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Home » Programs + Academics » Academic Areas » Finance » Research » Finance Publications

Finance Publications

Amber Anand

  • "Stealth Trading in Options Markets", Journal of Financial and Quantitative Analysis, 42, 167-188, 2007, (with Chakravarty, S. )
  • "Information and the Intermediary: Are Market Intermediaries Informed Traders in Electronic Markets", Journal of Financial and Quantitative Analysis, 43, 1-28 , 2008, (with Subrahmanyam, A.)
  • "Paying for Market Quality", Journal of Financial and Quantitative Analysis, forthcoming, (with C. Tanggaard and D. Weaver)
  • "Can Order Exposure be Mandated", Journal of Financial Markets, 7, 405-426, 2004, (with D. Weaver)

Chung Chen

  • "On a stepwise hypotheses testing procedure and information criterion in identifying dynamic relations between time series", The Journal of Data Sciences, Vol. 7, No. 2, forthcoming, (with Man, K.)
  • "Characterization of weight loss and weight regain mechanisms after Roux-en-Y gastric", American Journal of Physiological Regulatory Integrative Comp. Physiology, Vol. 287, 2007
  • "Omega-3 fatty acids improve appetite in cancer anorexia, but tumor resecting restores it", Surgery, 139(2):202-8, 2006, (with Goncalves C.G., Ramos E.J., Romanova I.V., Suzuki S., and Meguid M.)
  • "Economic developments under political and economic asymmetries: the case of Shanghai and Taiwan", The Journal of Economic Asymmetries , Vol. 2, No. 1, pp. 41-58, 2005, (with Koveos, P. and Zhang, Y. M.)

Anna Chernobai

  • "Disclosures of Material Weaknesses by Japanese Firms after the Passage of the 2006 Financial Instruments and Exchange Law", Journal of Banking and Finance, forthcoming, 2013, (with Yasuda, Y.)
  • "Is Selection Bias Inherent in Housing Transactions? An Equilibrium Approach", Real Estate Economics, forthcoming, 2013, (with Chernobai, E.)
  • "An Internal Control Perspective on the Market Value Consequences of IT Operational Risk and Its Subcategories", International Journal of Accounting Information Systems, 13(4), pp. 357-381, 2012, (with Benaroch, M., and Goldstein, J.)
  • "An Event Study Analysis of the Economic Impact of IT Operational Risk and Its Subcategories", Journal of the Association for Information Systems, 12(9), pp. 606-631, 2011, (with Goldstein, J., and Benaroch, M.)
  • "The Determinants of Operational Risk in U.S. Financial Institutions", Journal of Financial and Quantitative Analysis, 46(6), pp. 1683-1725, 2011, (with Jorion, P., and Yu, F.)
  • "The Dynamics of Operational Loss Clustering", Journal of Banking and Finance, 32(12), pp. 2655-2666, 2008, (with Yildirim, Y.)
  • "Operational Risk: A Guide to Basel II Capital Requirements, Models, and Analysis", John Wiley & Sons, ISBN #978-0-471-78051-9, 2007, (with Rachev, S.T., Fabozzi, F.J.)

Fernando Diz

  • "The Professional Costs of Chapter 11: A Different View", The Journal of Bankruptcy Law and Practice, Vol. 14, No. 2, 2005, (with Whitman, M.)
  • "The Effect of Leverage on the Performance of Commodity Trading Advisors", The Journal of Futures Markets, Vol 23, No. 10, October 2003

Peter Koveos

  • "Economic developments under political and economic asymmetries: the case of Shanghai and Taiwan", The Journal of Economic Asymmetries , Vol. 2, No. 1, pp. 41-58, 2005, (with Chen, C., and Zhang, Y.M.)
  • "Public-Private Partnerships in Emerging Markets", QFinance, forthcoming
  • "Entrepreneurship and Sustainability: The Fight against Poverty ", Thunderbird International Business Review, forthcoming, (with Zhang, Y.)

Milena Petrova

Sandra Phillips

  • "Bank Financing and Discrimination in the Consumer Mortgage Market: An Application of HMDA Data", Pakistan Journal of Applied Sciences (PJAS), 3(1), 4-8, January 2003, (with Scannell, N. J.)
  • "African Americans and Mortgage Lending Discrimination", Western Journal of Black Studies (WJBS), 27(2), Summer 2003
  • "Reducing Home Mortgage Foreclosures in a Predatory Lending Environment: A Case Study of a Mid-Sized City in Central New York", Fordham Urban Law Journal, Vol. XXVI, No. 3, April 2009
  • "A House is Not a Home: Effect of Eminent Domain Abuse on the Poor, African Americans, and the Elderly", Housing and Society, 36(1), 2009, (with Sillah, M.R.)

