Department of Finance

Faculty Research

  • 2012 Publications

    • Aslan, Hadiye and Praveen Kumar. "Strategic Ownership Structure and the Cost of Debt." Review of Financial Studies [2012] [Forthcoming]
    • Boutchkova, M., Hitesh Doshi, A. Durnev, and A. Molchanov. "Precarious Politics and Return Volatility." Review of Financial Studies [2012]
    • Kumar, Praveen, Nisan Langberg, Shiva Sivaramakrishnan. "Voluntary Disclosures, Corporate Control, and Investment." Journal of Accounting Research [2012]
    • Pirrong, Craig. "Clearing and Collateral Mandates: The New Liquidity Trap?" Journal of Applied Corporate Finance [2012]
  • 2011 Publications

    • Aslan, Hadiye, David Easley, Soeren Hvidkjaer and Maureen O'Hara. "The Characteristics of Informed Trading: Implications for Asset Pricing." Journal of Empirical Finance [2011]
    • Chava, C., C. Stefanescu and Stuart M. Turnbull. "Modeling Expected Loss." Management Science [2011]
    • Christoffersen, Peter, Kris Jacobs, and Chayawat Ornthanalai . "Exploring Time- Varying Jump Intensities: Evidence from S&P 500 Returns and Options." Journal of Financial Economics [2011]
    • George, Thomas. "Hidden Liquidity." Univeristy Notre Dame Center for the Study of Financial Regulation Newsletter [2011]
    • Gopalan, Radhakrishnan, Vikram Nanda, and Vijay Yerramilli. "Does poor performance damage the reputation of financial intermediaries? Evidence from the loan syndication market." Journal of Finance [2011]
    • Gopalan, Radhakrishnan, Gregory Udell, and Vijay Yerramilli. "Why do Firms Form New Banking Relationships?." Journal of Financial and Quantitative Analysis [2011]
    • Kumar, Praveen, Hadiye Aslan. "Lemons or Cherries? Growth Opportunities and Market Temptations in Going Public and Private." Journal of Financial and Quantitative Analysis [2011]
    • Pirrong, Craig. "Competition and Vertical Integration in Financial Exchanges." Journal of Competition International [2011]
    • Pirrong, Craig. "Squeeze Play: The Dynamics of the Manipulation End Game." Journal of Alternative Investments [2011]
    • Yerramilli, Vijay. " Moral Hazard, Hold-up, and the Optimal Allocation of Control Rights." Rand Journal of Economics [2011]
  • 2010 Publications

    • Kumar, Praveen and Warga, Arthur. “Managerial Agency and Bond Covenants.” Review of Financial Studies. [2010]
    • Pirrong, Craig. “Lattice Approaches to Pricing Derivatives.” Companion to Financial Derivatives. [2010]
    • Pirrong, Craig. “Structural Models of Commodity Price Dynamics.” Financial Risk Management in Commodity Markets. [2010]
  • 2009 Publications

    • Boulatov, Alex, Brian Hatch, Shane Johnson and Adam Lei. “Dealer Attention, the Speed of Quote Adjustment to Information, and Net Dealer Revenue.” Journal of Banking and Finance [2009]
    • Kumar, Praveen and Nisan Langberg. “Corporate Fraud and Investment Distortions in Efficient Capital Markets.” Rand Journal of Economics [2009]
  • 2008 Publications

