Research Papers / Publications


  • Franklin Allen, Jun “QJ” Qian, Meijun Qian, Mengxin Zhao (2009), A Review of China’s Financial System and Initiatives for the Future, China's Emerging Financial Markets, Edited by James A. Barth, John A. Tatom and Glenn Yago, The Milken Institute Series on Financial Innovation and Economic Growth, 2009.  Abstract
  • Philip Bond, David Musto, Bilge Yilmaz (2009), Predatory Mortgage Lending, Journal of Financial Economics, 94, 412 - 427.  Abstract
  • Bjørn Eraker, Ivan Shaliastovich (2008), An Equilibrium Guide to Designing Affine Pricing Models, Mathematical Finance, 18 (4), 519 - 543.  Abstract
  • Laurence Ales, Francesca Carapella, Pricila Maziero, Warren Weber (2008), A Model of Banknote Discounts, Journal of Economic Theory, 142 (1), 5 - 27.  Abstract
  • Susan M Wachter, Grace Wong Bucchianeri (2008), What is a Tree Worth? Green City Strategies and Housing Prices, Real Estate Economics, Vol. 36, 213 - 239.  Abstract
  • Fernando Ferreira, Joseph Gyourko, Joseph Tracy (2008), Housing Busts and Household Mobility, Journal of Urban Economics, Vol. 68. no. 1 34-35, 68 (1), 34 - 35.  Abstract
  • Franklin Allen, Elena Carletti (2008), Mark-to-Market Accounting and Liquidity Pricing, Journal of Accounting and Economics, 45 (2-3), 358 - 378.  Abstract
  • Motohiro Yogo (2008), Measuring Business Cycles: A Wavelet Analysis of Economic Time Series, Economics Letters, 100 (2), 208 - 212.
  • Edward L. Glaeser, Joseph Gyourko, Albert Saiz (2008), Housing Supply and Housing Bubbles, Journal of Urban Economics, Vol 64, no.3: 198-217, 64 (3), 198 - 217.  Abstract
  • Martin Lettau, Sydney Ludvigson, Jessica Wachter (2008), The Declining Equity Premium: What Role Does Macroeconomic Risk Play?, Review of Financial Studies, 21, 1653 - 1687.  Abstract
  • Christian Goulding (2008), Bayesian sequential change diagnosis (with H.V. Poor and S. Dayanik), Mathematics of Operations Research  Abstract
  • Motohiro Yogo (2008), Asset Prices Under Habit Formation and Reference-Dependent Preferences, Journal of Business and Economic Statistics, 26 (2), 131 - 143.
  • Franklin Allen, Elena Carletti (2008), The Roles of Banks in Financial Systems, In The Oxford Handbook of Banking, edited by A. Berger, P. Moyneux, and J. Wilson, Oxford University Press, 2008.  Abstract
  • Franklin Allen, Elena Carletti (2008), The Role of Liquidity in Financial Crises, 2008 Jackson Hole Conference Proceedings, Federal Reserve Bank of Kansas City, 379-412.
  • Richard J. Herring, C. Fernando, A. Subrahmanyam (2008), Common Liquidity Shocks and Market Collapse: Lessons from the Market for Perps, Journal of Banking and Finance, 2008.  Abstract
  • Robert Marquez, Bilge Yilmaz (2008), Information and Efficiency in Tender Offers, Econometrica, 76 (5), 1075 - 1101.  Abstract
  • Archishman Chakraborty, Bilge Yilmaz (2008), Microstructure Bluffing with Nested Information, American Economic Review Papers & Proceedings, 98 (2), 280 - 284.
  • Borja Larrain, Motohiro Yogo (2008), Does Firm Value Move Too Much to be Justified by Subsequent Changes in Cash Flow?, Journal of Financial Economics, 87 (1), 200 - 226.
  • Franklin Allen, Rajesh Chakrabarti, Sankar De, Jun “QJ” Qian, Meijun Qian (2008), Law, Institutions and Finance in China and India, In Emerging Giants: China and India in the World Economy edited by Barry Eichengreen, Poonam Gupta, and Rajiv Kumar, 2008.  Abstract
  • Colin Ward (2008), Bayesian REIT Volatility Estimation and Institutional Portfolio Allocation, Journal of Real Estate Portfolio Management, 14 (4), 425 - 442.
  • Christopher Geczy, Susan Christoffersen, David Musto, Adam Reed (2007), Vote Trading and Information Aggregation, Journal of Finance  Abstract
  • Nicholas S. Souleles, Sumit Agarwal, Chunlin Liu (2007), The Reaction of Consumer Spending and Debt to Tax Rebates – Evidence from Consumer Credit Data, Journal of Political Economy, 115(6).
  • Choong Tze Chua, Dean P. Foster, Krishna Ramaswamy, Robert A. Stine (2007), A Dynamic Model for the Forward Curve, Review of Financial Studies, 21, 265 - 310.    Abstract
  • Alex Edmans, Diego García, Øyvind Norli (2007), Sports Sentiment and Stock Returns, Journal of Finance, 62 (4), 1967 - 1998.  Abstract
  • Andrew B Abel, Janice C. Eberly, Stavros Panageas (2007), Optimal Inattention to the Stock Market, American Economic Review, 97 (2), 244 - 249.  Abstract
  • Gregory Nini, Mark Carey (2007), Is the Corporate Loan Market Globally Integrated? A Pricing Puzzle, Journal of Finance, 62 (6), 2969 - 3001.  Abstract
  • Urban Jermann, Vincenzo Quadrini (2007), Stock Market Boom and the Productivity Gains of the 1990s, Journal of Monetary Economics
  • Martin Lettau, Jessica Wachter (2007), Why Is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium, Journal of Finance, 62, 55 - 92.  Abstract
  • Karen K. Lewis (2007), Peso Problem, The New Palgrave Dictionary of Money and Finance,, 2007.  
