Research Papers / Publications


  • M. Yasser Boualam (Draft), Bank Competition and Dynamic Credit Relationships.
  • Sang Byung Seo, Jessica Wachter (Working), Option prices in a model with stochastic disaster risk.    Abstract
  • Colin Ward (Draft), Is the IT Revolution Over? An Asset Pricing View (Job market paper).  Abstract
  • Scott F Richard (Draft), A Non-Linear Macroeconomic Term Structure Model.    Abstract  Related Materials
  • Bastian von Beschwitz, Donald B. Keim, Massimo Massa (Working), Media-Driven High Frequency Trading: Evidence from News Analytics.    Abstract
  • Krista Schwarz (Working), Mind the Gap: Disentangling Credit and Liquidity in Risk Spreads.  Abstract
  • Colin Ward, Gunnar Grass (Draft), Do Corporate Bond Spreads Really Contain Illiquidity Premia?.  Abstract
  • Lubos Pastor, Robert F. Stambaugh, Luke Taylor (Under Review), Scale and Skill in Active Management.  Abstract
  • Colin Ward, Nikolai Roussanov, Robert Ready (Under Review), Commodity Trade and the Carry Trade.  Abstract
  • Joao F. Gomes, Vito Gala (Under Review), Beyond Q: Investment Without Asset Prices.    Abstract  Related Materials
  • Pavel G. Savor, Mungo Wilson (Working), Asset Pricing: A Tale of Two Days.    Abstract
  • Joao F. Gomes, Urban Jermann, Lukas Schmid (Under Review), Sticky Leverage.    Abstract
  • Cecilia Parlatore Siritto (Working), Transparency and Bank Runs.  Abstract
  • Vincent Glode, Christian Opp (Working), Adverse Selection and Intermediation Chains.  Abstract
  • Peter Feldhuetter, Christian Heyerdahl-Larsen, Philipp Illeditsch (Working), Risk Premia, Volatilities, and Sharpe Ratios in a Non-Linear Term Structure Model.  Abstract
  • Todd A. Gormley (Under Review), Costly Information, Foreign Entry, and Credit Access.  Abstract
  • Paul Ehling, Michael F. Gallmeyer, Christian Heyerdahl-Larsen, Philipp Illeditsch (Working), Disagreement about Inflation and the Yield Curve.  Abstract
  • Vincent Glode, Richard Lowery (Working), Informed Trading and High Compensation in Finance.  Abstract