Research Output 1978 2019

2019

A Survey of the Microstructure of Fixed-Income Markets

Bessembinder, H., Spatt, C. & Venkataraman, K., Jan 1 2019, In : Journal of Financial and Quantitative Analysis.

Research output: Contribution to journalArticle

Microstructure
Fixed income
Intermediation
Credit
Trading costs
1 Citation (Scopus)

Independent executive directors: How distraction affects their advisory and monitoring roles

Stein, L. & Zhao, H., Jun 1 2019, In : Journal of Corporate Finance. 56, p. 199-223 25 p.

Research output: Contribution to journalArticle

Monitoring
Employers
Independent directors
Earnings quality
CEO turnover
2018
14 Citations (Scopus)

Capital Commitment and Illiquidity in Corporate Bonds

Bessembinder, H., Jacobsen, S., Maxwell, W. & Venkataraman, K., Aug 1 2018, In : Journal of Finance. 73, 4, p. 1615-1661 47 p.

Research output: Contribution to journalArticle

Corporate bonds
Illiquidity
Dealers
Bond market
Financial crisis

Common factors, information, and holdings dispersion

Fontaine, P., Jimenez-Garces, S. & Seasholes, M., Jul 1 2018, In : Review of Finance. 22, 4, p. 1441-1467 27 p.

Research output: Contribution to journalArticle

Common factors
Investors
Market capitalization
Asset prices
Assets
1 Citation (Scopus)

Divisional buyouts by private equity and the market for divested assets

Hege, U., Lovo, S., Slovin, M. B. & Sushka, M., Dec 1 2018, In : Journal of Corporate Finance. 53, p. 21-37 17 p.

Research output: Contribution to journalArticle

Private equity
Buy-outs
Assets
Asset sales
Excess returns
9 Citations (Scopus)

Do stocks outperform Treasury bills?

Bessembinder, H., Jan 1 2018, (Accepted/In press) In : Journal of Financial Economics.

Research output: Contribution to journalArticle

Skewness
Wealth creation
Stock returns
Data base
Listed companies
2 Citations (Scopus)

Family descent as a signal of managerial quality: Evidence from mutual funds

Chuprinin, O. & Sosyura, D., Jan 1 2018, In : Review of Financial Studies. 31, 10, p. 3756-3820 65 p.

Research output: Contribution to journalArticle

Mutual funds
Managers
Fund managers
Wealth
Asset management
1 Citation (Scopus)

Financing acquisitions with earnouts

Bates, T., Neyland, J. B. & Wang, Y. Y., Jan 1 2018, (Accepted/In press) In : Journal of Accounting and Economics.

Research output: Contribution to journalArticle

Financing
Debt
Equity
Bid
Contingent claims

Liquidity Transformation and Financial Fragility: Evidence from Funds of Hedge Funds

Agarwal, V., Aragon, G. & Shi, Z., Jan 1 2018, (Accepted/In press) In : Journal of Financial and Quantitative Analysis.

Research output: Contribution to journalArticle

Financial fragility
Financial crisis
Hedge funds
Liquidity
1 Citation (Scopus)

Shaping Expectations and Coordinating Attention: The Unintended Consequences of FOMC Press Conferences

Boguth, O., Grégoire, V. & Martineau, C., Jan 1 2018, (Accepted/In press) In : Journal of Financial and Quantitative Analysis.

Research output: Contribution to journalArticle

Investors
Announcement
Unintended consequences
Transparency
Social values
5 Citations (Scopus)

The Liquidity Effects of Official Bond Market Intervention

De Pooter, M., Martin, R. F. & Pruitt, S., Feb 1 2018, In : Journal of Financial and Quantitative Analysis. 53, 1, p. 243-268 26 p.

Research output: Contribution to journalArticle

Liquidity
Bond market
Liquidity effect
Market intervention
Purchase
1 Citation (Scopus)

The profitability and investment premium: Pre-1963 evidence

Wahal, S., Jan 1 2018, (Accepted/In press) In : Journal of Financial Economics.

Research output: Contribution to journalArticle

Profitability
Premium
Factors
Efficient portfolio
Stock returns

The use of credit default swaps by bond mutual funds: Liquidity provision and counterparty risk

Aragon, G., Li, L. & Qian, J. QJ., Jan 1 2018, (Accepted/In press) In : Journal of Financial Economics.