  • Lars Hansen, John Heaton, Junghoon Lee, Nikolai Roussanov (2007), Intertemporal Substitution and Risk Aversion, Handbook of Econometrics, 6.  Abstract
  • Kjetil Storesletten, Chris Telmer, Amir Yaron (2007), Asset Pricing with Idiosyncratic Risk and Overlapping Generations, Review of Economic Dynamics, 10 (4), 519 - 548.  Abstract
  • Kjetil Storesletten, Chris Telmer, Amir Yaron (2007), Asset Prices and Intergenerational Risk Sharing: The Role of Idiosyncratic Earnings Shocks, In Handbook of Investments, 1.  Abstract
  • Joao F. Gomes, Amir Yaron, Lu Zhang (2006), Asset Pricing Implications of Firms' Financing Constraints, Review of Financial Studies, Vol. 19 (No. 4), 1321 - 1356.  Abstract  Related Materials
  • David S. Johnson, Jonathan A. Parker, Nicholas S. Souleles (2006), Household Expenditure and the Income Tax Rebates of 2001, American Economic Review, 96 (5).  Abstract
  • Susan M Wachter, Andrey Pavlov (2006), The Inevitability of Market-Wide Underpriced Risk, Real Estate Economics, 479-496.  Abstract
  • John Y. Campbell, Motohiro Yogo (2006), Efficient Tests of Stock Return Predictability, Journal of Financial Economics, 81 (1), 27 - 60.
  • Motohiro Yogo (2006), A Consumption-Based Explanation of Expected Stock Returns, Journal of Finance, 61 (2), 539 - 580.
  • Jessica Wachter (2006), A Consumption-Based Model of the Term Structure of Interest Rates, Journal of Financial Economics, 79, 365 - 399.  Abstract
  • David Musto, Nicholas S. Souleles (2006), A Portfolio View of Consumer Credit, Journal of Monetary Economics, 53 (1), 59 - 84.  Abstract
  • Gary B Gorton, Nicholas S. Souleles (2006), Special Purpose Vehicles and Securitization, The Risks of Financial Institutions, Eds. Carey, M., and Stulz, R., Chicago: University of Chicago Press for the NBER, 2006.  Abstract
  • Jessica Wachter (2006), Can Financial Innovation Help to Explain the Reduced Volatility of Economic Activity?, Journal of Monetary Economics, 53, 151 - 154.  Abstract
  • Mark Huggett, Gustavo Ventura, Amir Yaron (2006), Human Capital and Earnings Distribution Dynamics, Journal of Monetary Economics, 53 (2), 265 - 290.
  • Jerry Hausman, James H. Stock, Motohiro Yogo (2005), Asymptotic properties of the Hahn-Hausman test for weak-instruments, Economics Letters, 89 (3), 333 - 342.
  • Jessica Wachter (2005), Solving Models with External Habit, Finance Research Letters, 2, 210 - 226.  Abstract
  • Fernando Alvarez, Urban Jermann (2005), Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth, Econometrica, November 2005, 1977-2016.
  • Susan Christoffersen, Christopher Geczy, David Musto, Adam Reed (2005), Cross-Border Dividend Taxation and the Preferences of Taxable and Non-Taxable Investors: Evidence from Canada, Journal of Financial Economics, Vol. 78 (Issue 1), 121 - 144. doi: 10.1016/j.jfineco.2004.08.004.  Abstract
  • Simon Gervais, Anthony W. Lynch, David Musto (2005), Fund Families as Delegated Monitors of Money Managers, Review of Financial Studies, 18 (4), 1139 - 1169.  Abstract
  • Todd Sinai, Nicholas S. Souleles (2005), Owner Occupied Housing as a Hedge Against Rent Risk, Quarterly Journal of Economics, 120 (2), 763 - 789.  Abstract
  • Joseph Gyourko, Edward Glaeser (2005), Urban Decline and Durable Housing, Journal of Political Economy, Vol 113, no 2, 345-375, 113 (2), 345 - 375.    Abstract
  • Antonios Sangvinatsos, Jessica Wachter (2005), Does the failure of the expectations hypothesis matter for long-term investors?, Journal of Finance, 60, 179 - 230.  Abstract
  • Andrew B Abel (2005), Optimal Taxation When Consumers Have Endogenous Benchmark Levels of Consumption, The Review of Economic Studies, 72 (1), 21 - 42.  Abstract
  • Richard J. Herring (2005), Implementing Basel II: Is the Game Worth the Candle?, Financial Markets, Institutions & Instruments, 14 (5).  Abstract
  • Ravi Bansal, Varoujan Khatacharian, Amir Yaron (2005), Interpretable Asset Markets?, European Economic Review, 49, 531 - 560.
  • Kenneth Kavajecz, Donald B. Keim (2005), Packaging Liquidity: Blind Auctions and Transaction Efficiencies, Journal of Financial and Quantitative Analysis    Abstract
  • Fernando Alvarez, Urban Jermann (2004), Using Asset Prices to Measure the Cost of Business Cycles, Journal of Political Economy, December 2004, 1223-56.
