Recent Publications
Forthcoming
Harjoat Bhamra,
Lars-Alexander Kuehn,
and Ilya A. Strebulaev “The Aggregate Dynamics of Capital Structrure and Macroeconomic Risk” Review of Financial Studies, forthcoming
Harjoat S. Bhamra,
Lars-Alexander Kuehn,
and Ilya A. Strebulaev “The Levered Equity Risk Premium and Credit Spreads: A Unified Framework” Review of Financial Studies, forthcoming
Phelim Boyle,
Shui Feng,
Weidong Tian,
and Tan Wang “Robust Stochastic Discount Factors” Review of Financial Studies, forthcoming
Erinn B. Broshko
and Kai Li “Corporate Governance Requirements in Canada and the United States: A Legal and Empirical Comparison of the Principles-based and Rules-based Approaches” Canadian Investment Review, forthcoming
Laurent Calvet
and Adlai Fisher “Multifrequency News and Stock Returns” Journal of Financial Economics, forthcoming
Laurent Calvet,
Adlai Fisher,
and Samuel Thompson “Volatility Comovement: A Multifrequency Approach” Journal of Econometrics, forthcoming
Murray Carlson,
Zeigham Khokher,
and Sheridan Titman “Equilibrium Exhaustible Resource Price Dynamics” Journal of Finance, forthcoming
Huafeng (Jason) Chen,
Marcin Kacperczyk,
and Hernan Ortiz-Molina “Do Non-financial Stakeholders Affect the Pricing of Risky Debt? Evidence from Unionized Workers” Review of Finance, forthcoming
Xia Chen,
Jarrad Harford,
and Kai Li “Monitoring: Which Institutions Matter?” Journal of Financial Economics, forthcoming
Jaksa Cvitanic,
Ali Lazrak,
Lionel Martellini,
and Fernando Zapatero “Dynamic Portfolio Choice with Parameter Uncertainty and the Economic Value of Analysts' Recommendations” Review of Financial Studies, forthcoming
Marcin Kacperczyk,
Clemens Sialm,
and Lu Zheng “Industry Concentration and Mutual Fund Performance” Journal of Investment Management, forthcoming
Marcin Kacperczyk,
Clemens Sialm,
and Lu Zheng “Unobserved Actions of Mutual Funds” Review of Financial Studies, forthcoming
Mark Kamstra,
Lisa Kramer,
and Maurice Levi “A careful re-examination of seasonality in international stock markets: Comment on sentiment and stock returns” Journal of Banking and Finance, forthcoming
Dimitri Vayanos
and Tan Wang “Search and Endogenous Concentration of Liquidity in Asset Markets” Journal of Economic Theory, forthcoming
2012
Huafeng (Jason) Chen
and Shaojun Chen “Investment-Cash Flow Sensitivity Cannot Be a Good Measure of Financial Constraints: Evidence from the Time Series” Journal of Financial Economics, Vol. 103, 2012, 393-410
2011
Huafeng (Jason) Chen “Firm Life Expectancy and the Heterogeneity of the Book-to-Market Effect” Journal of Financial Economics, Vol. 100, 2011, 402-423.
Huafeng (Jason) Chen,
Marcin Kacperczyk,
and Hernan Ortiz-Molina “Labor Unions, Operating Flexibility, and the Cost of Equity” Journal of Financial and Quantitative Analysis, Vol. 46, 2011, 25-58.
Huafeng (Jason) Chen,
Hernan Ortiz-Molina,
and Siliang Zhang “Average Stock Variance and Market Returns: Evidence of Time-Varying Predictability at the Daily Frequency” Journal of Portfolio Management, Vol. 37, 2011, 86-95
2010
Mark Kamstra,
Lisa Kramer,
and Maurice Levi “Effects of Daylight-Saving Time Changes on Stock Market Volatility: a Comment” Psychological Reports, Vol. 107, No. 3, pp. 877-887
Maurice Levi,
Kai Li,
and Feng Zhang “Deal or No Deal: Hormones and the Mergers and Acquisitions Game” Management Science, Vol. 56, No. 1, pp. 1462-1483
2009
Alan Kraus
and Amir Rubin “Reducing Managers' Incentives to Cannibalize: Managerial Stock Options when Shareholders are Diversified” Journal of Financial Intermediation, Aug. 2009
2008
M. Martin Boyer
and Hernan Ortiz-Molina “Career Concerns of Top Executives, Managerial Ownership and CEO Succession” Corporate Governance: An International Review, 16, vol. 3, 2008, 178-193.
Sandy Klasa,
William F. Maxwell,
and Hernan Ortiz-Molina “The Strategic Use of Corporate Cash Holdings in Collective Bargaining with Labor Unions” Journal of Financial Economics, Vol. 92, 2009, 421-442.
