Finance

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  Subject Areas on Research

  • "Index Fundamentalism Revisited" 
  • "Joint Estimation of Factor Sensitivities and Risk Premia for the Arbitrage Pricing Theory" 
  • "Sorting out Risks Using Known APT Factors" 
  • "Value destruction and financial reporting decisions": Author response [2] 
  • A BAYESIAN MODEL FOR PORTFOLIO SELECTION AND REVISION 
  • A New Approach to International Arbitrage Pricing 
  • A Tale of Two Runs: Depositor Responses to Bank Solvency Risk 
  • A Theory of Negotiated Equity Financing 
  • A Theory of the Interday Variations in Volumes, Variances and Trading Costs in Securities Markets 
  • A century of capital structure: The leveraging of corporate America 
  • A long-run risks explanation of predictability puzzles in bond and currency markets 
  • A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets 
  • A no-arbitrage approach to range-based estimation of return covariances and correlations 
  • A nonlinear stochastic rational expectations model of exchange rates 
  • A path-dependent approach to security valuation with application to interest rate contingent claims 
  • A primer on hedge funds 
  • A simulation approach to dynamic portfolio choice with an application to learning about return predictability 
  • A survey of sampling-based Bayesian analysis of financial data 
  • Access to liquidity and corporate investment in Europe during the financial crisis 
  • Activist arbitrage: A study of open-ending attempts of closed-end funds 
  • Advantageous Selection, Moral Hazard, and Insurer Sorting on Risk in the U.S. Automobile Insurance Market 
  • Advantageous Selection, Moral Hazard, and Insurer Sorting: On Risk in the U.S. Automobile Insurance Market 
  • All Roads Lead to Risk Preference: A Turnpike Theorem for Conditionally Independent Returns 
  • An Analysis of the Portfolio Behavior of Black‐Owned Commercial Banks 
  • An Empirical Analysis of Analysts' Target Prices: Short-term Informativeness and Long-term Dynamics 
  • An Incentive Approach to Banking Regulation 
  • An examination of the effects of government purchases in an open economy 
  • An exploration of the forward premium puzzle in currency markets 
  • An exploratory investigation of the firm size effect 
  • An individual level analysis of the mutual fund investment decision 
  • An intertemporal asset pricing model with stochastic consumption and investment opportunities 
  • Analysts' weighting of private and public information 
  • Analyzing real estate data problems using the Gibbs sampler 
  • Apartment Rent Prediction Using Spatial Modeling 
  • Apartment rent prediction using spatial modeling 
  • Are "market neutral" hedge funds really market neutral? 
  • Are correlations of stock returns justified by subsequent changes in national outputs? 
  • Are lemons sold first? Dynamic signaling in the mortgage market 
  • Are vanguard's managers good stock-pickers or style-pickers? 
  • Assessing the Market and Credit Risks of Long-Term Interest Rate and Foreign Currency Products 
  • Asset-Based Style Factors for Hedge Funds 
  • Bank Borrowers and Loan Sales: New Evidence on the Uniqueness of Bank Loans 
  • Bank entry, competition, and the market for corporate securities underwriting 
  • Bank ratings and lending supply: Evidence from sovereign downgrades 
  • Bank underwriting of debt securities: Modern evidence 
  • Bayesian Models for Forecasting Future Security Prices 
  • Bayesian range-based estimation of stochastic volatility models 
  • Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange 
  • Building Relationships Early: Banks in Venture Capital 
  • Building Relationships Early: Banks in Venture Capital 
  • Building relationships early: Banks in venture capital 
  • Capital allocation and delegation of decision-making authority within firms 
  • Change You Can Believe In? Hedge Fund Data Revisions 
  • Changes in corporate effective tax rates over the past 25 years 
  • Chaos and Nonlinear Dynamics: Application to Financial Markets 
  • Chaos and Order in the Capital Markets: A New View of Cycles, Prices, and Market Volatility. 