  • Yacine Ait-Sahalia, Jonathan A. Parker, Motohiro Yogo (2004), Luxury Goods and the Equity Premium, Journal of Finance, 59 (6), 2959 - 3004.
  • David Musto (2004), What Happens when Information Leaves a Market? Evidence from Post-Bankruptcy Consumers, Journal of Business, 77 (4), 725 - 748.  Abstract
  • Joseph Gyourko, Todd Sinai (2004), The Asset Price Incidence of Capital Gains Taxes: Evidence from the Taxpayer Relief Act of 1997 and Publicly-Traded Real Estate Firms, Journal of Public Economics, 88 (7-8), 1543 - 1565.  Abstract
  • Steven Craig, Andrew Haughwout, Robert P. Inman, Thomas Luce (2004), Local Revenue Hills: Evidence from Four U.S. Cities, The Review of Economics and Statistics, 86 (2), 570 - 585.  
  • Todd Sinai, Joseph Gyourko (2004), The (Un)Changing Geographical Distribution of Housing Tax Benefits: 1980 to 2000, Tax Policy and the Economy, 18, 175 - 208.  Abstract
  • Joao F. Gomes, Dmitry Livdan (2004), Optimal Diversification: Reconciling Theory and Evidence, Journal of Finance, 2004.  Abstract
  • Joao F. Gomes, Amir Yaron, Lu Zhang (2004), Asset Prices and Business Cycles with Costly External Finance, Review of Economic Dynamics, 2004.  Abstract
  • Ravi Bansal, Amir Yaron (2004), Risks For the Long Run: A Potential Resolution of Asset Pricing Puzzles, Journal of Finance, 59 (4), 1481 - 1509.
  • Kjetil Storesletten, Chris Telmer, Amir Yaron (2004), Consumption and Risk Sharing Over the Life Cycle, Journal of Monetary Economics, 51 (3), 609 - 633.
  • Archishman Chakraborty, Bilge Yilmaz (2004), Manipulation in Market Order Models, Journal of Financial Markets, 7, 187 - 206.  Abstract
  • Archishman Chakraborty, Bilge Yilmaz (2004), Informed manipulation, Journal of Economic Theory, 114, 132 - 152.  Abstract
  • Joseph Gyourko, Todd Sinai (2003), The Spatial Distribution of Housing-Related Ordinary Income Tax Benefits, Real Estate Economics, 31 (4), 527 - 576.  Abstract
  • Robert W. Holthausen (2003), Testing the Relative Power of Accounting Standards versus Incentives and Other Institutional Features to Influence the Outcome of Financial Reporting in an International Setting, Journal of Accounting and Economics, 36 (1-3), 271 - 283.  Abstract
  • David Musto, Anthony W. Lynch (2003), How Investors Interpret Past Fund Returns, Journal of Finance, 58 (5), 2033 - 2058.  Abstract
  • David Musto, Bilge Yilmaz (2003), Trading and Voting, Journal of Political Economy, 111 (5), 990 - 1003.  Abstract
  • Jessica Wachter (2003), Risk aversion and allocation to long-term bonds, Journal of Economic Theory, 112, 325 - 333.  Abstract
  • Lubos Pastor, Robert F. Stambaugh (2003), Liquidity Risk and Expected Stock Returns, Journal of Political Economy, 642-685.  Abstract
  • Andrew B Abel (2003), The Effects of a Baby Boom on Stock Prices and Capital Accumulation in the Presence of Social Security, Econometrica, 71 (2), 551 - 578.  Abstract
  • Joao F. Gomes, Leonid Kogan, Lu Zhang (2003), Equilibrium Cross-Section of Returns, Journal of Political Economy, 2003.  Abstract
  • Karen K. Lewis (2003), What Can Explain the Apparent Lack of International Consumption Risk-sharing?, Journal of Political Economy, 104 (2), 267 - 297.  
  • David Musto, Susan E. K. Christoffersen (2002), Demand Curves and the Pricing of Money Mangement, Review of Financial Studies, 15 (5), 1499 - 1524.  Abstract
  • Mark Carhart, Jennifer Carpenter, Anthony W. Lynch, David Musto (2002), Mutual Fund Survivorship, Review of Financial Studies, 15 (5), 1439 - 1463.  Abstract
  • Christopher Geczy, David Musto, Adam Reed (2002), Stocks are Special Too: An Analysis of the Equity Lending Market, Journal of Financial Economics, 241-269.  Abstract
  • Alon Brav, George Constantinides, Christopher Geczy (2002), Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence, Journal of Political Economy, 793-824.  Abstract
  • Andrew B Abel (2002), An Exploration of the Effects of Pessimism and Doubt on Asset Returns, Journal of Economic Dynamics and Control, 26 (7-8), 1075 - 1092.  Abstract
  • Andrew B Abel (2002), On the Invariance of the Rate of Return to Convex Adjustment Costs, Review of Economic Dynamics, 5 (3), 586-601.