Research output: Contribution to journalArticle

Counterparty risk
Mutual funds
Liquidity provision
Credit default swaps
Credit

The “roll yield” myth

Bessembinder, H., Jan 1 2018, In : Financial Analysts Journal. 74, 2, p. 41-53 13 p.

Research output: Contribution to journalArticle

Cash flow
Investors
Price changes
Spot price
Assets
1 Citation (Scopus)

Who benefits in a crisis? Evidence from hedge fund stock and option holdings

Aragon, G., Martin, J. S. & Shi, Z., Jan 1 2018, (Accepted/In press) In : Journal of Financial Economics.

Research output: Contribution to journalArticle

Hedge funds
Managers
Equity options
Liquidity
Premium
8 Citations (Scopus)

Why Has the Value of Cash Increased over Time?

Bates, T., Chang, C. H. & Chi, J. D., Apr 1 2018, In : Journal of Financial and Quantitative Analysis. 53, 2, p. 749-787 39 p.

Research output: Contribution to journalArticle

Cash holdings
Cash
Investment opportunity set
Capital markets
Firm diversification
2017
7 Citations (Scopus)

A Labor Capital Asset Pricing Model

Kuehn, L. A., Simutin, M. & Wang, J., 2017, (Accepted/In press) In : Journal of Finance.

Research output: Contribution to journalArticle

Capital asset pricing model
Labor
Labour market
Search frictions
Time variation
2 Citations (Scopus)

Bid Resistance by Takeover Targets: Managerial Bargaining or Bad Faith?

Bates, T. & Becher, D. A., Jun 1 2017, In : Journal of Financial and Quantitative Analysis. 52, 3, p. 837-866 30 p.

Research output: Contribution to journalArticle

Bid
Faith
Chief executive officer
Price improvement
Shareholder wealth
1 Citation (Scopus)

Estimating Monetary Policy Rules When Nominal Interest Rates Are Stuck at Zero

Kim, J. & Pruitt, S., Jun 1 2017, In : Journal of Money, Credit and Banking. 49, 4, p. 585-602 18 p.

Research output: Contribution to journalArticle

Nominal interest rate
Monetary policy rules
Inflation
Federal Reserve
Global financial crisis
3 Citations (Scopus)

Leverage constraints and asset prices: Insights from mutual fund risk taking

Boguth, O. & Simutin, M., Jan 1 2017, (Accepted/In press) In : Journal of Financial Economics.

Research output: Contribution to journalArticle

Mutual funds
Risk taking
Leverage
Asset prices
Time variation
2 Citations (Scopus)

Strategic Delays and Clustering in Hedge Fund Reported Returns

Aragon, G. & Nanda, V., Jan 25 2017, (Accepted/In press) In : Journal of Financial and Quantitative Analysis. p. 1-35 35 p.

Research output: Contribution to journalArticle

Hedge funds
Clustering
Disclosure
Investors
Managers
4 Citations (Scopus)

Taxing Atlas: Executive compensation, firm size, and their impact on optimal top income tax rates

Ales, L., Bellofatto, A. A. & Wang, J., Oct 1 2017, In : Review of Economic Dynamics. 26, p. 62-90 29 p.

Research output: Contribution to journalArticle

Optimal taxation
Managers
Tax rate
Firm size
Executive compensation
2016
4 Citations (Scopus)

Do nonexecutive employees have valuable information? Evidence from employee stock purchase plans

Babenka, I. & Sen, R., Jul 1 2016, In : Management Science. 62, 7, p. 1878-1898 21 p.

Research output: Contribution to journalArticle

Employees
Purchase
Stock returns
Employee relations
Firm performance
1 Citation (Scopus)

Horizon effects in average returns: The role of slow information diffusion

Boguth, O., Carlson, M., Fisher, A. & Simutin, M., Aug 1 2016, In : Review of Financial Studies. 29, 8, p. 2241-2281 41 p.

Research output: Contribution to journalArticle

Information diffusion
Linkage
Market information
Performance evaluation
12 Citations (Scopus)

Idiosyncratic Cash Flows and Systematic Risk

Babenka, I., Boguth, O. & Tserlukevich, Y., Feb 1 2016, In : Journal of Finance. 71, 1, p. 425-456 32 p.