2007
Harjoat S. Bhamra
and Raman Uppal “The Effect of Introducing a Non-Redundant Deerivative on the Volatility of Stock-Market Returns When Agents Differ in Risk Aversion” Review of Financial Studies, Vol. 22, 2009, 2303-2330.
Lorenzo Garlappi,
Raman Uppal,
and Tan Wang “Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach” Review of Financial Studies, Vol. 20, 2007, pp.41-81
Jarrad Harford
and Kai Li “Decoupling CEO Wealth and Firm Performance: The Case of Acquiring CEOs” Journal of Finance, Vol. 62, 2007, 917-949
Marcin Kacperczyk
and Amit Seru “Fund Manager Use of Public Information: New Evidence on Managerial Skills” Journal of Finance, Vol. 62, 2007, 485-528
Kai Li “The Growth in Equity Market Size and Trading Activity: An International Study” Journal of Empirical Finance, Vol. 14, 2007, 59-90
Kai Li,
Hernan Ortiz-Molina,
and Xinlei Zhao “Do Shareholder Rights Affect Institutional Investment Decisions? Evidence from Dual-Class Firms” Financial Management, Winter 2008, 713-745.
Kai Li
and N.R. Prabhala “Self-Selection Models in Corporate Finance” Chapter 2 in: Handbook of Corporate Finance: Empirical Corporate Finance, Handbooks in Finance Series, Elsevier/North Holland, 2007
William McNally
and Kai Li “The Information Content of Canadian Open Market Share Repurchase Announcements” Managerial Finance, Vol. 33, 2007, 65-80
Hernan Ortiz-Molina “Executive Compensation and Capital Structure: The Effects of Convertible Debt and Straight Debt” Journal of Accounting and Economics, Vol. 43, 2007, 69-93.
Hernan Ortiz-Molina
and Maria F. Penas “Lending to Small Businesses: The Role of Loan Maturity in Addressing Information Problems” Small Business Economics, 30, vol. 4, 361-383.
2006
Harjoat S. Bhamra
and Raman Uppal “The Role of Risk Aversion and Intertemporal Substitution in Dynamic Consumption-Portfolio Choice with Recursive Utility” Journal of Economic Dynamics and Control, Vol. 30, 2006, 967-991.
Murray Carlson,
Adlai Fisher,
and Ron Giammarino “Corporate Investment and Asset Price Dynamics: Implications for SEO Event Studies and Long-Run Performance” Journal of Finance, Vol. 61, 2006,1009-1034.
Burton Hollifield
and Alan Kraus “Defining Bad News: Changes in Return Distributions that Decrease Risky Asset Demand” Management Science, Jul. 2009, 1227-1236
Alan Kraus
and Jacob Sagi “Asset Pricing with Unforeseen Contingencies” Journal of Financial Economics, Nov. 2006, 417-453
Alan Kraus
and Jacob Sagi “Inter-temporal Preference for Flexibility and Risky Choice” Journal of Mathematical Economics, Feb. 2006, 696-709
Hernan Ortiz-Molina “Top-Management Incentives and the Pricing of Corporate Public Debt” Journal of Financial and Quantitative Analysis, Vol. 41, 2006, 317-340.
2005
Amir Barnea,
Robert Heinkel,
and Alan Kraus “Green Investors and Corporate Investment” Structural Change and Economic Dynamics, Vol. 16, 2005, 332-346.
H. Henry Cao,
Tan Wang,
and Harold H. Zhang “Model Uncertainty, Limited Market Participation, and Asset Prices” Review of Financial Studies, Vol.18, 2005, 1219 - 1251.
Albert S. Dexter,
Maurice Levi,
and Barrie Nault “International Trade and the Connection between Capacity and Inflation” Review of International Economics, Vol. 13, 2005, 699-708.
Ron Giammarino
and Ed Nosal “Loggers versus Campers: Compensation for the Taking of Property Rights” The Journal of Law, Economics and Organization, Vol. 21, 2005, 136-152.
Michael A. Goldberg,
Robert Heinkel,
and Maurice Levi “Foreign Direct Investment: The Human Dimension” Journal of International Money and Finance, Vol. 24, 2005, 913-934.
Marcin Kacperczyk,
Clemens Sialm,
and Lu Zheng “On the Industry Concentration of Actively Managed Mutual Funds” Journal of Finance, Vol. 60, 2005,1983-2012.
Jun Liu,
Jun Pan,
and Tan Wang “An Equilibrium Model of Rare-Event Premia and Its Implication for Option Smirks” Review of Financial Studies, Vol.18, 2005, 131 - 164.
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