  • Mark Carhart, Ron Kaniel, David Musto, Adam V. Reed (2002), Leaning for the Tape: Evidence of Gaming Behavior in Equity Mutual Funds, Journal of Finance, 57 (2), 66 - 693.  Abstract
  • David B. Gross, Nicholas S. Souleles (2002), An Empirical Analysis of Personal Bankruptcy and Delinquency, Review of Financial Studies, 15 (1).  Abstract
  • Gregory Nini, John David Cummins (2002), Optimal Capital Utilization by Financial Firms: Evidence from, Journal of Financial Services Research, 21 (1-2), 15 - 53.  Abstract
  • Lubos Pastor, Robert F. Stambaugh (2002), Investing in Equity Mutual Funds, Journal of Financial Economics, 351-380.  Abstract
  • Lubos Pastor, Robert F. Stambaugh (2002), Mutual Fund Performance and Seemingly Unrelated Assets, Journal of Financial Economics, 315-349.  Abstract
  • Jessica Wachter (2002), Portfolio and consumption decisions under mean-reverting returns: An exact solution for complete markets, Journal of Financial and Quantitative Analysis, 37, 63 - 91.  Abstract
  • David B. Gross, Nicholas S. Souleles (2002), Do Liquidity Constraints and Interest Rates Matter for Consumer Behavior? Evidence from Credit Card Data, Quarterly Journal of Economics, 117 (1).  Abstract
  • Joao F. Gomes, Frank Schorfheide, Yongsung Chang (2002), Learning By Doing as a Propagation Mechanism, American Economic Review, 2002.  Abstract
  • Robert P. Inman (2002), Should Suburbs Help Their Central Cities?, Brookings-Wharton Papers on Urban Affairs, 2002.
  • Jessica Wachter (2002), Are behavioral asset-pricing models structural? A comment, Journal of Monetary Economics, 49, 229 - 233.
  • Ernst Maug, Bilge Yilmaz (2002), Two-Class Voting: A Mechanism for Conflict Resolution, American Economic Review, 92, 1448 - 1471.
  • Andrew B Abel (2001), Will Bequests Attenuate the Predicted Meltdown in Stock Prices When Baby Boomers Retire?, Review of Economics and Statistics, 8 (4), 589 - 595.  Abstract
  • Robert W. Holthausen, Ross Watts (2001), The Relevance of the Value Relevance Literature for Financial Accounting Standard Setting, Journal of Accounting and Economics, 31 (1-3), 3 - 76.  Abstract
  • Lubos Pastor, Robert F. Stambaugh (2001), The Equity Premium and Structural Breaks, Journal of Finance, 1207-1239.  Abstract
  • Jessica Wachter (2001), Variable Selection for Portfolio Choice: Discussion, Journal of Finance, 56, 1351 - 1355.  Abstract
  • Andrew Haughwout, Robert P. Inman (2001), Fiscal Policies in Open Cities With Firms and Households, Regional Science and Urban Economcis, Vol. 31 (Issues 2-3), 147 - 180. doi: 10.1016/S0166-0462(00)00059-4.    Abstract
  • Andrew B Abel (2001), The Effects of Investing Social Security Funds in the Stock Market When Fixed Costs Prevent Some Households from Holding Stocks, American Economic Review, 91 (1), 128 - 148.  Abstract
  • Antonios Sangvinatsos, Jessica Wachter (2001), Should Investors Avoid All Actively Managed Mutual Funds? A Study in Bayesian Performance Evaluation, Journal of Finance, 56, 45 - 85.  Abstract
  • Joao F. Gomes (2001), Financing Investment, American Economic Review, 2001.  Abstract
  • Joao F. Gomes, Jeremy Greenwood, Sergio Rebelo (2001), Equilibrium Unemployment, Journal of Monetary Economics, 2001.  Abstract
  • Alon Brav, Christopher Geczy, Paul Gompers (2000), Is the Abnormal Return Following Equity Issuances Anomalous?, Journal of Financial Economics, 209-249.  Abstract
  • Lubos Pastor, Robert F. Stambaugh (2000), Comparing Asset Pricing Models: An Investment Perspective, Journal of Financial Economics, 335-381.  Abstract
  • Karen K. Lewis (2000), Why Do Stocks and Consumption Suggest Such Different Gains from International Risk-Sharing?, Journal of International Economics, 52, 1 - 35.  
  • Donald B. Keim, Ananth Madhavan (2000), The Relation between Stock Market Movements and NYSE Seat Prices, Journal of Finance    Abstract
  • Andrew B Abel, Janice C. Eberly (1999), The Effects of Irreversibility and Uncertainty on Capital Accumulation, Journal of Monetary Economics, 44 (3), 339 - 377.  Abstract
  • Robert F. Stambaugh (1999), Predictive Regressions, Journal of Financial Economics, 375-421.  Abstract
  • David Musto (1999), Investment Decisions Depend on Portfolio Disclosures, Journal of Finance, 54 (3), 935 - 952.  Abstract
  • John Core, Robert W. Holthausen, David F. Larcker (1999), Corporate governance, chief executive officer compensation, and firm performance, Journal of Financial Economics, 51 (3), 371 - 406.  Abstract
  • Robert P. Inman (1999), Changing the Price of Pork: The Impact of Local Cost Sharing on Legislators' Demands for Distributive Public Goods, Journal of Public Economics, (February 1999).  Abstract
  • Lubos Pastor, Robert F. Stambaugh (1999), Costs of Equity Capital and Model Mispricing, Journal of Finance, 67-121.  Abstract
  • Andrew B Abel (1999), Risk Premia and Term Premia in General Equilibrium, Journal of Monetary Economics, 43 (1), 339-377.
  • Karen K. Lewis (1999), Trying to Explain Home Bias in Equities and Consumption, Journal of Economic Literature, 37, 571 - 608.  
