Recent Publications
Forthcoming
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, forthcoming
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M. Martin Boyer
and Hernan Ortiz-Molina
“Career Concerns of Top Executives, Managerial Ownership and CEO Succession”
Corporate Governance: An International Review, forthcoming
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Phelim Boyle,
Shui Feng,
Weidong Tian,
and Tan Wang
“Robust Stochastic Discount Factors”
Review of Financial Studies, forthcoming
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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
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Laurent Calvet
and Adlai Fisher
“Multifrequency News and Stock Returns”
Journal of Financial Economics, forthcoming
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Laurent Calvet,
Adlai Fisher,
and Samuel Thompson
“Volatility Comovement: A Multifrequency Approach”
Journal of Econometrics, forthcoming
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Murray Carlson,
Zeigham Khokher,
and Sheridan Titman
“Equilibrium Exhaustible Resource Price Dynamics”
Journal of Finance, forthcoming
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Xia Chen,
Jarrad Harford,
and Kai Li
“Monitoring: Which Institutions Matter?”
Journal of Financial Economics, forthcoming
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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
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Marcin Kacperczyk,
Clemens Sialm,
and Lu Zheng
“Industry Concentration and Mutual Fund Performance”
Journal of Investment Management, forthcoming
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Marcin Kacperczyk,
Clemens Sialm,
and Lu Zheng
“Unobserved Actions of Mutual Funds”
Review of Financial Studies, forthcoming
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Alan Kraus
and Jacob Sagi
“Asset Pricing with Unforeseen Contingencies”
Journal of Financial Economics, forthcoming
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Alan Kraus
and Jacob Sagi
“Inter-temporal Preference for Flexibility and Risky Choice”
Journal of Mathematical Economics, forthcoming
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Kai Li,
Hernan Ortiz-Molina,
and Xinlei Zhao
“Do Shareholder Rights Affect Institutional Investment Decisions? Evidence from Dual-Class Firms”
Financial Management, forthcoming
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Hernan Ortiz-Molina
and Maria F. Penas
“Lending to Small Businesses: The Role of Loan Maturity in Addressing Information Problems”
Small Business Economics, forthcoming
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Dimitri Vayanos
and Tan Wang
“Search and Endogenous Concentration of Liquidity in Asset Markets”
Journal of Economic Theory, forthcoming
2007
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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
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Jarrad Harford
and Kai Li
“Decoupling CEO Wealth and Firm Performance: The Case of Acquiring CEOs”
Journal of Finance, Vol. 62, 2007, 917-949
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Marcin Kacperczyk
and Amit Seru
“Fund Manager Use of Public Information: New Evidence on Managerial Skills”
Journal of Finance, Vol. 62, 2007, 485-528
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Kai Li
“The Growth in Equity Market Size and Trading Activity: An International Study”
Journal of Empirical Finance, Vol. 14, 2007, 59-90
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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
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William McNally
and Kai Li
“The Information Content of Canadian Open Market Share Repurchase Announcements”
Managerial Finance, Vol. 33, 2007, 65-80
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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.
2006
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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.
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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.
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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
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Amir Barnea,
Robert Heinkel,
and Alan Kraus
“Green Investors and Corporate Investment”
Structural Change and Economic Dynamics, Vol. 16, 2005, 332-346.
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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.
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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.
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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.
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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.
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Marcin Kacperczyk,
Clemens Sialm,
and Lu Zheng
“On the Industry Concentration of Actively Managed Mutual Funds”
Journal of Finance, Vol. 60, 2005,1983-2012.
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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.
2004
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Andres Almazan,
Keith C. Brown,
Murray Carlson,
and David A. Chapman
“Why Constrain Your Mutual Fund Manager?”
Journal of Financial Economics, Vol. 73, 2004, 289-321.
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Werner Antweiler
and Murray Z. Frank
“Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards”
Journal of Finance, Vol. 59, 2004,1259-1295.