  • Cointegration and consumption risks in asset returns 
  • Cointegration, Fractional Cointegration, and Exchange Rate Dynamics 
  • Collateral and capital structure 
  • Collateral, risk management, and the distribution of debt capacity 
  • Collective Action Clauses for the Eurozone 
  • Collective Action Clauses for the Eurozone 
  • Comment on "The value of tax shields is NOT equal to the present value of tax shields" 
  • Comment on Wood, McInish, and Ord 
  • Commercial banks as underwriters: Implications for the going public process 
  • Commercial banks in investment banking: Conflict of interest or certification role? 
  • Common Stochastic Trends in a System of Exchange Rates 
  • Competing Theories of Financial Anomalies 
  • Conditional skewness in asset pricing tests 
  • Conquering Misperceptions about Commodity Futures Investing 
  • Conservative Accounting, IFRS Convergence and Cash Dividend Payments: Evidence from China 
  • Consumption Risk in Futures Markets 
  • Consumption, dividends, and the cross section of equity returns 
  • Consumption, production, inflation and interest rates. A synthesis 
  • Corporate Bankruptcy and Insider Trading 
  • Corporate Governance and the Cost of Debt: Evidence from Directtor Limited Liability and Indemnification Provisions 
  • Corporate distress and lobbying: Evidence from the stimulus act 
  • Corporate misreporting and bank loan contracting 
  • Corporate reorganizations and non-cash auctions 
  • Credit Ratings, Collateral, and Loan Characteristics: Implications for Yield 
  • Cross-sectional alpha dispersion and performance evaluation 
  • Cross-sectional tests of deterministic volatility functions 
  • Cyclicality, performance measurement, and cash flow liquidity in private equity 
  • DISCUSSION 
  • Debt and the marginal tax rate 
  • Debt reclassification and capital market consequences 
  • Debt, leases, taxes, and the endogeneity of corporate tax status 
  • Debtor-in-possession financing and bankruptcy resolution: Empirical evidence 
  • Demographic issues in longevity risk analysis 
  • Determinants of Physicians' Fees 
  • Deutsche mark-dollar volatility: Intraday activity patterns, macroeconomic announcements, and longer run dependencies 
  • Directors' ownership in the U.S. mutual fund industry 
  • Discussion 
  • Discussion of creating a bigger bath using the deferred tax valuation allowance 
  • Discussion of on the use of intra-industry information to improve earnings forecasts 
  • Distilling the macroeconomic news flow 
  • Dividend policy and cash-flow uncertainty 
  • Do Firms Hedge in Response to Tax Incentives? 
  • Do Price Discreteness and Transactions Costs Affect Stock Returns? Comparing Ex-Dividend Pricing before and after Decimalization 
  • Do dividend clienteles exist? Evidence on dividend preferences of retail investors 
  • Do firms hedge in response to tax incentives? 
  • Do inventories matter in dealership markets? Evidence from the London Stock Exchange 
  • Do peso problems explain the returns to the carry trade? 
  • Do private equity fund managers earn their fees? Compensation, ownership, and cash flow performance 
  • Do stock prices influence corporate decisions? Evidence from the technology bubble 
  • Does Board Independence Reduce the Cost of Debt? 
  • Does Financing Spur Small Business Productivity? Evidence from a Natural Experiment 
  • Does algorithmic trading reduce information acquisition? 
  • Does beta move with news? Firm-specific information flows and learning about profitability 
  • Does corporate diversification destroy value? 
  • Does financial liberalization spur growth? 