  • Donald B. Keim (1999), An Analysis of Mutual Fund Design: The Case of Investing in Small-Cap Stocks, Journal of Financial Economics    Abstract
  • Catherine M. Schrand, Haluk Unal (1998), Hedging and Coordinated Risk Management: Evidence from Thrift Conversions, Journal of Finance, (June): 979-1013.  Abstract
  • Andrew B Abel, Janice C. Eberly (1998), The Mix and Scale of Factors with Irreversibility and Fixed Costs of Investment, Carnegie-Rochester Conference Series on Public Policy, 48, 101-135.
  • Andrew B Abel, Janice C. Eberly (1998), The Mix and Scale of Factors with Irreversibility and Fixed Costs of Investment, Carnegie-Rochester Conference Series on Public Policy, 48, 101-135.
  • Domenico Cuoco, J. Cvitanic (1998), Optimal Consumption Choices for a 'Large' Investor, Journal of Economic Dynamics and Control, 22.  Abstract
  • Domenico Cuoco, S. Basak (1998), An Equilibrium Model with Restricted Stock Market Participation, Review of Financial Studies, 11.  Abstract
  • Donald B. Keim, Ananth Madhavan (1998), The Cost of Institutional Equity Trades: An Overview, Financial Analysts Journal  
  • Robert P. Inman (1997), Rethinking Federalism, Journal of Economic Perspectives, (Fall 1997).
  • David Musto (1997), Portfolio Disclosures and Year-End Price Shifts, Journal of Finance, 52 (4), 1563 - 1588.  Abstract
  • Robert F. Stambaugh (1997), Analyzing Investments Whose Histories Differ in Length, Journal of Financial Economics, 285-331.  Abstract
  • Karen K. Lewis (1997), Are Countries with Official International Capital Restrictions , European Economic Review, 41, 1079 - 1109.
  • Robert W. Holthausen, David F. Larcker (1997), Performance, Leverage and Ownership Structure in Reverse LBOs, Journal of Applied Corporate Finance, 10 (1), 8 - 20.  Abstract
  • Andrew B Abel, Janice C. Eberly (1997), An Exact Solution for the Investment and Market Value of Firm Facing Uncertainty, Adjustment Costs, and Irreversibility, Journal of Economic Dynamics and Control, 21 (4-5), 831-852.
  • Domenico Cuoco (1997), Optimal Consumption and Equilibrium Prices with Portfolio Constraints and Stochastic Income, Journal of Economic Theory, 72.  Abstract
  • Donald B. Keim, Ananth Madhavan (1997), Transactions Costs and Investment Style: An Inter-Exchange Analysis of Institutional Equity Trades, Journal of Financial Economics  
  • Robert W. Holthausen, David F. Larcker (1996), The financial performance of reverse leveraged buyouts, Journal of Financial Economics, 42 (3), 293 - 332.  Abstract
  • Andrew B Abel, Janice C. Eberly (1996), Optimal Investment with Costly Reversibility, The Review of Economic Studies, 63 (4), 581-593.
  • Andrew B Abel, Avinash Dixit, Janice C. Eberly, Robert S. Pindyck (1996), Options, the Value of Capital, and Investment, Quarterly Journal of Economics, 111 (3), 753-777.
  • Shmuel Kandel, Robert F. Stambaugh (1996), On the Predictability of Stock Returns: An Asset-Allocation Perspective, Journal of Finance, 385-424.  Abstract
  • Donald B. Keim, Ananth Madhavan (1996), The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects, The Revew of Financial Studies    Abstract
  • Jeffrey F. Jaffe, A. Agrawal (1995), Does Section 166 Deter Insider Trading by Target Managers?, Journal of Financial Economics, 39.  Abstract
  • Robert W. Holthausen, David F. Larcker, Richard Sloan (1995), Business unit innovation and the structure of executive compensation, Journal of Accounting and Economics, 19 (3), 279 - 314.  Abstract
  • Shmuel Kandel, Robert F. Stambaugh (1995), Portfolio Inefficiency and the Cross-Section of Expected Returns, Journal of Finance, 157-184.  Abstract
  • Robert W. Holthausen, David F. Larcker, Richard Sloan (1995), Annual bonus schemes and the manipulation of earnings, Journal of Accounting and Economics, 19 (1), 29 - 74.  Abstract
  • Shmuel Kandel, Robert McCulloch, Robert F. Stambaugh (1995), Bayesian Inference and Portfolio Efficiency, Review of Financial Studies, 1-53.  Abstract
  • Donald B. Keim, Ananth Madhavan (1995), Anatomy of the Trading Process: Empirical Evidence on the Behavior of Institutional Traders, Journal of Financial Economics  
  • Andrew B Abel, Janice C. Eberly (1994), A Unified Model of Investment under Uncertainty, American Economic Review, 84 (1), 1369-1384.
  • Robert W. Holthausen (1994), Discussion of Estimation and Market Valuation of Environmental Liabilities Relating to Superfund Sites, Journal of Accounting Research, Studies on Accounting, Financial Disclosures and the Law, 32, 211 - 219.  Abstract
  • Andrew B Abel (1994), Exact Solutions for Expected Rates of Return under Markov Regime Switching: Implications for the Equity Premium Puzzle, Journal of Money, Credit, and Banking, 26 (3), 345-361.
  • Andrew B Abel, George J. Mailath (1994), Financing Losers in Competitive Markets, Journal of Financial Intermediation, 3 (2), 139-165.
