Research Papers / Publications


  • Jessica Wachter (2013), Can time-varying risk of rare disasters explain aggregate stock market volatility, Journal of Finance, 68 (3), 987 - 1035.  Abstract
  • Anthony W. Lynch, Jessica Wachter (2013), Using Samples of Unequal Length in Generalized Method of Moments Estimation, Journal of Financial and Quantitative Analysis, 48 (1), 277 - 307.  Abstract
  • Christian Opp, Marcus Matthias Opp, Milton Harris (2012), Rating Agencies in the Face of Regulation, Journal of Financial Economics
  • Pavel G. Savor (2012), Stock Returns after Major Price Shocks: the Impact of Information, Journal of Financial Economics    Abstract
  • Jules van Binsbergen, Jesus Fernandez-Villaverde, Ralph S.J. Koijen, Juan Rubio-Ramirez (2012), The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences, Journal of Monetary Economics
  • Darien Huang, Franklin Allen, Jun Qian, Mengxin Zhao (2012), The Initial Public Offering of the Industrial and Commercial Bank of China, The Frontier State of Economics: IEA XIV World Congress  Abstract
  • Robert W. Holthausen, Mark E. Zmijewski (2012), Valuation with Market Multiples: How to Avoid Pitfalls When Identifying and Using Comparable Companies, Journal of Applied Corporate Finance, 24, 26 - 38.  Abstract
  • Robert W. Holthausen, Mark E. Zmijewski (2012), Pitfalls in Levering and Unlevering Beta and Cost of Capital Estimates in DCF Valuations, Journal of Applied Corporate Finance, 24, 60 - 74.  Abstract
  • Vincent Glode, Richard C. Green, Richard Lowery (2012), Financial Expertise as an Arms Race, The Journal of Finance  Abstract
  • Lubos Pastor, Robert F. Stambaugh (2012), On the Size of the Active Management Industry, Journal of Political Economy
  • Mariano Croce, Thien T. Nguyen, Lukas Schmid (2012), The market price of fiscal uncertainty, Journal of Monetary Economics, 59 (5).
  • Jules van Binsbergen, Michael W. Brandt, Ralph S.J. Koijen (2012), On the Timing and Pricing of Dividends, American Economic Review
  • Robert F. Stambaugh, Jianfeng Yu, Yu Yuan (2012), The Short of It: Investor Sentiment and Anomalies, Journal of Financial Economics, 288-302.
  • Fernando Ferreira, Joseph Gyourko (2012), Heterogeneity in Neighborhood-Level Price Growth in the United States, 1993–2009, American Economic Review Papers and Proceedings, 102 (3), 134 - 140.
  • Lubos Pastor, Robert F. Stambaugh (2012), Are Stocks Really Less Volatile in the Long Run?, Journal of Finance, 431-478.
  • Pavel G. Savor, Mungo Wilson (2012), How Much Do Investors Care About Macroeconomic Risk? Evidence From Scheduled Economic Announcements, Journal of Financial and Quantitative Analysis    Abstract
  • Urban Jermann, Vincenzo Quadrini (2012), Macroeconomic Effects of Financial Shocks, American Economic Review
  • Todd A. Gormley, Bong Hwan Kim, Xiumin Martin (2012), Do Firms Adjust Their Timely Loss Recognition in Response to Changes in the Banking Industry?, Journal of Accounting Research, 50 (1), 159 - 196.  Abstract
  • Mariano Croce, H. Kung, Thien T. Nguyen, Lukas Schmid (2012), Fiscal Policies and Asset Prices, Review of Financial Studies, 25 (9).
  • Krista Schwarz (2012), Are Speculators Informed?, Journal of Futures Markets, 32 (1), 1 - 23.  Abstract