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Publication Venue For
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Stimulating Housing Markets
2019
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Presidential Address: The Scientific Outlook in Financial Economics.
72:1399-1440.
2017
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A Tale of Two Runs: Depositor Responses to Bank Solvency Risk.
71:2687-2726.
2016
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Information in the Term Structure of Yield Curve Volatility.
71:1393-1436.
2016
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Change You Can Believe In? Hedge Fund Data Revisions.
70:963-999.
2015
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Investment Decisions of Nonprofit Firms: Evidence from Hospitals.
70:1583-1628.
2015
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Investment-Based Corporate Bond Pricing.
69:2741-2776.
2014
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Volatility, the Macroeconomy, and Asset Prices.
69:2471-2511.
2014
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On the high-frequency dynamics of hedge fund risk exposures.
68:597-635.
2013
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On the Life Cycle Dynamics of Venture-Capital- and Non-Venture-Capital-Financed Firms.
67:2247-2293.
2012
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The power of voice: Managerial affective states and future firm performance.
67:1-44.
2012
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Tails, Fears, and Risk Premia.
66:2165-2211.
2011
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Overconfidence, Compensation Contracts, and Capital Budgeting.
66:1735-1777.
2011
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Leverage, Moral Hazard, and Liquidity.
66:99-138.
2011
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Collateral, risk management, and the distribution of debt capacity.
65:2293-2322.
2010
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The cost of debt.
65:2089-2136.
2010
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Levered Returns.
65:467-494.
2010
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Stock market declines and liquidity.
65:257-293.
2010
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Work ethic, employment contracts, and firm value.
64:785-821.
2009
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Directors' ownership in the U.S. mutual fund industry.
63:2629-2677.
2008
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Market structure, internal capital markets, and the boundaries of the firm.
63:2703-2736.
2008
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Hedge fund activism, corporate governance, and firm performance.
63:1729-1775.
2008
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Hedge funds: Performance, risk, and capital formation.
63:1777-1803.
2008
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Optimal decentralized investment management.
63:1849-1895.
2008
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The Market for Mergers and the Boundaries of the Firm.
63:1169-1211.
2008
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Episodic liquidity crises: Cooperative and predatory trading.
62:2235-2274.
2007
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Dynamic portfolio selection by augmenting the asset space.
61:2187-2217.
2006
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Industry concentration and average stock returns.
61:1927-1956.
2006
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Do dividend clienteles exist? Evidence on dividend preferences of retail investors.
61:1305-1336.
2006
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On the benefits of concurrent lending and underwriting.
60:2763-2799.
2005
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Consumption, dividends, and the cross section of equity returns.
60:1639-1672.
2005
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Employee stock options, corporate taxes, and debt policy.
59:1585-1618.
2004
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Risks for the long run: A potential resolution of asset pricing puzzles.
59:1481-1509.
2004
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Market valuation and merger waves.
59:2685-2718.
2004
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Price discovery in the U.S. treasury market: The impact of orderflow and liquidity on the yield curve.
59:2623-2654.
2004
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Do Price Discreteness and Transactions Costs Affect Stock Returns? Comparing Ex-Dividend Pricing before and after Decimalization.
58:2611-2635.
2003
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An Empirical Analysis of Analysts' Target Prices: Short-term Informativeness and Long-term Dynamics.
58:1933-1967.
2003
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Do firms hedge in response to tax incentives?.
57:815-839.
2002
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Does corporate diversification destroy value?.
57:695-720.
2002
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Institutional allocation in initial public offerings: Empirical evidence.
57:1421-1442.
2002
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Range-based estimation of stochastic volatility models.
57:1047-1091.
2002
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Term structure of interest rates with regime shifts.
57:1997-2043.
2002
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Venture capital and the professionalization of start-up firms: Empirical evidence.
57:169-197.
2002
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The high-volume return premium.
56:877-919.
2001
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Variable selection for portfolio choice.
56:1297-1351.
2001
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Variance-ratio statistics and high-frequency data: Testing for changes in intraday volatility patterns.
56:305-327.
2001
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Conditional skewness in asset pricing tests.
55:1263-1295.
2000
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Corporate reorganizations and non-cash auctions.