  • Joseph Gyourko, Donald B. Keim (1993), Risks and Returns of Investing in Real Estate: Evidence from a Real Estate Stock Index, Financial Analysts Journal  
  • Wayne E. Ferson, Stephen Foerster, Donald B. Keim (1993), General Tests of Latent Variable Models and Mean Variance Spanning, Journal of Finance  
  • Michael R. Gibbons (1993), A Test of the Cox, Ingersoll, and Ross Model of the Term Structure, Review of Financial Studies, 6.  Abstract
  • Andrew B Abel (1992), Can the Government Roll Over Debt Forever, Business Review - Federal Reserve Bank of Philadelpha, 3-18.
  • Robert W. Holthausen, David F. Larcker (1992), The prediction of stock returns using financial statement information, Journal of Accounting and Economics, 15 (3), 373 - 412.  Abstract
  • J. Hand, Robert W. Holthausen, R. Leftwich (1992), The Effect of Bond Rating Agency Announcements on Bond and Stock Prices, Journal of Finance, 47 (2), 733 - 752.  Abstract
  • Joseph Gyourko, Donald B. Keim (1992), What Does the Stock Market Tell Us About Real Estate Returns, AREUEA Journal  
  • Andrew B Abel (1992), Comments on J. Bradford DeLong and Lawrence H. Summers: Equipment Investment and Economic Growth: How Strong is the Nexus?, Brookings Papers on Economic Activity, 1992:2, 200-205.
  • Andrew B Abel, B. Douglas Bernheim (1991), Fiscal Policy with Impure Intergenerational Fiscal Policy, Econometrica, 59 (6) 1687-1711.
  • Andrew B Abel (1991), The Equity Premium Puzzle, Business Review - Federal Reserve Bank of Philadelpha, 3-14.
  • Marshall E. Blume, Donald B. Keim, Sandeep Patel (1991), Returns and Volatility of Low-Grade Bonds: 1977-1989, Journal of Finance  
  • Andrew B Abel (1991), Some Observations on Demographics and Saving: A Comment, Carnegie-Rochester Conference Series on Public Policy, 34, 157-162.
  • Shmuel Kandel, Robert F. Stambaugh (1991), Asset Returns and Intertemporal Preferences, Journal of Monetary Economics, 39-71.  Abstract
  • Robert W. Holthausen, R. Leftwich, Dave Mayers (1990), Large-block transactions, the speed of response, and temporary and permanent stock-price effects, Journal of Financial Economics, 26 (1), 71 - 95.  Abstract
  • Andrew B Abel (1990), Asset Prices under Habit Formation and Catching Up with the Joneses, American Economic Review, Papers and Proceedings, 80 (2), 38-42.
  • Shmuel Kandel, Robert F. Stambaugh (1990), Expectations and Volatility of Consumption and Asset Returns, Review of Financial Studies, 207-232.  Abstract
  • Robert W. Holthausen (1990), Accounting method choice: Opportunistic behavior, efficient contracting, and information perspectives, Journal of Accounting and Economics, 12 (1-3), 207 - 218.  Abstract
  • Robert W. Holthausen, Robert E. Verrecchia (1990), The Effect of Informedness and Consensus on Price and Volume Behavior, The Accounting Review, 65, 191 - 208.  Abstract
  • Nai-Fu Chen, Bruce Grundy, Robert F. Stambaugh (1990), Changing Risk, Changing Risk Premiums, and Dividend Yield Effects, Journal of Business, S51-S70.  Abstract
  • Bulent Gultekin, A. Penati (1989), Capital Controls and International Capital Market Segmentation: The Evidence from the Japanese and American Stock Markets, Journal of Finance, (September 1989).  Abstract
  • Andrew B Abel (1989), Birth, Death, and Taxes, Journal of Public Economics, 39 (1) 1-15.
  • Shmuel Kandel, Robert F. Stambaugh (1989), A Mean-Variance Framework for Tests of Asset Pricing Models, Review of Financial Studies, 125-156.  Abstract
  • Jeffrey F. Jaffe, R. Westerfield, D. Keim (1989), Earnings Yields, Market Values and Stock Returns, Journal of Finance, 44 (1).  Abstract
  • Jeffrey F. Jaffe, Donald B. Keim, R. Westerfield (1989), Earnings Yields, Market Values, and Stock Returns, Journal of Finance  
  • Michael R. Gibbons (1989), Empirical Tests of the Consumption-Oriented CAPM, Journal of Finance, 44.  Abstract
  • Michael R. Gibbons (1989), A Test of the Efficiency of a Given Portfolio, Econometrics, 57.
  • Andrew B Abel, N. Gregory Mankiw, Lawrence H. Summers, Richard Zeckhauser (1989), Assessing Dynamic Efficiency: Theory and Evidence, The Review of Economic Studies, 56 (1), 1-20.
  • Donald B. Keim (1989), Trading Patterns, Bid-Ask Spreads, and Estimated Security Returns: The Case of Common Stocks at Calendar Turning Points, Journal of Financial Economics    Abstract
  • Andrew B Abel (1988), Stock Prices under Time-Varying Dividend Risk: An Exact Solution in an Infinite-Horizon General Equilibrium Model, Journal of Monetary Economics, 22 (3), 375-393.
  • Andrew B Abel (1988), The Implications of Insurance for the Efficacy of Fiscal Policy, Journal of Risk and Insurance, 55 (2), 339-378.