    • Berkowitz, Jeremy, P. Christofferson and D. Pelletier. “Evaluating Value-at-Risk Models with Desk-Level Data.” Management Science. [2008]
    • Bharath, Sreedhar, Paolo Pasquariello and Wu Guojun. “Does Asymmetric Information Drive Capital Structure Decisions?” Review of Financial Studies. [2008]
    • Crouhy, M., R. Jarrow and Stuart M. Turnbull. “Insights and Analysis of Current Events: The Subprime Credit Crisis 0f 2007.” Journal of Derivatives. [2008]
    • Kumar, Praveen and K. Sivaramakrishnan. “Who Monitors the Monitor? The Effect of Board Independence on Executive Compensation and Firm Value.” Review of Financial Studies. [2008]
    • Kumar, Praveen and Latha Ramchand. “Takeovers, Market Monitoring, and International Corporate Governance.” Rand Journal of Economics. [2008]
    • Kumar, Praveen, Sorin Sorescu, Rodney Boehme and Bartley Danielsen. “Estimation Risk, Information, and the Conditional CAPM: Theory and Evidence.” Review of Financial Studies. [2008]
    • Kumar, Praveen and Stuart Turnbull. “Optimal Patenting and Licensing of Financial Innovations.” Management Science. [2008]
    • Langberg, Nisan. “Optimal Financing for Growth Firms.” Journal of Financial Intermediation. [2008]
    • Langberg, Nisan and K. Sivaramakrishnan. “Voluntary Disclosures and Information Production by Analysts.” Journal of Accounting and Economics. [2008]
    • Pirrong, Craig and Martin Jermakyan. “The Price of Power: The Valuation of Power and Weather Derivatives.” Journal of Banking and Finance. [2008]
    • Stefanescu, C. R. Tunaru and Stuart M. Turnbull. “The Credit Rating Process and Estimation of Transition Probabilities: A Bayesnian Approach.” Journal of Empirical Finance. [2008]
    • Susmel, Rauli. “Arbitrage and Convergence: Evidence from Mexican ADRs.” Journal of Applied Economics. [2008]
  • 2007 Publications

    • George, Thomas, and Chuan-Yang Hwang. “Long Term Return Reversals: Overreaction or Taxes?” Journal of Finance. [2007]
    • Pirrong, Craig. “Just Say No To Gazprom.” World Energy. [2007]
    • Sivaramakrishnan, K. “Voluntary Disclosures and Information Production by Analysts.” Journal of Accounting and Economics. [2007]
    • Warga, Arthur D., Kelly Cai and Jean Helwege. “Underpricing in the Corporate Bond Market” Review of Financial Studies. [2007]
    • Wu, Guojun, Hongtao Guo and Zhijie Xiao. “An Analysis of Risk for Defaultable Bond Portfolios.” Journal of Risk Finance. [2007]
    • Wu, Guojun and Mark Seasholes. “Predictable Behavior, Profits, and Attention.” Journal of Empirical Finance. [2007]
  • Books and Chapters

    • Christoffersen, Peter, Bruno Feunou, Kris Jacobs, and Nour Meddahi. "The Economic Value of Realized Volatility." Fourth Annual SoFiE Conference [2011]
    • Christoffersen, Peter, Ruslan Goyenko, Kris Jacobs, and Mehdi Karoui. "Illiquidity Premia in Equity Option Markets." NYU Stern Microstructure Conference [2011]
    • Christoffersen, Peter, Steve Heston and Kris Jacobs. "A GARCH Option Model with Variance- Dependent Pricing Kernel." Fourth Annual SoFiE Conference [2011]
    • Christoffersen, Peter, Steve Heston and Kris Jacobs. " A GARCH Option Model with Variance- Dependent Pricing Kernel." NYU Stern Third Annual Volatility Institute Conference [2011]
    • Doshi, Hitesh. "The Term Structure of Recovery Rates." Western Finance Association (WFA) [2011]
    • Doshi, Hitesh, Jan Ericsson, Kris Jacobs, and Stuart Turnbull. "On Pricing Credit Default Swaps with Observable Covariates." Lone Star Conference [2011]
    • Doshi, Hitesh, Jan Ericsson, Kris Jacobs, and Stuart Turnbull. "On Pricing Credit Default Swaps with Observable Covariates." 21st Annual Derivatives Conference [2011]
    • Ellul, Andrew and Vijay Yerramilli. "Stronger Risk Controls, Lower Risk: Evidence from U.S. Bank Holding Companies." American Finance Association (AFA) Meetings [2011]
    • Ellul, Andrew and Vijay Yerramilli. "Stronger Risk Controls, Lower Risk: Evidence from U.S. Bank Holding Companies." Financial Intermediation Research Society (FIRS) Conference [2011]
    • Ellul, Andrew and Vijay Yerramilli. "Stronger Risk Controls, Lower Risk: Evidence from U.S. Bank Holding Companies." Conference on Bank Structure and Competition [2011]
    • Ellul, Andrew and Vijay Yerramilli. "Stronger Risk Controls, Lower Risk: Evidence from U.S. Bank Holding Companies."  Conference on  “Governance  and  Risk  Management  in the She  Financial Services  Industry” [2011]
    • Gopalan, Radhakrishnan, Fenghua Song, and Vijay Yerramilli. "Debt Maturity Structure and Credit Quality." Financial Intermediation Research Society (FIRS) Conference [2011]
  • Competitive Conferences