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Laurent Calvet
and Adlai Fisher
“How to Forecast Long-Run Volatility: Regime-Switching and the Estimationof Multifractal Processes”
Journal of Financial Econometrics, Vol. 2, 2004, 49-83.
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Murray Carlson,
Adlai Fisher,
and Ron Giammarino
“Corporate Investment and Asset Price Dynamics: Implications for the Cross-Section of Returns”
Journal of Finance, Vol. 59, 2004,2577-2603.
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Chris D'Souza
and Charles Gaa
“How liquid are Canadas?”
Canadian Investment Review, Vol. 21, 2004, 23-28
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Ronald Giammarino,
Robert Heinkel,
Burton Hollifield,
and Kai Li
“Corporate Decisions, Information and Prices: Do Managers Move Prices or Do Prices Move Managers?”
Economic Notes, Vol. 33, 2004, 83-110.
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Ali Lazrak
“Generalized Stochastic Differential Utility and Preference for Information”
Annals of Applied Probability, Vol.14, 2004, 2149-2175.
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Ali Lazrak
and Fernando Zapatero
“Efficient Consumption Set under Recursive Utility and Unknown Beliefs”
Journal of Mathematical Economics, Vol. 40, 2004, 207-226.
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Kai Li
“Confidence in the Familiar: An International Perspective”
Journal of Financial and Quantitative Analysis, Vol. 39, 2004, 47-68.
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Barrie Nault
and Maurice Levi
“Converting to a Cleaner Technology: Environmental Policy with Heterogeneous Firms”
Management Science, Vol. 50,2004, 1015-1030.
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Tan Wang
and T. Wirjanto
“The Role of Risk Aversion and Uncertainty in an Individual's Migration Decision”
Stochastic Models, Vol. 20, 2004, 129-147.
2003
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Sugato Chakravarty
and Kai Li
“A Bayesian Analysis of Dual Trader Informativeness in Futures Markets”
Journal of Empirical Finance, Vol. 10, 2003, 355-371.
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Sugato Chakravarty
and Kai Li
“An Examination of Own Account Trading by Dual Traders in FuturesMarkets”
Journal of Financial Economics, Vol. 69, 2003, 375-397.
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Jaksa Cviatanic,
Ali Lazrak,
Lionel Martellini,
and Fernando Zapatero
“Optimal Allocation to Hedge Funds: An Empirical Analysis”
Quantitative Finance, Vol. 3, 2003, 29-39.
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Burton Hollifield,
Kai Li,
and Gary Koop
“A Bayesian Analysis of a Variance Decomposition for Stock Returns”
Journal of Empirical Finance, Vol. 10, 2003, 583-601.
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Mark Kamstra,
Lisa Kramer,
and Maurice Levi
“Winter Blues: A SAD Stock Market Cycle”
American Economic Review, Vol. 93,2003, 324-343.
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Alan Kraus
and Amir Rubin
“The Effect of Short Sale Constraint Removal on Volatility in the Presence of Heterogeneous Beliefs”
International Review of Finance, Vol. 4, 2003, pp. 171-188.
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Ali Lazrak
and Marie Claire Quenez
“A Generalized Stochastic Differential Utility”
Mathematics of Operation Research, Vol. 28, 2003, 154-180.
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Kai Li
and William McNally
“The Decision to Repurchase, Announcement Returns and Insider Holdings: A Conditional Event Study”
ICFAI Journal of Applied Finance, Vol.9, 2003, 55-70.
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Kai Li
and Dale J. Poirier
“An Econometric Model of Birth Inputs and Outputs for Native Americans”
Journal of Econometrics, Vol. 113, 2003, 337-361.
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Kai Li
and Dale J. Poirier
“Bayesian Analysis of an Econometric Model of Birth Inputs and Outputs”
Journal of Population Economics, Vol. 16, 2003, 597-625.