  • Robert W. Holthausen, Robert E. Verrecchia (1988), The Effect of Sequential Information Releases on the Variance of Price Changes in an Intertemporal Multi-Asset Market, Journal of Accounting Research, 26 (1), 82 - 106.  Abstract
  • Robert F. Stambaugh (1988), The Information in Forward Rates: Implications for Models of the Term Structure, Journal of Financial Economics, 41-70.  Abstract
  • Andrew B Abel, Mark Warshawsky (1988), Specification of the Joy of Giving: Insights from Altruism, Review of Economics and Statistics, 70 (1), 145-149.
  • Donald B. Keim (1988), Stock Market Regularities: A Synthesis of the Evidence and Explanations, in Stock Market Anomalies, edited by Elroy Dimson  
  • Andrew B Abel (1987), Operative Gift and Bequest Motives, American Economic Review, 77 (5), 1037-1047.
  • Robert W. Holthausen, R. Leftwich, D. Mayers (1987), The effect of large block transactions on security prices: A cross-sectional analysis, Journal of Financial Economics, 19 (2), 237 - 267.  Abstract
  • Kenneth R. French, G. William Schwert, Robert F. Stambaugh (1987), Expected Stock Returns and Volatility, Journal of Financial Economics, 3-29.  Abstract
  • N. Dopuch, Robert W. Holthausen, R. Leftwich (1987), Predicting Audit Qualifications with Financial and Market Variables, Accounting Review, 62 (3), 431 - 454.  Abstract
  • Marshall E. Blume, Donald B. Keim (1987), Lower-Grade Bonds: Their Risks and Returns, Financial Analysts Journal    Abstract
  • Wayne E. Ferson, Shmuel Kandel, Robert F. Stambaugh (1987), Tests of Asset Pricing with Time-Varying Expected Risk Premiums and Market Betas, Journal of Finance, 201-220.  Abstract
  • Andrew B Abel (1987), Optimal Monetary Growth, Journal of Monetary Economics, 19 (3), 437-450.
  • Gur Huberman, Shmuel Kandel, Robert F. Stambaugh (1987), Mimicking Portfolios and Exact Arbitrage Pricing, Journal of Finance, 1-9.  Abstract
  • Shmuel Kandel, Robert F. Stambaugh (1987), On Correlations and Inferences about Mean-Variance Efficiency, Journal of Financial Economics, 61-90.  Abstract
  • Donald B. Keim, Robert F. Stambaugh (1986), Predicting Returns in the Stock and Bond Markets, Journal of Financial Economics, 357-390.    Abstract
  • Robert W. Holthausen, R. Leftwich (1986), The effect of bond rating changes on common stock prices, Journal of Financial Economics, 17 (1), 57 - 90.  Abstract
  • Andrew B Abel (1986), Capital Accumulation and Uncertain Lifetimes with Adverse Selection, Econometrica, 54 (5), 1079-1097.
  • Donald B. Keim (1986), The CAPM and Equity Return Regularities, Financial Analysts Journal    Abstract
  • Andrew B Abel (1986), Comment on Kotlikoff, Shoven, and Spivak, Journal of Labor Economics, 4 (3) part 2, S208-S215.
  • N. Dopuch, Robert W. Holthausen, R. Leftwich (1986), Abnormal stock returns associated with media disclosures of ‘subject to’ qualified audit opinions, Journal of Accounting and Economics, 8 (2), 93 - 118.  Abstract
  • Andrew B Abel (1986), The Failure of Ricardian Equivalence under Progressive Wealth Taxation, Journal of Public Economics, 30 (1), 117-128.
  • Andrew B Abel, Olivier J. Blanchard (1986), The Present Value of Profits and the Cyclical Variability of Investment, Econometrica, 54 (2), 249-273.
  • Andrew B Abel (1985), Precautionary Saving and Accidental Bequests, American Economic Review, 75 (4), 777-791.
  • Andrew B Abel (1985), Dynamic Behavior of Capital Accumulation in a Cash-in-Advance Model, Journal of Monetary Economics, 16 (1), 55-71.
  • Andrew B Abel (1985), A Stochastic Model of Investment, Marginal q, and the Market Value of the Firm, International Economic Review, 26 (2), 305-322.
  • Andrew B Abel (1985), Inventories, Stock-outs and Production Smoothing, The Review of Economic Studies, 52 (2), 283-293.
  • Bulent Gultekin, R.J. Rogalski (1985), "Government Bond Returns, Measurement of Interest Rate Risk and the Arbitrage Pricing Theory." Journal of Finance (March 1985)., Journal of Finance, (March 1985).  Abstract
  • Donald B. Keim (1985), Dividend Yields and Stock Returns: Implications of Abnormal January Returns, Journal of Financial Economics    Abstract
  • Donald B. Keim, Robert F. Stambaugh (1984), A Further Investigation of the Weekend Effect in Stock Returns, Journal of Finance, 819-835.    Abstract
  • Bulent Gultekin (1984), A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory, Journal of Finance, (June 1984).  Abstract
  • P. Dodd, N. Dopuch, Robert W. Holthausen, R. Leftwich (1984), Qualified audit opinions and stock prices: Information content, announcement dates, and concurrent disclosures, Journal of Accounting and Economics, 6 (1), 3 - 38.  Abstract
  • Andrew B Abel (1984), The Effects of Uncertainty on Investment and the Expected Long-Run Capital Stock, Journal of Economic Dynamics and Control, 7 (1), 39-53.