  • Does financing spur small business productivity? Evidence from a natural experiment 
  • Drinking, Driving, and the Price of Automobile Insurance 
  • Dynamic Copula Models and High Frequency Data 
  • Dynamic corporate liquidity 
  • Dynamic portfolio selection by augmenting the asset space 
  • Dynamic risk management 
  • Dynamic risk management 
  • Editor's Choice The Real Effects of Hedge Fund Activism: Productivity, Asset Allocation, and Labor Outcomes 
  • Empirical Tests of the Consumption‐Oriented CAPM 
  • Empirical characteristics of dynamic trading strategies: The case of hedge funds 
  • Employee stock options, corporate taxes, and debt policy 
  • Empty voting and the efficiency of corporate governance 
  • Endogenous events and long-run returns 
  • Enhancing security value by ownership restrictions: Evidence from a natural experiment 
  • Entrepreneurial finance, credit cards, and race 
  • Episodic liquidity crises: Cooperative and predatory trading 
  • Equity issues and return volatility 
  • Equity market return volatility: Dynamics and transmission among the G-7 countries 
  • Estimating portfolio and consumption choice: A conditional Euler equations approach 
  • Evidence on the Trade-Off between Risk and Return for IPO and SEO Firms 
  • Exchange-rate policy and monetary information 
  • Executive stock options, differential risk-taking incentives, and firm value 
  • Expected Returns in Treasury Bonds 
  • Expected stock returns and variance risk premia 
  • Exploring the role Delaware plays as a domestic tax haven 
  • Exploring uncharted territories of the hedge fund Industry: Empirical characteristics of mega hedge fund firms 
  • Financial distress in the great depression 
  • Financing entrepreneurial production: Security design with flexible information acquisition 
  • Firm Age, Investment Opportunities, and Job Creation 
  • Fiscal policies and asset prices 
  • Flight-to-quality or flight-to-liquidity? Evidence from the euro-area bond market 
  • Forecasting financial market volatility: Sample frequency vis-à-vis forecast horizon 
  • Foreign speculators and emerging equity markets 
  • Formal Models of Consumer Behavior: A Conceptual Overview. 
  • Fund families as delegated monitors of money managers 
  • Funds of hedge funds: Performance, risk and capital formation 2005 to 2010 
  • Global retail lending in the aftermath of the US financial crisis: Distinguishing between supply and demand effects 
  • Good Volatility, Bad Volatility and the Cross-Section of Stock Returns 
  • Government debt and the returns to innovation 
  • Grading the performance of market-timing newsletters 
  • Hedge fund activism, corporate governance, and firm performance 
  • Hedge fund benchmarks: A risk-based approach 
  • Hedge funds: Performance, risk, and capital formation 
  • Hedge-Fund Benchmarks: Information Content and Biases 
  • Herding among investment newsletters: Theory and evidence 
  • Heterogeneous information arrivals and return volatility dynamics: Uncovering the long-run in high frequency returns 
  • Hospital Investment Decisions and the Cost of Capital 
  • House prices, collateral, and self-employment 
  • How big are the tax benefits of debt? 
  • How does hedge fund activism reshape corporate innovation? 
  • Identifying the Effect of Securitization on Foreclosure and Modification Rates Using Early Payment Defaults 
  • Impacts of trades in an error-correction model of quote prices 
  • Implications of Nonlinear Dynamics for Financial Risk Management 
  • Implications of Observed Properties of Daily Exchange Rate Movements 
  • Index fundamentalism revisited 
  • Industry concentration and average stock returns 
  • Inference in long-horizon event studies: A Bayesian approach with application to initial public offerings 
  • Information flow and liquidity around anticipated and unanticipated dividend announcements 
  • Information in the Term Structure of Yield Curve Volatility 
  • Information uncertainty and post-earnings-announcement-drift 
  • Informational Differences Between Limit and Market Orders for a Market Maker 
  • Innovation, Growth, and Asset Prices 
  • Institutional allocation in initial public offerings: Empirical evidence 
  • Insurer Ownership Structure and Executive Compensation as Complements 
  • Inter-dealer trading in financial markets 
  • Interest rate risk management in uncertain times 
  • International risk sharing and the choice of exchange-rate regime 
  • Intraday and interday volatility in the Japanese stock market 
  • Intraday periodicity and volatility persistence in financial markets 
  • Intraday periodicity, long memory volatility, and macroeconomic announcement effects in the US Treasury bond market 
  • Investment Decisions of Nonprofit Firms: Evidence from Hospitals 
  • Investment-Based Corporate Bond Pricing 
  • Investor attention and time-varying comovements 
  • Is a group of economists better than one? Than none? 
  • Is the abnormal return following equity issuances anomalous? 