Ravi Shukla

  • "The Value of Active Portfolio Management", Journal of Economics and Business, Volume 56, Issue 4, July-August 2004
  • "Application of Binomial Option Pricing Methodology to Explain Stockholder-Bondholder Conflict", Journal of Applied Finance, Volume 11, Number 1, 2001, (with Narayanaswamy, C.R. and Schirm, D.)
  • "Mutual Fund Objective Misclassification", Journal of Economics and Business, Volume 52, Issue 4, July 2000, (with Kim, M. and Tomas, M.)

Raja Velu

  • "Auditing Disclosures by Relevance Ranking ", Proceedings of the Association of Computing Machinery Sigmod , 2007, (with Agarwal, Kiernan and Evfiemvski.)

David Weinbaum

  • "Deviations from Put-Call Parity and Stock Return Predictability", Journal of Financial and Quantitative Analysis, forthcoming, (with Cremers, M.)
  • "Investor Heterogeneity, Volatility Dynamics and Asset Pricing", Journal of Economic Dynamics and Control, forthcoming
  • "Does Skin in the Game Matter? Director Incentives and Governance in the Mutual Fund Industry", Journal of Financial and Quantitative Analysis, December 2009, (with Cremers, M., Driessen, J., Maenhout, P.)
  • "A Conditional Extreme Value Volatility Estimator based on High Frequency Returns", Journal of Economic Dynamics and Control, pp. 361-397,lead article, February 2007, (with Bali, T.G.)

Yildiray Yildirim

  • "Modeling Default Risk with Partial Information", Annals of Applied Probability, Vol.14, No. 3, 1167-1178 , 2004, (with Cetin, U., Jarrow, R., Protter, P.)
  • "Modeling Default Risk: A New Structural Approach", Finance Research Letters, 3, 165-172, 2006
  • "Estimating Default Probabilities of CMBS with Clustering and Heavy Censoring", The Journal of Real Estate Finance and Economics, Vol. 37, No. 2, pp. 93-11, 2008
  • "Commercial Mortgage Backed Securities (CMBS) and Market Efficiency with Respect to Costly Information", Real Estate Economics, Vol. 36, No. 3, pp. 441-4, 2008, (with Christopoulos, A., Jarrow, R.)
  • "Leverage, Options Liabilities, and Corporate Bond Pricing", The Review of Derivatives Research, Vol. 11, Issue 3, 254-276, 2009, (with Huang, H.)
  • "Price Discovery in Real Estate Markets: A Dynamic Analysis", The Journal of Real Estate Finance and Economics, forthcoming, (with Yavas, A.)
  • "The Term Structure of Lease Rates with Endogenous Default Triggers and Tenant Capital Structure: Theory and Evidence", The Journal of Financial and Quantitative Analysis, forthcoming, (with Agarwal, S., Ambrose, B., and Huang, H.)
  • "Estimating Default Probabilities Implicit in CMBS", Journal of Real Estate Finance and Economics, Vol. 39, No. 2, 2009, (with Kau, J., and Keenan, D.)
  • "Credit Risk and Term Structure of Lease Rates: A Reduced Form Model", The Journal of Real Estate Finance and Economics, Vol. 37, N0 3, pp. 281-29, 2008, (with Ambrose, B.)
  • "Valuing TIPS Bond Futures in Jarrow-Yildirim Model", Risk, 21(6), 2008, (Huang, H.)
  • "Valuing Default Swaps Under Market and Credit Risk Correlation", Journal of Fixed Income, 11 (4), 2002, (with Jarrow, R. )
  • "How Valuable is Credit Card Lending", Journal of Derivatives, Vol. 11, Number 2, 39 – 5, 2003, (with Arkadev, C., Neal, R., Jarrow, R)
  • "Pricing Treasury Inflation Protected Securities and Related Derivative Securities Using an HJM Model", Journal of Financial and Quantitative Analysis, Vol. 38, No. 2, 2003, (with Jarrow R. )
  • "Dynamic Correlations Among Asset Classes: REIT and Stock Returns", Journal of Real Estate Finance and Economics, forthcoming, ( with Case, B., and Wang, Y. )
  • "The Cost of Operational Risk Loss Insurance", Review of Derivatives Research, 2010, (with Jarrow, R., and Oxman, J.)
  • "The Dynamics of Operational Loss Clustering", Journal of Banking and Finance, Vol. 32/12, 2,655-2,666, 2008, (Chernobai, A., Yildiray, Y.)

Pierre Yourougou