Department of
Finance

Recent Publications

2025 and Forthcoming
- Hitesh Doshi and Praveen Kumar (2025), "Capital Investment, Equity Returns and Aggregate Dynamics in Oligopolistic Production Economies", Review of Financial Studies 38, 192-234.
- Rebel A. Cole, Jason Damm, John Hackney, and Masim Suleymanov (2025), “It’s Not (Only) Personal, It’s Business: Personal Bankruptcy Exemptions and Business Credit”, Review of Finance 29, 275–313.
- Praveen Kumar and Vijay Yerramilli (2025), "Firm Size, Capital Investment and Debt Financing over Industry Business Cycles", Journal of Financial and Quantitative Analysis 60, 524-550.
- Pedro Monteiro and Masim Suleymanov (2025), “Government Contracts and Labor Investment Efficiency”, Journal of Corporate Finance 92, 102771.
- Antonio Gargano and Marco Giacoletti (2025), "Cooling Auction Fever: Evidence from the Housing Market," Review of Financial Studies, forthcoming.
- Hitesh Doshi, Hyung Joo Kim, and Sang Byung Seo (2025), “Options on Interbank Rates and Implied Disaster Risk”, Journal of Financial and Quantitative Analysis, forthcoming.
- Kris Jacobs, Anh Thu Mai, and Paola Pederzoli (2025), “Identifying Demand Curves in Index Option Markets”, Management Science, forthcoming.
- Rohit Allena and Tarun Chordia (2025), “True Liquidity and Fundamental Prices: US Tick Size Pilot”, Journal of Financial Economics, forthcoming.
- Buvaneshwaran Venugopal and Vijay Yerramilli (2025), “Nonexecutive Directors at Early-Stage Startups”, Review of Corporate Finance Studies, forthcoming.
- Zack Liu, Jonathan Cohn, Travis Johnson, and Malcolm Wardlaw (2025), “Past is Prologue: Inference from the Cross Section of Returns Around an Event”, Journal of Financial Economics, forthcoming.
- Zack Liu and Adam Winegar (2025), “Economic magnitudes within reason”, Journal of Corporate Finance 102707.
- Kris Jacobs, Sai Ke, and Xuhui Pan (2025), “Tail Risk Around FOMC Announcements”, Journal of Financial and Quantitative Analysis, forthcoming.
- Rohit Allena (2025), "Confident Risk Premiums and Investments using Machine Learning Uncertainties," Review of Financial Studies, forthcoming.
- Paola Pederzoli (2025), "The Crash Risk in Individual Stocks Embedded in Skewness Swap Returns," Journal of Financial and Quantitative Analysis, forthcoming.
- Praveen Kumar, Nisan Langberg, and K. Sivaramakrishnan (2025), "Strategic Disclosure and Informed Trading with Short-Selling Constraints", Contemporary Accounting Research, forthcoming.
- Wen-I Chuang, Yun-Huan Lee, Hsiu-Chuan Lee, and Rauli Susmel (2025), “Why do investors trade more following high returns?”, International Review of Economics & Finance, Volume 103.
2024 and Forthcoming
- Sumit Agarwal, Souphala Chomsisengphet, Hua Kiefer, Leonard C. Kiefer, and Paolina C. Medina (2024) “Refinancing Inequality During the COVID-19 Pandemic”, Journal of Financial and Quantitative Analysis 59(5), 2133–2163.
- Hitesh Doshi, Jan Ericsson, Mathieu Fournier, and Sang Byung Seo (2024), “The Risk and Return of Equity and Credit Index Options”, Journal of Financial Economics 161, 103932.
- Hitesh Doshi, Kris Jacobs, and Rui Liu (2024), “Modeling Volatility in Dynamic Term Structure Models”, Journal of Financial Economics 161, 103926.
- Paul Povel and Günter Strobl (2024), “Lying to Speak the Truth: Selective Manipulation and Improved Information Transmission”, Journal of Finance 79, 4303-4352.
- Zack Liu, Avishai Schiff, and Nathan Swem (2024), “Access to Capital and Investment Composition: Evidence from Fracking in North Dakota”, Journal of Banking and Finance 161, 107116.
- Zack Liu, Jacelly Cespedes, and Carlos Parra (2024), “The Effects of House Prices and Home Equity Extraction on Career Outcomes”, Review of Corporate Finance Studies, forthcoming.
- Elizabeth Berger and Nathan Seegert (2024), “Half banked: the economic impact of cash management in the marijuana industry”, Journal of Finance 79(4), 2759-2796.