Research output: Contribution to journalArticle

Anomaly
Stock returns
Idiosyncratic shocks
Systematic risk
Cash flow
13 Citations (Scopus)

Is Momentum an Echo?

Goyal, A. & Wahal, S., Jan 26 2016, In : Journal of Financial and Quantitative Analysis. 50, 6, p. 1237-1267 31 p.

Research output: Contribution to journalArticle

Momentum
Asia
Geographic regions
Reversal
Emerging markets
70 Citations (Scopus)

Systemic risk and the macroeconomy: An empirical evaluation

Giglio, S., Kelly, B. & Pruitt, S., Mar 1 2016, In : Journal of Financial Economics. 119, 3, p. 457-471 15 p.

Research output: Contribution to journalArticle

Empirical evaluation
Systemic risk
Macroeconomy
Economic activity
Industrial production
2015
38 Citations (Scopus)

High-frequency quoting, trading, and the efficiency of prices

Conrad, J., Wahal, S. & Xiang, J., May 1 2015, In : Journal of Financial Economics. 116, 2, p. 271-291 21 p.

Research output: Contribution to journalArticle

High-frequency trading
Costs
Latency
Random walk
Tokyo Stock Exchange
5 Citations (Scopus)

Home Ownership, Household Leverage and Hyperbolic Discounting

Ghent, A., Sep 1 2015, In : Real Estate Economics. 43, 3, p. 750-781 32 p.

Research output: Contribution to journalArticle

Household
Home ownership
Leverage
Payment
Hyperbolic discounting
4 Citations (Scopus)

How do case law and statute differ? Lessons from the evolution of mortgage law

Ghent, A., Nov 1 2015, In : Journal of Law and Economics. 57, 4, p. 1085-1122 38 p.

Research output: Contribution to journalArticle

case law
statute
foreclosure
Law
common law
11 Citations (Scopus)

Market Making Contracts, Firm Value, and the IPO Decision

Bessembinder, H., Hao, J. & Zheng, K., Oct 1 2015, In : Journal of Finance. 70, 5, p. 1997-2028 32 p.

Research output: Contribution to journalArticle

Market making
Firm value
Secondary market
Market makers
Liquidity
2 Citations (Scopus)

Repurchasing debt

Mao, L. & Tserlukevich, Y., Jul 1 2015, In : Management Science. 61, 7, p. 1648-1662 15 p.

Research output: Contribution to journalArticle

Debt
Repurchase
Firm value
Corporate debt
Cash
23 Citations (Scopus)

Resource accumulation through economic ties: Evidence from venture capital

Hochberg, Y. V., Lindsey, L. & Westerfield, M. M., Nov 1 2015, In : Journal of Financial Economics. 118, 2, p. 245-267 23 p.

Research output: Contribution to journalArticle

Venture capital
Resources
Economics
Agency costs
Firm formation
42 Citations (Scopus)

The three-pass regression filter: A new approach to forecasting using many predictors

Kelly, B. & Pruitt, S., Jun 1 2015, In : Journal of Econometrics. 186, 2, p. 294-316 23 p.

Research output: Contribution to journalArticle

Forecast
Forecasting
Predictors
Regression
Filter
2014
13 Citations (Scopus)

Differences in subprime loan pricing across races and neighborhoods

Ghent, A. C., Hernández-Murillo, R. & Owyang, M. T., 2014, In : Regional Science and Urban Economics. 48, p. 199-215 17 p.

Research output: Contribution to journalArticle

loan
pricing
ethnic group
ethnicity
metropolitan area
4 Citations (Scopus)

Do going-private transactions affect plant efficiency and investment?

Bharath, S., Dittmar, A. & Sivadasan, J., 2014, In : Review of Financial Studies. 27, 7, p. 1929-1976 48 p.

Research output: Contribution to journalArticle

Going private
Productivity
Public firm
Overinvestment
Peers
55 Citations (Scopus)

Financial expert CEOs: CEO's work experience and firm's financial policies

Custódio, C. & Metzger, D., 2014, In : Journal of Financial Economics. 114, 1, p. 125-154 30 p.