    • Christoffersen, Peter, Bruno Feunou, Kris Jacobs, and Nour Meddahi. "The Economic Value of Realized Volatility." Fourth Annual SoFiE Conference [2011]
    • Christoffersen, Peter, Ruslan Goyenko, Kris Jacobs, and Mehdi Karoui. "Illiquidity Premia in Equity Option Markets." NYU Stern Microstructure Conference [2011]
    • Christoffersen, Peter, Steve Heston and Kris Jacobs. "A GARCH Option Model with Variance- Dependent Pricing Kernel." Fourth Annual SoFiE Conference [2011]
    • Christoffersen, Peter, Steve Heston and Kris Jacobs. " A GARCH Option Model with Variance- Dependent Pricing Kernel." NYU Stern Third Annual Volatility Institute Conference [2011]
    • Doshi, Hitesh. "The Term Structure of Recovery Rates." Western Finance Association (WFA) [2011]
    • Doshi, Hitesh, Jan Ericsson, Kris Jacobs, and Stuart Turnbull. "On Pricing Credit Default Swaps with Observable Covariates." Lone Star Conference [2011]
    • Doshi, Hitesh, Jan Ericsson, Kris Jacobs, and Stuart Turnbull. "On Pricing Credit Default Swaps with Observable Covariates." 21st Annual Derivatives Conference [2011]
    • Ellul, Andrew and Vijay Yerramilli. "Stronger Risk Controls, Lower Risk: Evidence from U.S. Bank Holding Companies." American Finance Association (AFA) Meetings [2011]
    • Ellul, Andrew and Vijay Yerramilli. "Stronger Risk Controls, Lower Risk: Evidence from U.S. Bank Holding Companies." Financial Intermediation Research Society (FIRS) Conference [2011]
    • Ellul, Andrew and Vijay Yerramilli. "Stronger Risk Controls, Lower Risk: Evidence from U.S. Bank Holding Companies." Conference on Bank Structure and Competition [2011]
    • Ellul, Andrew and Vijay Yerramilli. "Stronger Risk Controls, Lower Risk: Evidence from U.S. Bank Holding Companies."  Conference on  “Governance  and  Risk  Management  in the She  Financial Services  Industry” [2011]
    • Gopalan, Radhakrishnan, Fenghua Song, and Vijay Yerramilli. "Debt Maturity Structure and Credit Quality." Financial Intermediation Research Society (FIRS) Conference [2011]
  • Presentations

    • Professor Hadiye Aslan and Professor Praveen Kumar will present their paper, “Controlling Shareholders and the Agency Cost of Debt: Evidence from Syndicated Loans,” at the Financial Intermediation Research Society Conference on Banking, Corporate Finance and Intermediation in Prague (CZK) in May.
    • Professor Praveen Kumar and Professor Nisan Langberg will present their paper, “Innovations and Investment Bubbles” at the Annual Meetings of the Western Finance Association in San Diego in June and the Summer  Meetings of the Econometric Society in Boston in June.