- Kris Jacobs and Anh Thu Mai (2024), “The Role of Intermediaries in Derivatives Markets: Evidence from VIX Options”, Journal of Empirical Finance 77, 101492.
- Arnaud Dufays, Kris Jacobs, Yuguo Liu, and Jeroen Rombouts (2024), “Fast Filtering with Large Option Panels: Implications for Asset Pricing”, Journal of Financial and Quantitative Analysis 59, 3416-3447.
- Mathieu Fournier, Kris Jacobs, and Piotr Orlowski (2024), “Modeling Conditional Factor Risk Premia Implied by Index Option Returns”, Journal of Finance 79, 2289-2338.
- Antonio Gargano, Juan Sotes-Paladino, and Patrick Verwijmeren (2024), “Out of Sync: Dispersed Short Selling and the Correction of Mispricing”, Journal of Financial and Quantitative Analysis 58(8), 3482-3520.
- Antonio Gargano and Alberto G. Rossi (2024), “Goal Setting and Saving in the FinTech Era”, Journal of Finance 79, 1931-1976.
- Brian Akins, David De Angelis, and Rustam Zufarov (2024), “Blocking Block-Formation: Evidence from Private Loan Contracts”, Management Science, forthcoming.
- Brian Akins, Jonathan Bitting, David De Angelis, and Maclean Gaulin (2024), “CEO Short-Term Incentives and the Agency Cost of Debt”, Contemporary Accounting Research, forthcoming.
- Paolina Medina and Michaela Pagel (2024), “Does Saving Cause Borrowing? Implications for the Co-Holding Puzzle”, Journal of Finance, forthcoming.
- Antonio Gargano, Juan M. Sotes-Paladino, and Patrick Verwijmeren (2024), “Short of capital: Stock market implications of short sellers' losses”, Management Science, forthcoming.
- Hadiye Aslan, Madhu Kalimipalli, Praveen Kumar, and Buvaneshwaran Venugopal (2024), “Product Market Competition, Mergers and Acquisitions, and Covenant Redesign”, Review of Corporate Finance Studies, forthcoming.
- George Zhe Tian and James Yae (2024), “Unintended consequences of punishment: Adverse effects of environmental penalties on green patents”, Research in International Business and Finance 70, 102281.
- Gregory Bean (2024), Diverging Paths for Natural Gas, white paper UH Energy.
- Gregory Bean (2024), Repurposing Fossil Fuel Assets for a Low-Carbon World, white paper UH Energy.
2023 and Forthcoming
- Thomas J. George, Chuan-Yang Hwang and Yuan Li (2023), “February, Share Turnover, and Momentum in China”, Pacific-Basin Finance Journal 82, 102-173.
- Hitesh Doshi, Saurin Patel, Srikanth Ramani, and Matthew Sooy (2023), “Uncertain Tone, Asset Volatility and Credit Default Swap Spreads”, Journal of Contemporary Accounting and Economics 19, 100380.
- Fousseni Chabi-Yo, Hitesh Doshi, and Virgilio Zurita (2023), “Never a Dull Moment: Entropy Risk in Commodity Markets”, Review of Asset Pricing Studies 13, 734-783.
- Steven Shu-Hsiu Chen, Hitesh Doshi, and Sang Byung Seo (2023), “Synthetic Options and Implied Volatility for the Corporate Bond Market”, Journal of Financial and Quantitative Analysis 58, 1326-1358.
- Elizabeth Berger (2023), “Selection Bias in Mutual Fund Fire Sales”, Journal of Financial and Quantitative Analysis 58(3), 1039-1077.
- Kris Jacobs and Bingxin Li (2023), “Option Returns, Risk Premiums, and Demand Pressure in Energy Markets”, Journal of Banking and Finance 146, 106687.
- Antonio Gargano, Marco Giacoletti, and Elvis Jarnecic (2023), “Local Experiences, Search and Spillovers in the Housing Market”, Journal of Finance 78(2), 1015-1053.
- James Yae and George Zhe Tian (2023), “Volatile Safe-Haven Asset”, Journal of Financial Stability, Forthcoming.
- James Yae and Yang Luo (2023), “Robust Monitoring Machine: A Machine Learning Solution for Out-of-Sample R2-Hacking in Return Predictability Monitoring”, Financial Innovation, Forthcoming.
- James Yae (2023), “Unintended Look-Ahead Bias in Out-of-Sample Forecasting”, Applied Economics Letters, Forthcoming.
2022
- Cohn, B. J., Liu, Z., and Wardlaw, I.M., (2022). “Count (and count-like) data in finance,” Journal of Financial Economics (forthcoming).