  • JOINT ESTIMATION OF FACTOR SENSITIVITIES AND RISK PREMIA FOR THE ARBITRAGE PRICING THEORY 
  • Learning and asset-price jumps 
  • Learning to be overconfident 
  • Leasing, ability to repossess, and debt capacity 
  • Leverage, Moral Hazard, and Liquidity 
  • Levered Returns 
  • Libertarian paternalism, information production, and financial decision making 
  • Linear approximations and tests of conditional pricing models 
  • Liquidity and expected returns: Lessons from emerging markets 
  • Liquidity management and corporate investment during a financial crisis 
  • Loan originations and defaults in the mortgage crisis: The role of the middle class 
  • Longevity risk in fair valuing level 3 assets in securitised portfolios 
  • MANAGEMENT ANTICIPATION OF INTEREST RATES: THE CASE OF COMMERCIAL BANKS 
  • Macro fundamentals or geopolitical events? A textual analysis of news events for crude oil 
  • Man vs. machine: Comparing discretionary and systematic hedge fund performance 
  • Managerial attitudes and corporate actions 
  • Managerial attitudes and corporate actions 
  • Managerial attributes and executive compensation 
  • Managerial incentives, capital reallocation, and the business cycle 
  • Managerial response to the may 2003 dividend tax cut 
  • Managerial short-termism, turnover policy, and the dynamics of incentives 
  • Managing Relationships: The Culture of Institutional Investing 
  • Managing ethical risk: How investing in ethics adds value 
  • Margin Regulation and Stock Market Volatility 
  • Market architecture: Limit-order books versus dealership markets 
  • Market structure, internal capital markets, and the boundaries of the firm 
  • Market structure. The specialist as dealer and broker 
  • Market timing ability and volatility implied in investment newsletters' asset allocation recommendations 
  • Market valuation and merger waves 
  • Measurement biases in hedge fund performance data: An update 
  • Measuring Tail Risks at High Frequency 
  • Measuring and Managing Ethical Risk: Why Investing in Ethics Adds Value 
  • Measuring and modeling systematic risk in factor pricing models using high-frequency data 
  • Measuring the market impact of hedge funds 
  • Minority savings and loan associations: Hypotheses and tests 
  • Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts 
  • Multivariate Almost Stochastic Dominance 
  • Mutual fund transparency and corporate myopia 
  • Myth or reality? The long-run underperformance of initial public offerings: Evidence from venture and nonventure capital-backed companies 
  • Nasdaq market structure and spread patterns 
  • No Arbitrage and Arbitrage Pricing: A New Approach 
  • Nohstationarity and portfolio choice 
  • Nonlinear Dynamics in Financial Markets: Evidence and Implications 
  • Nonstationarity and Portfolio Choice 
  • ON THE DISTRIBUTIONAL IMPACT OF FEDERAL INTEREST RATE RESTRICTIONS 
  • ON THE EXISTENCE OF A COST OF CAPITAL UNDER PURE CAPITAL RATIONING 
  • OPTIMAL SPECULATION AGAINST AN EFFICIENT MARKET 
  • Odd-eighth avoidance as a defense against SOES bandits 
  • On loan sales, loan contracting, and lending relationships 
  • On the Asset Market View of Exchange Rates 
  • On the Existence of an Optimal Capital Structure: Theory and Evidence 
  • On the Life Cycle Dynamics of Venture-Capital- and Non-Venture-Capital-Financed Firms 
  • On the benefits of concurrent lending and underwriting 
  • On the existence of linear equilibria in models of market making 
  • On the high-frequency dynamics of hedge fund risk exposures 
  • On the importance of retail banking relationships 
  • On the relationship between the conditional mean and volatility of stock returns: A latent VAR approach 
  • Optimal Financial Structure, Cost of Capital, and the Lease‐or‐Buy Decision 
  • Optimal decentralized investment management 
  • Optimal dynamic trading strategies 
  • Optimal monetary policies and policy interdependence in the world economy 
  • Optimism and economic choice 
  • Overconfidence, Compensation Contracts, and Capital Budgeting 
  • Parametric portfolio policies: Exploiting characteristics in the cross-section of equity returns 
