Finance Publications

Kivanç Avrenli

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.)
  • 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.)
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Fernando Diz

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

Erasmo Giambona

  • "The Management of Political Risk", Journal of International Business Studies, Forthcoming, 2016, (with J. Graham and C. Harvey)
  • "Debt Capacity of Real Estate Collateral", Real Estate Economics, 41 (4), 2014, (with J. Golec and A. Schwienbacher)
  • "Real Assets and Capital Structure", Journal of Financial and Quantitative Analysis, 48 (5), 2013, (with M. Campello)
  • View all Erasmo Giambona's publications.
  • "Access to Liquidity and Corporate Investment in Europe During the Financial Crisis", Review of Finance, lead article, 16 (2), 2012, (with M. Campello, J. Graham, and C. Harvey)
  • "Liquidity Management and Corporate Investment During a Financial Crisis", Review of Financial Studies, 24 (6), 2011, (with M. Campello, J. Graham, and C. Harvey)
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Roger Koppl

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

Ravi Shukla

  • "Do Locals Perform Better than Foreigners?: An Analysis of UK and US Mutual Fund Managers", Journal of Economics and Business, 47 (3), 241-254, 1995, (Gregory B. van Inwegen)
  • "The Value of Active Portfolio Management", Journal of Economics and Business, Volume 56, Issue 4, July-August 2004
  • "Sequential Tests of the Arbitrage Pricing Theory: A Comparison of Principal Components and Maximum Likelihood Factors", Journal of Finance, 45 (5), 1541-1564, 1990, (Charles Trzcinka)
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  • "Mutual Fund Objective Misclassification", Journal of Economics and Business, Volume 52, Issue 4, July 2000, (with Kim, M. and Tomas, M.)
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Lea Stern

Raja Velu

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

A. Joseph Warburton

  • "The End of Market Discipline? Investor Expectations of Implicit State Guarantees", American Finance Association 2014 Annual Meeting, (with Viral Acharya and Deniz Anginer)
  • "The Chrysler Effect: The Impact of Government Intervention on Borrowing Costs", Journal of Banking & Finance, 40, 62-79, 2014, (with Deniz Anginer)
  • "Competition in Financial Services: Evidence from British Mutual Funds", Journal of Empirical Legal Studies, 9(4), 827-858, 2012

David Weinbaum

  • "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.)
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Pierre Yourougou