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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)
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  • "Can Order Exposure be Mandated", Journal of Financial Markets, 7, 405-426, 2004, (with D. Weaver)
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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.)
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  • "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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Major Coleman

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.)

Kenneth A. Kavajecz

  • "What does equity sector orderflow tell us about the economy?", Review of Financial Studies, 24, 2011, (Beber, Alessandro, Michael Brandt and Kenneth Kavajecz)
  • "Flight-to-Quality or a Flight-to-Liquidity? Evidence from the Euro-Area Bond Market", Review of Financial Studies, 22, 2009, (Beber, Alessandro, Michael Brandt and Kenneth A. Kavajecz)
  • "Price Discovery in the Treasury Futures Market", Journal of Futures Markets, 27, 2007, (Brandt, Michael, Kenneth A. Kavajecz and Shane Underwood)
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  • "A Specialist's Quoted Depth as a Strategic Choice Variable: An Application to Spread Decomposition Models", Journal of Financial Research, 29, 2006, (Caglio, Cecilia, and Kenneth A. Kavajecz)
  • "On the Presence and Market-Structure of Exchanges around the World", Journal of Financial Markets, 9, 2006, (Clayton, Matthew, Bjorn Jorgensen and Kenneth Kavajecz)
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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.)

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.)
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  • "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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Yildiray Yildirim

  • "Government Policies, Residential Mortgage Defaults, and the Boom and Bust Cycle of Housing Prices ", Real Estate Economics, forthcoming, (with Marius Ascheberg, Robert Jarrow, Holger Kraft)
  • "Markov Switching Dynamics in REIT Returns: Univariate and Multivariate Evidence on Forecasting Performance ", Real Estate Economics, forthcoming, (with Brad Case and Massimo Guidolin)
  • "Dynamic Correlations Among Asset Classes: REIT and Stock Returns", Journal of Real Estate Finance and Economics, Vol. 44, No. 3, 2012, ( with Case, B., and Wang, Y. )
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  • "The Term Structure of Lease Rates with Endogenous Default Triggers and Tenant Capital Structure: Theory and Evidence", The Journal of Financial and Quantitative Analysis, Vol. 46, No. 2, 553-584, 2011, (with Agarwal, S., Ambrose, B., and Huang, H.)
  • "Price Discovery in Real Estate Markets: A Dynamic Analysis", The Journal of Real Estate Finance and Economics, Vol. 42, No. 1, 1-29, 2011, (with Yavas, A.)
  • "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.)
  • "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.)
  • "Modeling Default Risk with Partial Information", Annals of Applied Probability, Vol.14, No. 3, 1167-1178 , 2004, (with Cetin, U., Jarrow, R., Protter, P.)
  • "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. )
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Pierre Yourougou

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