1997) Gonzalo Cortazar, Eduardo S. Schwartz, and Andres Lowener
3-97 "The Role of Learning in Dynamic Portfolio Decisions" Michael Brennan
4-97 "A Theory of Overconfidence, Self-Attribution, and Security Market Under- and Over-reaction" Kent Daniel, David Hirshleifer, & Avanidhar Subrahmanyam
5-97 "Pricing of Options on Commodity Futures with Stochastic Term Structures of Convenience Yeilds and Interest Rates" Kristian R. Miltersen and Eduardo S. Schwartz
6-97 "Improved Estimation of Covariance Matrix of Stock Returns With an Application to Porfolio Selection" Olivier Ledoit
7-97 "Valuing Long Term Commidity Assets" Eduardo Schwartz
8-97 "Learning from Others, Reacting, and Market Quality" (Updated June 1998) Rajesh Chakrabarti and Richard Roll
9-97 "On the Evolution of Overconfidence and Entrepreneurs" forthcoming, Journal of Economics and Management Strategy Antonio Bernardo & Ivo Welch
10-97 "Developments in the Financial Sector" Michael Brennan
11-97 "Markovian Arbitrage-Free Models of the Term Structure of Interest Rates" (Updated Nov. 2005) Pedro Santa-Clara
12-97 "Simulated Likelihood Estimation of Diffusions With an Application to the Short Term Interest Rate" Pedro Santa-Clara
13-97 "Bond Pricing with Default Risk" replaced by 18-03 Jesus Saa-Requejo & Pedro Santa-Clara
14-97 "Short-Term Variations and Long-Term Dynamics in Commodity Prices" Eduardo Schwartz & James E. Smith
15-97 "Information Aggregation, Currency Swaps, and the Design of Derivative Securities"forthcoming, Journal of Political Economy Bhagwan Chowdhry & Mark Grinblatt
16-97 "Efficiency of Asset Markets with Asymmetric Information" Antonio Bernardo & Kenneth Judd
17-97 "Stripping the S&P500" Michael Brennan
18-97 "Stock Splits and Ex-Date Return for Nasdaq Stock: The Effects of Investor Trading and Bid-ask Spreads" Mark Grinblatt and Donald Keim
19-97 "Stock Price Volatility, Learning, and the Equity Premium" Michael Brennan & Yihong Xia
20-97 "Are Rich People Smarter?" Shiki (Moshe) Levy
21-97 "The Dynamics of the Forward Interest Rate Curve with Stochastic String Shocks" (Updated Feb. 1999) Pedro Santa-Clara & Didier Sornette
1996
1-96 "Financial Innovation and the Role of Derivative Securities : An Empirical Analysis of the Treasury Strips Program" Mark Grinblatt and Francis Longstaff
2-96 "The Effect of Socially Activist Investment Policies on the Financial Markets: Evidence from the South African Boycott" Siew Hong Teoh, Ivo Welch, and C. Paul Wazzan
3-96 "International Portfolio Investment Flows" Michael J. Brennan and H. Henry Cao
4-96 "Evaluating Environmental Investments: A Real Options Appoach" Gonzalo Cortazar, Eduardo S. Schwartz, and Marcelo Salinas
5-96 "Improved Covariance Matrix Estimation" Olivier Ledoit
6-96 "Nominal Interest Rates and Loan Volume with Heterogeneous Beliefs"(Updated Feb. 1997) Richard Roll
7-96 "The Use Treasury Bill Futures in Strategic Asset Allocation Programs" Michael J. Brennan and Eduardo S. Schwartz
10-96 "Volume and Price Formation in an Asset Trading Model with Asymmetric Information" (Appendix) Antonio Bernardo & Kenneth L. Judd
12-96 "Collusion, Custom, or Negotiation Costs?" Duke K. Bristow & Laura Casares Field
13-96 "A Re-examination of Some Popular Security Return Anomalies", withdrawn, superseded by other publications Michael J. Brennan, Tarun Chordia & Avanidhar Subrahmanyam
15-96 "Earnings Management and the Long-Run Market Performance of Initial Public Offerings" Siew Hong Teoh, Ivo Welch & T.J.Wong
1995
1-95 "Stochastic Volatility and Option Valuation: A Pricing-Density Approach" Francis A. Longstaff
3-95 "A Plain Man's Response to Professor Jensen" Michael J. Brennan
9-95 "Earnings Management and the Post-Issue Under- performance in Seasoned Equity Offerings" Siew Hong Teoh, Ivo Welch & T.J. Wong
11-95 "Using the DCF Approach to Analyze Cross- sectional Variation in Expected Returns" Bradford Cornell & Simon Cheng
13-95 "Hedging Long Maturity Commodity Commitments with Short-dated Futures Contracts" (Appendix) Michael J. Brennan & Nicholas Crew
15-95 "Regime Shifts in Short Term Riskless Interest Rates" (Appendix) Clifford A. Ball & Walter N. Torous
16-95 "Is Institutional Investment in Initial Public Offerings Related to Long-Run Performance of These Firms?"(Appendix) Laura C. Field
22-95 "Factor Selection for Beta Pricing Models" (Appendix) Olivier Ledoit
23-95 "Size-Related Selection Biases In Tests Of Asset Pricing Models" Pierre Hillion & P. Raghavendra Rau
24-95 "A Well-Conditioned Estimator For Large Dimensional Covariance Matrices" Olivier Ledoit

26-95

 

"Portfolio Selection and Equilibrium Stock Returns with Quadratic Transaction Costs"

 

 

Itzhak Venezia