"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.)
View all Anna Chernobai's publications.
"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.)
"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.)
"Aggregate Jump and Volatility Risk in the Cross-Section of Stock Returns", Journal of Finance, Forthcoming, (Martijn Cremers, Michael Halling)
"Deviations from Put-Call Parity and Stock Return Predictability", Journal of Financial and Quantitative Analysis, 45, 335-367, April 2010, (with Cremers, M.)
"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.)
View all David Weinbaum's publications.
"Investor Heterogeneity, Volatility Dynamics and Asset Pricing", Journal of Economic Dynamics and Control, 33, 1379-1397, July 2009
"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.)