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
  • Ali Shourideh, Ariel Zetlin-Jones (Work In Progress), External Financing and the Reallocation of Capital over the Business Cycle: Measurement and Theory.    Abstract
  • Gill Segal (Work In Progress), How Much Private Information Do Managers Have? Evidence From Structural Estimation.
  • Ali Shourideh (Under Review), Optimal Taxation of Wealthy Individuals.    Abstract  Related Materials
  • Nikolai Roussanov, Pavel G. Savor (Working), Status, Marriage, and Managers' Attitudes To Risk.  Abstract
  • Vito Gala, Brandon Julio (Working), Convergence in Corporate Investments.  Abstract
  • Vito Gala, Paolo Volpin (Working), Public Information and Inefficient Investment.  Abstract
  • Vito Gala (Work In Progress), A Fundamental Characterization of Asset Prices.
  • Pavel G. Savor (2012), Stock Returns after Major Price Shocks: the Impact of Information, Journal of Financial Economics    Abstract
  • Vito Gala (Work In Progress), Arbitrage in ETFs Markets.
  • Gill Segal (Draft), The U.S. Economy and Sovereign Defaults.    Abstract
  • Ali Shourideh, Maxim Troshkin (Work In Progress), Providing Efficient Incentives to Work: Retirement Ages and the Pension System.    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
  • Jerry Tsai (Working), Rare disasters and the term structure of interest rates (Job Market Paper).  Abstract
  • Vincent Glode, Richard C. Green, Richard Lowery (2012), Financial Expertise as an Arms Race, The Journal of Finance  Abstract
  • Jakub W. Jurek, Erik Stafford (Draft), Haircut Dynamics.  Abstract
  • Scott Condie, Jayant Ganguli, Philipp Illeditsch (Under Revision), Information Inertia.  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).
  • Doron Levit, Nadya Malenko (Forthcoming), The Labor Market for Directors and Externalities in Corporate Governance.  Abstract  Related Materials
  • 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
  • Robert P. Inman, Daniel L. Rubinfield (Working), Understanding the Democratic Transition in South Africa.  
  • 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
  • Ivan Shaliastovich, Bjorn Eraker, Wenyu Wang (Working), Durable Goods, Inflation Risk and the Equilibrium Term Structure.  Abstract
  • Pavel G. Savor, Suresh Govindaraj, Joshua Livnat, Chen Zhao (Working), Large Price Changes and Subsequent Returns.  Abstract
  • 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
  • Jules van Binsbergen, Michael W. Brandt, Ralph S.J. Koijen, "Decentralized Decision Making in Investment Management". In Handbook of Quantitative Asset Management, edited by Kenneth Wilson, Bernd Scherer, (2012).