- Gargano, A., Sotes-Paladino J. M., and Verwijmeren, P. (2022). “Out of Sync: Dispersed Short Selling and the Correction of Mispricing.” Journal of Financial and Quantitative Analysis.
- Sangwon Lee and Vijay Yerramilli, 2022, “Reference Prices, Relative Values, and the Timing of M&A Announcements,” Journal of Corporate Finance (forthcoming).
- Mo, Lijia, and James Yae. Lending Club meets Zillow: local housing prices and default risk of peer-to-peer loans. Applied Economics (2022).
- Tian, George Zhe and James Yae. Out-of-Sample Forecasting of Cryptocurrency Returns: A Comprehensive Comparison of Predictors and Algorithms. Physica A: Statistical Mechanics and its Applications. (Forthcoming)
- Antonio Gargano, A., Marco Giacoletti, M., and Elvis Jarnecic, “Local Experiences, Search and Spillovers in the Housing Market,” Journal of Finance (Forthcoming).
2021
- Chen, S., H. Doshi, and S. Seo, 2021, “Synthetic Options and Implied Volatility for the Corporate Bond Market,” Journal of Financial and Quantitative Analysis, Forthcoming.
- Pirrong, Craig (2021), “Sheep In Wolves Clothing: Using false signals of demand to execute a market power manipulation, " Journal of Futures Markets, forthcoming.
- Berger, Elizabeth, "Selection Bias in Mutual Fund Fire Sales," Journal of Financial and Quantitative Analysis, forthcoming.
- Ratnadiwakara, D., Yerramilli, V., 2021, "Do Sunk Costs Affect Prices in the Housing Market?", Management Science (Forthcoming)
- Venugopal, B., and V. Yerramilli, 2021, Seed-Stage Success and Growth of Angel Co-investment Networks, The Review of Corporate Finance Studies, forthcoming.
- Cespa, G., Gargano, A., Riddiough, S. and Sarno, L., 2021, Foreign Exchange Volume, Review of Financial Studies, forthcoming.
- Mohammad Ghaderi, Sang Byung Seo and Mete Kilic. (2021), “Learning, Slowly Unfolding Disasters, and Asset Prices," Journal of Financial Economics, forthcoming
2020
- Bean, Greg and Davies, Connor (2020), Digitization of the Energy Industry, white paper UH Energy.
- Aslan, Hadiye and Praveen Kumar, “Globalization and Entrepreneurial Entry and Exit: Evidence from U.S. Households,” Journal of Monetary Economics, forthcoming.
- Winton, Andrew, and Vijay Yerramilli, Forthcoming, Monitoring in Originate-to-Distribute Lending: Reputation versus Skin in the Game, Review of Financial Studies
2019
- Bean, Greg (2019), The Role of Hydrogen in the De-carbonization of the Energy Industry: Major Impact or Niche Player?, white paper UH Energy.
- Doshi, Hitesh, Kris Jacobs, Praveen Kumar, and Ramon Rabinovitch, 2019, Leverage and the Cross-Section of Equity Returns, Journal of Finance 74, 1431-14-71.
- Choi, Yong Seok, Hitesh Doshi, Kris Jacobs, and Stuart Turnbull, Forthcoming, Pricing Structured Products with Economic Covariates, Journal of Financial Economics.
- Grieser, William, and Zesong Liu, Forthcoming, Corporate Investment and Innovation in the Presence of Financial Constraints, Review of Financial Studies.
- Seo, Sang, and Jessica Wachter, Forthcoming, Option Prices in a Model with Stochastic Disaster Risk, Management Science.
- Cosma, Antonio, Stefano Galluccio, Paola Pederzoli, and Olivier Scaillet, Forthcoming, Early Exercise Decision in American options with dividends, stochastic volatility and jumps, Journal of Financial and Quantitative Analysis.
- Kumar, Praveen, Nisan Langberg, and David Zvilichovsky, Forthcoming, Crowdfunding, Financing Constraints and Real Effects, Management Science.
- Fournier, Mathieu, and Kris Jacobs, Forthcoming, A Tractable Framework for Option Pricing with Dynamic Market Maker Inventory and Wealth, Journal of Financial and Quantitative Analysis.
- Hu, Guanglian, and Kris Jacobs, Forthcoming, Volatility and Expected Option Returns, Journal of Financial and Quantitative Analysis.
2018
- Bean, Greg, 2018, Investing Under Uncertainty: The Challenge of Building the U.S. Energy Infrastructure of the Future, white paper UH Energy.
