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
  • 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).
  • Mark Jenkins, Liran Einav, Jonathan Levin (2012), Contract Pricing in Consumer Credit Markets, Econometrica, 80 (4), 1387 - 1432.  Abstract
  • Alex Edmans, Itay Goldstein, Wei Jiang (2012), The Real Effects of Financial Markets: The Impact of Prices on Takeovers, Journal of Finance
  • Robert F. Stambaugh, Jianfeng Yu, Yu Yuan (2012), The Short of It: Investor Sentiment and Anomalies, Journal of Financial Economics, 288-302.
  • 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
  • Lukasz Drozd (2012), Understanding International Prices: Customers as Capital, American Economic Review, 102 (1), 364 - 95.  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