  • Marshall E. Blume, Robert F. Stambaugh (1983), Biases in Computed Returns: An Application to the Size Effect, Journal of Financial Economics, 387-404.  Abstract
  • Robert F. Stambaugh (1983), Arbitrage Pricing with Information, Journal of Financial Economics, 357-369.  Abstract
  • Andrew B Abel (1983), Energy Price Uncertainty and Optimal Factor Intensity: A Mean-Variance Analysis, Econometrica, 51 (6), 1839-1845.
  • Andrew B Abel (1983), Tax Neutrality in the Presence of Adjustment Costs, Quarterly Journal of Economics, 98 (4), 705-712.
  • Andrew B Abel (1983), Market Structure and the Durability of Goods, The Review of Economic Studies, 50 (4), 625-637.
  • Philip Brown, Donald B. Keim, Allan Kleidon, Terry Marsh (1983), Stock Return Seasonalities and the Tax-Loss Selling Hypothesis: Analysis of the Arguments and Australian Evidence, Journal of Financial Economics    Abstract
  • Robert W. Holthausen, R. Leftwich (1983), The economic consequences of accounting choice implications of costly contracting and monitoring, Journal of Accounting and Economics, 5 (2), 77 - 119.  Abstract
  • Robert W. Holthausen (1983), Anomalous Abnormal Returns Following Quarterly Earnings Announcements, Proceedings: The Seminar on the Analysis of Security Prices, 28 (1), 37 - 60.
  • Andrew B Abel, Frederic S. MIshkin (1983), On the Econometric Testing of Rationality-Market Efficiency, Review of Economics and Statistics, 65 (2), 318-323.
  • Andrew B Abel, Olivier J. Blanchard (1983), An Intertemporal Model of Saving and Investment, Econometrica, 51 (3), 675-692.
  • Robert F. Stambaugh (1983), Testing the CAPM with Broader Market Indexes: A Problem of Mean Deficiency, Journal of Banking and Finance, 5-16.  Abstract
  • Andrew B Abel (1983), Optimal Investment under Uncertainty, American Economic Review, 73 (1) 228-233.
  • Andrew B Abel, Frederic S. MIshkin (1983), An Integrated View of Tests of Rationality, Market Efficiency and the Short-Run Neutrality of Monetary Policy, Journal of Monetary Economics, 11 (1), 3-24.
  • Donald B. Keim (1983), Size-Related Anomalies and Stock Return Seasonality: Further Empirical Evidence, Journal of Financial Economics    Abstract
  • Robert F. Stambaugh (1982), On the Exclusion of Assets from Tests of the Two-Parameter Model: A Sensitivity Analysis, Journal of Financial Economics, 237-268.  Abstract
  • Robert W. Holthausen (1982), Research on Accounting and Capital Markets, in, Accounting Dissertations: Research Design and Implementation, (Proceedings of the Big Ten Accounting Doctoral Consortium), pp. 65-79.
  • Andrew B Abel (1982), Accelerated Depreciation and the Efficacy of Temporary Fiscal Policy: Implications for an Inflationary Economy, Journal of Public Economics, 19 (1), 23-47.
  • Andrew B Abel (1982), Dynamic Effects of Permanent and Temporary Tax Policies in a q Model of Investment, Journal of Monetary Economics, 9, 353-373.
  • Andrew B Abel (1981), A Dynamic Model of Investment and Capacity Utilization, Quarterly Journal of Economics, 96 (3), 379-403.
  • Andrew B Abel (1981), Taxes, Inflation, and the Durability of Capital, Journal of Political Economy, 89 (3) 548-560.
  • Robert W. Holthausen (1981), Evidence on the effect of bond covenants and management compensation contracts on the choice of accounting techniques: The case of the depreciation switch-back, Journal of Accounting and Economics, 3 (1), 73 - 109.  Abstract
  • Andrew B Abel (1981), Dynamic Adjustment in a Putty-Putty Model: Implications for Testing the Putty-Clay Hypothesis, International Economic Review, 22 (1), 19-36.
  • Andrew B Abel (1980), Empirical Investment Equations: An Integrative Framework, Carnegie-Rochester Conference Series on Public Policy, 12, 39-91.
  • Andrew B Abel (1980), Reply to Prescott's Comments, Carnegie-Rochester Conference Series on Public Policy, 12, 103-105.
  • Andrew B Abel, Rudiger Dornbusch, John Huizinga, Alan Marcus (1979), Money Demand during Hyperinflation, Journal of Monetary Economics, 5 (1), 97-104.
  • Andrew B Abel (1978), Tax Incentives to Investment: An Assessment of Tax Credits and Tax Cuts, New England Economic Review, 54-66.
  • Andrew B Abel, Luis M.C.P. Beleza (1978), Input-Output Pricing in a Keynesian Model as Applied to Portugal, Journal of Development Economics, 5, 125-138.
  • Andrew B Abel, Luis M.C.P. Beleza, Jeffrey A. Frankel, Raymond Hill, Paul R. Krugman (1977), A Model of the Portuguese Economy, Economia, 1 (1).
  • Henri Theil, Robert F. Stambaugh (1977), Inequality and Social Status in Successive Generations, European Economic Review, 125-139.  Abstract
  • Robert W. Holthausen, J. Talbott (1976), A Critique of Price-Level Adjusted Accounting, Hospital Progress, August, pp. 52-55.
  • Andrew B Abel (1975), A Comparison of Three Control Algorithms as Applied to the Monetarist-Fiscalist Debate, Annal of Economic and Social Measurement, 4 (2).
  • Robert W. Holthausen, J. Talbott (1974), Fact Not Fiction - PL(E)AS(E), The Michigan CPA, July-August, pp. 35-39.