Scholars@Duke
S. Viswanathan

S. Viswanathan

F.M. Kirby Distinguished Professor of Investment Banking in Fuqua School of Business
Fuqua School of Business
viswanat@duke.edu
Box 90120, Durham, NC 27708-0120
A441 Fuqua Sch of Bus, Durham, NC 27708

Selected Publications

Retraction:Risk Management in Financial Institutions

Journal Article Journal of Finance · April 1, 2020 We study risk management in financial institutions using data on hedging of interest rate and foreign exchange risk. We find strong evidence that institutions with higher net worth hedge more, controlling for risk exposures, across institutions and within ... Full text Cite

Financial Intermediary Capital

Scholarly Edition · January 1, 2019 We propose a dynamic theory of financial intermediaries that are better able to collateralize claims than households, that is, have a collateralization advantage. Intermediaries require capital as they have to finance the additional amount that they can le ... Full text Cite

Why do firms hedge? An asymmetric information model

Journal Article Journal of Fixed Income · December 1, 2016 Full text Cite

Dynamic risk management

Journal Article Journal of Financial Economics · February 1, 2014 Both financing and risk management involve promises to pay that need to be collateralized, resulting in a financing versus risk management trade-off. We study this trade-off in a dynamic model of commodity price risk management and show that risk managemen ... Full text Cite

Collateral and capital structure

Journal Article Journal of Financial Economics · August 1, 2013 We develop a dynamic model of investment, capital structure, leasing, and risk management based on firms' need to collateralize promises to pay with tangible assets. Both financing and risk management involve promises to pay subject to collateral constrain ... Full text Cite

Dynamic risk management

Journal Article Journal of Financial Economics · 2013 Cite

Leverage, Moral Hazard, and Liquidity

Journal Article Journal of Finance · February 1, 2011 Financial firms raise short-term debt to finance asset purchases; this induces risk shifting when economic conditions worsen and limits their ability to roll over debt. Constrained firms de-lever by selling assets to lower-leverage firms. In turn, asset-ma ... Full text Cite

Collateral, risk management, and the distribution of debt capacity

Journal Article Journal of Finance · December 1, 2010 Collateral constraints imply that financing and risk management are fundamentally linked. The opportunity cost of engaging in risk management and conserving debt capacity to hedge future financing needs is forgone current investment, and is higher for more ... Full text Cite

On decisions for integration implementation: An examination of complementarities between product-process technology integration and supply chain integration

Journal Article Decision Sciences · May 1, 2010 Research has shown that both product-process technology (PPT) integration and supply chain integration efforts produce operational benefits, yet synergies between these types of integration are not well understood. This article empirically examines strateg ... Full text Cite

Stock market declines and liquidity

Journal Article Journal of Finance · February 1, 2010 Consistent with recent theoretical models where binding capital constraints lead to sudden liquidity dry-ups, we find that negative market returns decrease stock liquidity, especially during times of tightness in the funding market. The asymmetric effect o ... Full text Cite

Public trust, the law, and financial investment

Journal Article Journal of Financial Economics · June 1, 2009 How does trust evolve in markets? What is the optimal level of regulation and how does this affect trust formation and economic growth? In a theoretical model, we analyze these questions, given the value of social capital and the potential for growth in th ... Full text Cite

How to define illegal price manipulation

Journal Article American Economic Review · May 1, 2008 Full text Cite

Endogenous events and long-run returns

Journal Article Review of Financial Studies · April 1, 2008 We analyze event abnormal returns when returns predict events. In fixed samples, we show that the expected abnormal return is negative and becomes more negative as the holding period increases. Asymptotically, abnormal returns converge to zero provided tha ... Full text Cite

Episodic liquidity crises: Cooperative and predatory trading

Journal Article Journal of Finance · October 1, 2007 We describe how episodic illiquidity arises from a breakdown in cooperation between market participants. We first solve a one-period trading game in continuous-time, using an asset pricing equation that accounts for the price impact of trading. Then, in a ... Full text Cite

Efficient mechanisms for mergers and acquisitions

Journal Article International Economic Review · August 1, 2007 We characterize incentive-efficient merger outcomes when payments can be made both in cash and stock. Each firm has private information about both its stand-alone value and a component of the (possibly negative) potential synergies. We study two cases: whe ... Full text Cite

Financing auction bids

Journal Article RAND Journal of Economics · December 1, 2005 In many auctions, bidders do not have enough cash to pay their bid. If bidders have asymmetric cash positions and independent private values, then auctions will be inefficient. However, what happens if bidders have access to financial markets? We character ... Cite

Valuation waves and merger activity: The empirical evidence

Journal Article Journal of Financial Economics · September 1, 2005 To test recent theories suggesting that valuation errors affect merger activity, we develop a decomposition that breaks the market-to-book ratio (M/B) into three components: the firm-specific pricing deviation from short-run industry pricing; sector-wide, ... Full text Cite

