Working Papers

WP# Title of Paper Author

 Agnostic Tests of Stochastic Discount Factor Theory

Kuntara Pukthuanthong, Richard Roll


Optimal Carbon Abatement in a Stochastic Equilibrium Model with Climate Change

Christoph Hambel, Holger Kraft, Eduardo Schwartz


Default Option Exercise over the Financial Crisis and Bey

Xudong An, Yongheng Deng, Stuart A. Gabriel

1-14 A Protocol for Factor Identification Kuntara Pukthuanthong and Richard Roll

Stressors and Financial Market Trading: The Case of Marital Separation

Andrew Grant, Petko Kalev, Avanidhar Subrahmanyam, Joakim Westerholm


The Hubris Hypothesis: Empirical Evidence

Eric de Bodt, Jean-Gabriel Cousin, Richard Roll


Resolving the Errors-in-Variables Bias in Risk Premium Estimation

Kuntara Pukthuanthong, Richard Roll, Junbo Wang


The Propagation of Shocks Across International Equity Markets: A Microstructure Perspective

Dion Bongaerts, Richard Roll, Dominik Rösch, Mathijs van Dijk, and Darya Yuferova


Shocks to Order Flow Volatility and Stock Returns

Tarun Chordia, Jianfeng Hu, Avanidhar Subrahmanyam, and Qing Tong


Do the Rich Have an Informational Advantage? Evidence Based on Account Classifications of Individual Investors

Ziyang Geng, Xindan Li, Avanidhar Subrahmanyam, and Honghai Yu


Global Financial Crisis, Liquidity Shocks and Global Financial Stability

Tung Lam Danga, Fariborz Moshiriana, Avanidhar Subrahmanyamb, and Bohui Zhanga


Dynamic Information Disclosure

Martin Dierker and Avanidhar Subrahmanyam

10-14 Can Metropolitan Housing Risk be Diversified? A Cautiopnary Tale from the Recent Boom and Bust

John Cotter, Stuart Gabriel and Richard Roll

11-14 Deflation Risk

Matthias Fleckenstein, Francis A. Longstaff, Hanno Lustig


Rival Reactions

Nihat Aktas, Eric de Bodt, Richard Roll

2-13 Financial Market Shocks and the Macroeconomy

Avanidhar Subrahmanyam, Sheridan Titman


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


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

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



Matthias Fleckenstein, Francis A. Longstaff, Hanno Lustig


Disagreement and Asset Prices

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


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


Short-Term Reversals and the Efficiency of Liquidity Provision

Si Cheng, Allaudeen Hameed, Avanidhar Subrahmanyam, Sheridan Titman 


Time Varying Market Efficiency 

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

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


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

Marcelle Chauve, Stuart Gabriel, Chandler Lutz 

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

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

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

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

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

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


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

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


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


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


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


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


Learning and Stock Market Participation

Juhani Linnainmaa


The Limit Order Effect

Juhani Linnainmaa


Learning From Experience

Juhani Linnainmaa


The Individual Day Trader

Juhani Linnainmaa


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
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
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
1-01 "Time Variation in Investment Opportunities, Valuation, and Empirical Asset Pricing" defunct; replaced by
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
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
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
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
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
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
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



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



Itzhak Venezia