Research Papers / Publications


  • Jonathan Berk, Jules van Binsbergen, Binying Liu (Working), Matching Capital and Labor.
  • Jonathan Berk, Jules van Binsbergen (2015), Assessing Asset Pricing Models Using Revealed Preference, Journal of Financial Economics, (forthcoming).
  • David Erickson, David Musto, Alcoa Deals with the Financial Crisis - Wharton Case 98  Description
  • Ivan Shaliastovich (2015), Learning, confidence, and option prices, Journal of Econometrics, 187 (1), 18 - 42.
  • David Erickson, David Musto, Elliott Management Goes After Riverbed Technology - Wharton Case 97  Description
  • Gill Segal (Draft), Sectoral Innovation and Volatility: Does Investment-Sector's Technological-Volatility Raise Cash-Flows and Prices?.  Abstract
  • Mete Kilic, Jessica Wachter (Working), Risk, Unemployment, and the Stock Market: A Rare-Event-Based Explanation of Labor Market Volatility.    Abstract
  • Bastian von Beschwitz, Donald B. Keim, Massimo Massa (Working), First to "Read" the News: News Analytics and Institutional Trading.    Abstract
  • Ian Appel, Todd A. Gormley, Donald B. Keim (Under Revision), Passive Investors, Not Passive Owners.    Abstract
  • Donald B. Keim, Olivia S. Mitchell (Working), Simplifying Choices in Defined Contribution Retirement Plan Design.    Abstract
  • Darien Huang (Draft), Gold, Platinum, and Expected Stock Returns (Job Market Paper).  Abstract
  • Efstathios Avdis, Jessica Wachter (Working), Maximum likelihood estimation of the equity premium.    Abstract  Related Materials
  • Maisy Wong (Working), A Tractable Framework to Relate Marginal Willingness-to-Pay in Hedonic and Discrete Choice Models.    Abstract
  • Maisy Wong (Working), CMBS and Conflicts of Interest: Evidence from a Natural Experiment on Servicer Ownership.    Abstract  Related Materials
  • Jessica Wachter, Missaka Warusawitharana (2015), What is the chance that the equity premium varies over time? Evidence from regressions on the dividend-price ratio, Journal of Econometrics, 186, 74 - 93.    Abstract
  • David Erickson, David Musto, The Alibaba IPO - Wharton Case 96  Description
  • Vincent Glode, Richard Lowery (2015), Compensating Financial Experts, Journal of Finance, Forthcoming.
  • Ryan Heath Peters, Luke Taylor (Under Review), Intangible Capital and the Investment-q Relation.  Abstract
  • Robert F. Stambaugh, Luke Taylor, Lubos Pastor (2015), Scale and Skill in Active Management, Journal of Financial Economics, 116, 23 - 45.  Abstract  Related Materials
  • Karen K. Lewis, Edith X. Liu (2015), Evaluating International Consumption Risk Sharing Gains: An Asset Return View, Journal of Monetary Economics, 71, 84 - 98.  
  • Jessica Wachter, Jerry Tsai (Working), Rare booms and disasters in a multi-sector endowment economy.    Abstract
  • Peter Feldhuetter, Christian Heyerdahl-Larsen, Philipp Illeditsch (Working), Risk Premia and Volatilities in a Nonlinear Term Structure Model.  Abstract
  • David Erickson, David Musto, EMC: The Carve-out of VMware - Wharton Case 95  Description
  • Karen K. Lewis (Working), Do Foreign Firm Betas Change During Cross-Listing?.    Abstract
  • Karna Basu, Maisy Wong (2015), Evaluating Seasonal Food Storage and Credit Programs in East Indonesia, Journal of Development Economics
  • Adam Levitin, Susan M Wachter (Work In Progress), Second-LIens and the Leverage Option.
  • Jerry Tsai, Jessica Wachter (Working), Disaster risk and its implications for asset pricing.    Abstract  Related Materials
  • Sang Byung Seo, Jessica Wachter (Working), Option Prices in a Model with Stochastic Disaster Risk.    Abstract
  • Todd A. Gormley, Simon Johnson, Changyong Rhee (2015), Too Big to Fail? Government Policy vs. Investor Perceptions,”, Review of Finance, forthcoming, 19, 491 - 518.  Abstract
  • Jules van Binsbergen, Michael W. Brandt, "Optimal Asset Allocation in Asset Liability Management". In Handbook of Fixed Income, edited by Pietro Veronesi, (2015).