  • Passing on blackness: Latinos, race, and earnings in the USA 
  • Payments for order flow on Nasdaq 
  • Payoff complementarities and financial fragility: Evidence from mutual fund outflows 
  • Payout policy in the 21st century 
  • Performance characteristics of hedge funds and commodity funds: Natural vs. spurious biases 
  • Perspectives: Measurement Biases in Hedge Fund Performance Data: An Update 
  • Positive hurdle rates without asymmetric information 
  • Precautionary savings, retirement planning and misperceptions of financial literacy 
  • Predicting spatial patterns of house prices using LPR and Bayesian smoothing 
  • Preferencing, internalization, best execution, and dealer profits 
  • Presidential Address: The Scientific Outlook in Financial Economics 
  • Price and Availability Tradeoffs of Automobile Insurance Regulation 
  • Price discovery in the U.S. treasury market: The impact of orderflow and liquidity on the yield curve 
  • Price discovery in the treasury futures market 
  • Price informativeness and investment sensitivity to stock price 
  • Prices of State-Contingent Claims Implicit in Option Prices 
  • Pricing Sovereign Debt: Foreign Versus Local Parameters 
  • Pricing Sovereign Debt: Foreign Versus Local Parameters 
  • Pricing, price dispersion, and information: The discount brokerage industry 
  • Probability of Loss and the Capital Asset Pricing Model 
  • Proxies for the corporate marginal tax rate 
  • Public trust, the law, and financial investment 
  • Range-based estimation of stochastic volatility models 
  • Rational Expectations and Risk Premia in Forward Markets: Primary Metals at the London Metals Exchange 
  • Religious Social Norms and Corporate Financial Reporting 
  • Resolving macroeconomic uncertainty in stock and bond markets 
  • Risk Everywhere: Modeling and Managing Volatility 
  • Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability 
  • Risk-Seeking Behavior and Its Implications for Financial Models 
  • Risks for the long run: A potential resolution of asset pricing puzzles 
  • Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns 
  • Security design in initial public offerings 
  • Short-rate expectations and unexpected returns in treasury bonds 
  • Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets 
  • Size, ownership and the market for corporate control 
  • Spatial Prediction of House Prices Using LPR and Bayesian Smoothing 
  • Stimulating Housing Markets 
  • Stock Prices and Volume 
  • Stock market declines and liquidity 
  • Stock return predictability and variance risk premia: statistical inference and international evidence 
  • Strategic Trading with Asymmetrically Informed Traders and Long-Lived Information 
  • Strategic alliances and the boundaries of the firm 
  • Strategic alliances, venture capital, and exit decisions in early stage high-tech firms 
  • Strategic trading when agents forecast the forecasts of others 
  • Stratification economics: The role of intergroup inequality 
  • Superexogeneity and the dynamic linkages among international equity markets 
  • Survivorship bias and investment style in the returns of CTAs: The information content of performance track records 
  • Synergistic gains from corporate acquisitions and their division between the stockholders of target and acquiring firms 
  • THE WELFARE ECONOMICS OF INTERNATIONAL ADJUSTMENT 
  • Tail risk premia and return predictability 
  • Tails, Fears, and Risk Premia 
  • Tax incentives to hedge 
  • Tax rates and corporate decision-making 
  • Tax shelters and corporate debt policy 
  • Taxes and Corporate Finance: A Review 
  • Taxes and Corporate Finance: A Review 
  • Term structure of interest rates with regime shifts 
  • Testing for Nonlinear Dependence in Daily Foreign Exchange Rates 
  • The "out-of-sample" performance of long run risk models 
  • The Characteristics of Firms That Hire Chief Risk Officers 
  • The Direct Entry Versus Takeover Decision and Stock Price Performance Around Takeovers 
  • The Effect of Public Information and Competition on Trading Volume and Price Volatility 
  • The Efficiency of Political Mechanisms for Siting Nuisance Facilities: Are Opponents More Likely to Participate than Supporters? 