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Kai Li
and Dale J. Poirier
“Relationship between Maternal Behavior During Pregnancy, Birth Outcome, and Early Childhood Development: An Exploratory Study”
Proceedings of the CESifo Conference on Health and Economic Policy.
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Kai Li
and Dale J. Poirier
“The Roles of Birth Inputs and Outputs in Predicting Health, Behavior,and Test Scores in Early Childhood”
Statistics in Medicine, Vol. 22, 2003, 3489-3514.
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Kai Li,
Asani Sarkar,
and Zhenyua Wang
“Diversification Benefits of Emerging Markets Subject to Portfolio Constraints”
Journal of Empirical Finance, Vol. 10, 2003, 57-80.
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Raman Uppal
and Tan Wang
“Model Misspecification and Under Diversification”
Journal of Finance, Vol.58, 2003, 2465-2486.
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Tan Wang
“Conditional Preferences and Updating”
Journal of Economic Theory, Vol.108, 2003, 286-321.
2002
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Laurent Calvet
and Adlai Fisher
“Multifractality in Asset Returns: Theory and Evidence”
Review of Economics and Statistics, Vol. 84, 2002, 381-406.
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Albert S. Dexter,
Maurice Levi,
and Barrie R. Nault
“Sticky Prices: The Impact of Regulation”
Journal of Monetary Economics, Vol. 49, 2002, 797-821.
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Antoine Gautier,
Frieda Granot,
and Maurice Levi
“Alternative Foreign Exchange Management Protocols: An Application of Sensitivity Analysis”
Journal of Multinational Financial Management, Vol. 12, 2002, 1-20.
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Mark Kamstra,
Lisa Kramer,
and Maurice Levi
“Should We Lose Sleep Over the Daylight Saving Anomaly? Reply: A Tale of Two Tails”
American Economic Review, Vol. 92,2002, 1257-1263.
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Kai Li
“What Explains the Growth of Global Equity Markets?”
Canadian Investment Review, Vol.15, 2002, 23-30.
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Kai Li
and Asani Sarkar
“Should US Investors Hold Foreign Stocks?”
Current Issues in Economics and Finance, Vol. 8, 2002, 1-6.
2001
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P. Boyle
and Tan Wang
“Valuation of New Securities in an Incomplete Market: The Catch 22 of Derivative Pricing”
Mathematical Finance, Vol. 11, 2001, 267-284.
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Laurent Calvet
and Adlai Fisher
“Forecasting Multifractal Volatility”
Journal of Econometrics, Vol. 105, 2001, 27-58.
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Jaksa Cvitanic,
Ali Lazrak,
Marie Claire Quenez,
and Fernando Zapatero
“Recursive Utility Optimization under Incomplete Information”
International Journal of Theoretical and Applied Finance, Vol. 4, 2001, 1-17.
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Robert Heinkel,
Alan Kraus,
and Josef Zechner
“The Effect of Green Investment on Corporate Behavior”
Journal of Financial and Quantitative Analysis, Vol. 36, 2001, 431-449.
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Kai Li
and Gary Koop
“The Valuation of IPO and SEO Firms”
Journal of Empirical Finance, Vol. 8, 2001, 375-401.
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Kai Li
and Dale J. Poirier
“An Econometric Analysis of the Birth Process by Racial/EthnicGroups”
Bayesian Methods with Applications to Science, Policy, and Official Statistics, Selected Papers from ISBA 2000: The Sixth World Meeting of the InternationalSociety for Bayesian Analysis, ed. E. George, 321-330.
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Kai Li
and Dale J. Poirier
“Using the National Longitudinal Survey of Youth in the US to Study the Birth Process: A Bayesian Approach”
Research in Official Statistics, Vol. 4, 2001, 127-150.
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Tan Wang
“Equilibrium with New Investment Opportunities”
Journal of Economic Dynamics and Control, Vol. 25, 2001, 1751-1773.
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