55:1807-1849.
2000
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Foreign speculators and emerging equity markets.
55:565-613.
2000
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How big are the tax benefits of debt?.
55:1901-1941.
2000
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Inference in long-horizon event studies: A Bayesian approach with application to initial public offerings.
55:1979-2016.
2000
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Estimating portfolio and consumption choice: A conditional Euler equations approach.
54:1609-1645.
1999
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Preferencing, internalization, best execution, and dealer profits.
54:1799-1828.
1999
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Herding among investment newsletters: Theory and evidence.
54:237-268.
1999
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Payments for order flow on Nasdaq.
54:35-66.
1999
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Tax incentives to hedge.
54:2241-2262.
1999
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Debt, leases, taxes, and the endogeneity of corporate tax status.
53:131-162.
1998
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Deutsche mark-dollar volatility: Intraday activity patterns, macroeconomic announcements, and longer run dependencies.
53:219-265.
1998
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Do inventories matter in dealership markets? Evidence from the London Stock Exchange.
53:1623-1656.
1998
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Heterogeneous information arrivals and return volatility dynamics: Uncovering the long-run in high frequency returns.
52:975-1005.
1997
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Myth or reality? The long-run underperformance of initial public offerings: Evidence from venture and nonventure capital-backed companies.
52:1791-1821.
1997
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Strategic trading when agents forecast the forecasts of others.
51:1437-1478.
1996
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Time‐Varying World Market Integration.
50:403-444.
1995
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Cointegration, Fractional Cointegration, and Exchange Rate Dynamics.
49:737-745.
1994
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Chaos and Order in the Capital Markets: A New View of Cycles, Prices, and Market Volatility..
48:2041-2041.
1993
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A New Approach to International Arbitrage Pricing.
48:1719-1747.
1993
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An Incentive Approach to Banking Regulation.
48:1523-1542.
1993
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No Arbitrage and Arbitrage Pricing: A New Approach.
48:1231-1262.
1993
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Trading Patterns and Prices in the Interbank Foreign Exchange Market.
48:1421-1443.
1993
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Variations in Trading Volume, Return Volatility, and Trading Costs; Evidence on Recent Price Formation Models.
48:187-211.
1993
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Chaos and Nonlinear Dynamics: Application to Financial Markets.
46:1839-1877.
1991
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Margin Regulation and Stock Market Volatility.
45:3-29.
1990
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Common Stochastic Trends in a System of Exchange Rates.
44:167-181.
1989
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Empirical Tests of the Consumption‐Oriented CAPM.
44:231-262.
1989
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JOINT ESTIMATION OF FACTOR SENSITIVITIES AND RISK PREMIA FOR THE ARBITRAGE PRICING THEORY.
43:721-735.
1988
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The Issue Decision of Manager‐Owners under Information Asymmetry.
42:1245-1260.
1987
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DISCUSSION.
40:739-741.
1985
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On the Existence of an Optimal Capital Structure: Theory and Evidence.
39:857-878.
1984
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Rational Expectations and Risk Premia in Forward Markets: Primary Metals at the London Metals Exchange.
37:1199-1207.
1982
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Consumption Risk in Futures Markets.
35:503-520.
1980
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An Analysis of the Portfolio Behavior of Black‐Owned Commercial Banks.
35:753-768.
1980
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Discussion.
35:435-438.
1980
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ON THE DISTRIBUTIONAL IMPACT OF FEDERAL INTEREST RATE RESTRICTIONS.
33:199-213.
1978
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OPTIMAL SPECULATION AGAINST AN EFFICIENT MARKET.
31:49-61.
1976
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A BAYESIAN MODEL FOR PORTFOLIO SELECTION AND REVISION.
30:179-192.
1975
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VALUATION, LEVERAGE AND THE COST OF CAPITAL IN THE CASE OF DEPRECIABLE ASSETS: COMMENT.
30:214-220.
1975
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ON THE EXISTENCE OF A COST OF CAPITAL UNDER PURE CAPITAL RATIONING.
29:1165-1173.
1974
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THE WELFARE ECONOMICS OF INTERNATIONAL ADJUSTMENT.
26:287-302.
1971