  • The Issue Decision of Manager‐Owners under Information Asymmetry 
  • The Market for Mergers and the Boundaries of the Firm 
  • The Real Effects of Hedge Fund Activism: Productivity, Asset Allocation, and Labor Outcomes 
  • The Relationship Between Risk and Maturity In A Stochastic Setting 
  • The Role of Lockups in Initial Public Offerings 
  • The Role of Trading Halts in Monitoring a Specialist Market 
  • The Role of Trading Halts in Monitoring a Specialist Market 
  • The Role of Waiting Time: Evidence from Physicians' Practices 
  • The Theory and Practice of Corporate Risk Management: Evidence from the Field 
  • The bias of tests for a risk premium in forward exchange rates 
  • The capital structure decisions of new firms 
  • The cost of debt 
  • The cross-section of labor leverage and equity returns 
  • The distribution of realized stock return volatility 
  • The dynamics of location in home price 
  • The economic effects of public financing: Evidence from municipal bond ratings recalibration 
  • The effect of capital structure when expected agency costs are extreme 
  • The effects of transaction costs on stock prices and trading volume 
  • The evolution of corporate cash 
  • The forward premium anomaly is not as bad as you think 
  • The golden dilemma 
  • The high-volume return premium 
  • The idiosyncratic volatility puzzle: Time trend or speculative episodes 
  • The impact of accruals and lines of business on analysts' earnings forecast superiority 
  • The impact of volatility targeting 
  • The information content of the exchange rate and the stability of real output under alternative exchange-rate regimes 
  • The interaction between product market and financing strategy: The role of venture capital 
  • The joint determination of leverage and maturity 
  • The limits of the limits of arbitrage 
  • The long memory of the forward premium 
  • The long-run equity risk premium 
  • The long-term default performance of bank underwritten security issues 
  • The misrepresentation of earnings 
  • The performance of alternative valuation models in the OTC currency options market 
  • The positive effects of biased self-perceptions in firms 
  • The power of voice: Managerial affective states and future firm performance 
  • The rationale behind interfirm tender offers 
  • The real effects of financial constraints: Evidence from a financial crisis 
  • The residual market factor, the APT, and mean-variance efficiency 
  • The returns to hedge fund activism 
  • The risk in hedge fund strategies: Theory and evidence from long/short equity hedge funds 
  • The risk in hedge fund strategies: Theory and evidence from trend followers 
  • The role of online buying experience as a competitive advantage: Evidence from third-party ratings for e-commerce firms 
  • The sensitivity of corporate cash holdings to corporate governance 
  • The theory and practice of corporate finance: Evidence from the field 
  • The wealth effects of targeted share repurchases 
  • Time‐Varying World Market Integration 
  • Trade disclosure regulation in markets with negotiated trades 
  • Trading Costs for Target Firms Around Takeovers 
  • Trading Patterns and Prices in the Interbank Foreign Exchange Market 
  • Trust and efficiency 
  • Using expectations to test asset pricing models 
  • Using option prices to infer overpayments and synergies in m&a transactions 
  • VALUATION, LEVERAGE AND THE COST OF CAPITAL IN THE CASE OF DEPRECIABLE ASSETS: COMMENT 
  • Valuation waves and merger activity: The empirical evidence 
  • Value Destruction and Financial Reporting Decisions 
  • Value destruction and financial reporting decisions 
  • Variable selection for portfolio choice 
  • Variance-ratio statistics and high-frequency data: Testing for changes in intraday volatility patterns 
  • Variations in Trading Volume, Return Volatility, and Trading Costs; Evidence on Recent Price Formation Models 
  • Venture capital and the professionalization of start-up firms: Empirical evidence 
  • Volatility in equilibrium: Asymmetries and dynamic dependencies 
  • Volatility, the Macroeconomy, and Asset Prices 
  • What do a million observations have to say about loan defaults? Opening the black box of relationships 
  • What does equity sector orderflow tell us about the economy? 
  • What drives volatility persistence in the foreign exchange market? 
  • What is the Price of Hubris? Using Takeover Battles to Infer Overpayments and Synergies 
  • What segments equity markets? 
  • What's in a (school) name? Racial discrimination in higher education bond markets 
  • When it cannot get better or worse: The asymmetric impact of good and bad news on bond returns in expansions and recessions 
  • Work ethic, employment contracts, and firm value 
  • ⋯ and the Cross-Section of Expected Returns 
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  Keywords of People

  • Makhulu, Anne-Maria B., Associate Professor in the Department of Cultural Anthropology, Duke Innovation & Entrepreneurship
  • Salome, Guilherme, Student, Economics
  • Sjol, Jordan, Student, Literature