Inter-dealer trading in financial markets

Journal Article Journal of Business · October 1, 2004 We compare the following multi-stage inter-dealer trading mechanisms: a one-shot uniform-price auction, a sequence of unit auctions (sequential auctions), and a limit-order book. With uninformative customer orders, sequential auctions are revenue-preferred ... Full text Cite

Market valuation and merger waves

Journal Article Journal of Finance · January 1, 2004 Does valuation affect mergers? Data suggest that periods of stock merger activity are correlated with high market valuations. The naïve explanation that overvalued bidders wish to use stock is incomplete because targets should not be eager to accept stock. ... Full text Cite

Market architecture: Limit-order books versus dealership markets

Journal Article Journal of Financial Markets · January 1, 2002 We analyze the customer's choice with respect to a limit-order book, a dealership market, and a hybrid market structure that combines the two. The customer's sell order is competed for and divided among a finite number of risk-averse market makers. We pres ... Full text Cite

On the existence of linear equilibria in models of market making

Journal Article Mathematical Finance · January 1, 2001 We derive necessary and sufficient conditions for a linear equilibrium in three types of competitive market making models: Kyle type models (when market makers only observe aggregate net order flow), Glosten-Milgrom and Easley-O'Hara type models (when mark ... Full text Cite

Corporate reorganizations and non-cash auctions

Journal Article Journal of Finance · January 1, 2000 This paper extends the theory of non-cash auctions by considering the revenue and efficiency of using different securities. Research on bankruptcy and privatization suggests using non-cash auctions to increase cash-constrained bidder participation. We exam ... Full text Cite

Preferencing, internalization, best execution, and dealer profits

Journal Article Journal of Finance · October 1, 1999 The practices of preferencing and internalization have been alleged to support collusion, cause worse execution, and lead to wider spreads in dealership style markets relative to auction style markets. For a sample of London Stock Exchange stocks, we find ... Full text Cite

Trade disclosure regulation in markets with negotiated trades

Journal Article Review of Financial Studies · January 1, 1999 In dealership markets disclosure of size and price details of public trades is typically incomplete. We examine whether full and prompt disclosure of public-trade details improves the welfare of a risk-averse investor. We analyze a model of dealership mark ... Full text Cite

Do inventories matter in dealership markets? Evidence from the London Stock Exchange

Journal Article Journal of Finance · January 1, 1998 Using London Stock Exchange data, we test the central implication of the canonical model of Ho and Stoll (1983) that relative inventory differences determine dealer behavior. We find that relative inventories explain which dealers obtain large trades and s ... Full text Cite

Strategic trading when agents forecast the forecasts of others

Journal Article Journal of Finance · January 1, 1996 We analyze a multi-period model of trading with differentially informed traders, liquidity traders, and a market maker. Each informed trader's initial information is a noisy estimate of the long-term value of the asset, and the different signals received b ... Full text Cite

Can speculative trading explain the volume-volatility relation?

Journal Article Journal of Business and Economic Statistics · January 1, 1995 We derive a speculative trading model with endogenous informed trading that yields a conditionally heteroscedastic time series for trading volume and the squared price changes. We use half-hourly price-change and volume data for IBM during 1988 to test the ... Full text Cite

A Multiple Signalling Model of Corporate Financial Policy

Journal Article Research in Finance · 1995 Cite

Trading Costs for Target Firms Around Takeovers

Journal Article Advances in Financial Economics · 1994 Cite

Strategic Trading with Asymmetrically Informed Traders and Long-Lived Information

Journal Article Journal of Financial and Quantitative Analysis · 1994 Cite

Variations in Trading Volume, Return Volatility, and Trading Costs; Evidence on Recent Price Formation Models

Journal Article Journal of Finance · January 1, 1993 Patterns in stock market trading volume, trading costs, and return volatility are examined using New York Stock Exchange data from 1988. Intraday test results indicate that, for actively traded firms trading volume, adverse selection costs, and return vola ... Full text Cite

No Arbitrage and Arbitrage Pricing: A New Approach

Journal Article Journal of Finance · January 1, 1993 We argue that arbitrage‐pricing theories (APT) imply the existence of a low‐dimensional nonnegative nonlinear pricing kernel. In contrast to standard constructs of the APT, we do not assume a linear factor structure on the payoffs. This allows us to price ... Full text Cite

A New Approach to International Arbitrage Pricing

Journal Article Journal of Finance · January 1, 1993 This paper uses a nonlinear arbitrage‐pricing model, a conditional linear model, and an unconditional linear model to price international equities, bonds, and forward currency contracts. Unlike linear models, the nonlinear arbitrage‐pricing model requires ... Full text Cite