Research output: Contribution to journalArticle

Work experience
Financial policy
Chief executive officer
Credit
Debt
15 Citations (Scopus)

Freedom of choice between unitary and two-tier boards: An empirical analysis

Belot, F., Ginglinger, E., Slovin, M. B. & Sushka, M., 2014, In : Journal of Financial Economics. 112, 3, p. 364-385 22 p.

Research output: Contribution to journalArticle

Freedom of choice
Empirical analysis
Board structure
France
Asymmetric information
11 Citations (Scopus)

Investing in a global world

Busse, J. A., Goyal, A. & Wahal, S., 2014, In : Review of Finance. 18, 2, p. 561-590 30 p.

Research output: Contribution to journalArticle

Investing
Mandate
Luck
Stock selection
Mutual funds
20 Citations (Scopus)

Liquidity, resiliency and market quality around predictable trades: Theory and evidence

Bessembinder, H., Carrion, A., Tuttle, L. & Venkataraman, K., Nov 6 2014, (Accepted/In press) In : Journal of Financial Economics.

Research output: Contribution to journalArticle

Liquidity
Traders
Resiliency
Trade theory
Market quality
26 Citations (Scopus)

Mergers and Acquisitions Accounting and the Diversification Discount

Custódio, C., Feb 2014, In : Journal of Finance. 69, 1, p. 219-240 22 p.

Research output: Contribution to journalArticle

Diversification discount
Mergers
Book value
Assets
Mergers and acquisitions
7 Citations (Scopus)

Money left on the table: An analysis of participation in employee stock purchase plans

Babenka, I. & Sen, R., Dec 1 2014, In : Review of Financial Studies. 27, 12, p. 3658-3698 41 p.

Research output: Contribution to journalArticle

Employees
Purchase
Participation
Discount
Financial security
16 Citations (Scopus)

Onshore and offshore hedge funds: Are they twins?

Aragon, G., Liang, B. & Park, H., Jan 2014, In : Management Science. 60, 1, p. 74-91 18 p.

Research output: Contribution to journalArticle

Hedge funds
Investors
Capital flows
Prediction
Organizational design
2013
27 Citations (Scopus)

Consumption Volatility Risk

Boguth, O. & Kuehn, L. A., Dec 2013, In : Journal of Finance. 68, 6, p. 2589-2615 27 p.

Research output: Contribution to journalArticle

Volatility risk
Time variation
Premium
Dividends
Cash flow
64 Citations (Scopus)

Exit as Governance: An Empirical Analysis

Bharath, S., Jayaraman, S. & Nagar, V., Dec 2013, In : Journal of Finance. 68, 6, p. 2515-2547 33 p.

Research output: Contribution to journalArticle

Empirical analysis
Exit
Governance
Threat
Liquidity
103 Citations (Scopus)

Generalists versus specialists: Lifetime work experience and chief executive officer pay

Custódio, C., Ferreira, M. A. & Matos, P., May 2013, In : Journal of Financial Economics. 108, 2, p. 471-492 22 p.

Research output: Contribution to journalArticle

Work experience
Chief executive officer
Premium
Managerial skills
Inclusion
50 Citations (Scopus)

How do CEOs matter? The effect of industry expertise on acquisition returns

Custódio, C. & Metzger, D., Aug 1 2013, In : Review of Financial Studies. 26, 8, p. 2007-2047 41 p.

Research output: Contribution to journalArticle

Chief executive officer
Expertise
Industry
Surplus
Premium
70 Citations (Scopus)

Liquidity risk of corporate bond returns: Conditional approach

Acharya, V. V., Amihud, Y. & Bharath, S., Nov 2013, In : Journal of Financial Economics. 110, 2, p. 358-386 29 p.

Research output: Contribution to journalArticle

Liquidity risk
Bond returns
Corporate bonds
Liquidity shocks
Economic conditions
30 Citations (Scopus)

Style investing, comovement and return predictability

Wahal, S. & Yavuz, M. D., Jan 2013, In : Journal of Financial Economics. 107, 1, p. 136-154 19 p.

Research output: Contribution to journalArticle

Comovement
Style investing
Return predictability
Momentum
Stock returns
72 Citations (Scopus)

The visible hand: Race and online market outcomes

Doleac, J. L. & Stein, L., Nov 2013, In : Economic Journal. 123, 572

Research output: Contribution to journalArticle

Online markets
Seller
Isolation
Crime
Statistical discrimination