- Bean, Greg and Ross, Chris, 2018, Driving the Future: A Scenario for the Rapid Growth of Electric Vehicles, white paper UH Energy.
- Seo, Sang, and Jessica Wachter, 2018, Do Rare Events Explain CDX Tranche Spreads, Journal of Finance 73, 2343-2383.
- Christoffersen, Peter, Mathieu Fournier, and Kris Jacobs, 2018, The Factor Structure in Equity Options, Review of Financial Studies 31, 595-637.
- Kumar, Praveen, and Vijay Yerramilli, 2018, Optimal Capital Structure and Investment with Real Options and Endogenous Debt Costs, Review of Financial Studies 31, 3452-3491.
- Christoffersen, Peter, Ruslan Goyenko, Kris Jacobs, and Mehdi Karoui, 2018, Illiquidity Premia in Equity Option Markets, Review of Financial Studies 31, 811-851.
- Doshi, Hitesh, Redouane Elkamhi, and Chayawat Ornthanalai, 2018, The Term Structure of Expected Recovery Rates, Journal of Financial and Quantitative Analysis 53, 2619-2661.
- Doshi, Hitesh, Praveen Kumar, and Vijay Yerramilli, 2018, Uncertainty, Capital Investment, and Risk Management, Management Science 64, 5769-5786.
- Babaoglu, Kadir, Peter Christoffersen, Steve Heston, and Kris Jacobs, 2018, Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels, Review of Asset Pricing Studies 8, 183-231.
- Alanis, Emmanuel, Sudheer Chava, and Praveen Kumar, 2018, Shareholder Bargaining Power, Debt Overhang, and Investment, Review of Corporate Finance Studies 7, 276-318.
- Christoffersen, Peter, Kris Jacobs, Xisong Jin, and Hugues Langlois, 2018, Dynamic Dependence and Diversification in Corporate Credit, Review of Finance 22, 521-560.
- Aslan, Hadiye, and Praveen Kumar, 2018, The Real Effects of Forced Sales of Corporate Bonds, Journal of Monetary Economics 95, 1-17.
- Doshi, Hitesh, Kris Jacobs, and Rui Liu, 2018, Macroeconomic Determinants of the Term Structure: Long-run and Short-run Dynamics, Journal of Empirical Finance 48, 99-122.
- Arbogast, Stephen, and Praveen Kumar, 2018, Financial Flexibility and Opportunity Capture: Bridging the Gap between Finance and Strategy, Journal of Applied Corporate Finance 30, 23-29.
2017
- Povel, Paul, and Iván Marinovic, 2017, Competition for Talent under Performance Manipulation, Journal of Accounting and Economics 64, 1-14.
- Aslan, Hadiye, and Praveen Kumar, 2017, Stapled Financing, Value Certification, and Lending Efficiency, Journal of Financial and Quantitative Analysis 52, 677-703.
- Kumar, Praveen, Nisan Langberg, Jacob Oded, and Konduru Sivaramakrishnan, 2017, Voluntary Disclosure and Strategic Stock Repurchases, Journal of Accounting & Economics 63, 207-230.
- Doshi, Hitesh, Kris Jacobs, and Virgilio Zurita, 2017, Pricing Credit Default Swaps with Observable Covariates, Review of Asset Pricing Studies 7, 43-80.
- Povel, Paul, Pablo Hernández-Lagos, and Giorgo Sertsios, 2017, An Experimental Analysis of Risk Shifting Behavior, Review of Corporate Finance Studies 61, 68-101.
- Pirrong, Craig, 2017, Liquefying a Market: Contracting Dynamics in LNG, Journal of Applied Corporate Finance.
- Pirrong, Craig, 2017, The Economics of Commodity Market Manipulation: A Survey, Journal of Commodity Markets.
2016
- Kumar, Praveen, and Dongmei Li, 2016, Capital Investment, Innovative Capacity, and Stock Returns, Journal of Finance 71, 2059-2094.
- Povel, Paul, Giorgo Sertsios, Renáta Kosová, and Praveen Kumar, 2016, Boom and Gloom, Journal of Finance 71, 2287-332.
- Aslan, Hadiye, and Praveen Kumar, 2016, The Product Market Effects of Hedge Fund Activism, Journal of Financial Economics 119, 226-248.
- Christoffersen, Peter, Kris Jacobs, and Bingxin Li, 2016, Dynamic Jump Intensities and Risk Premiums in Crude Oil Futures and Options Markets, Journal of Derivatives 24, 8-30.
- Kumar, Praveen, Nisan Langberg, and Konduru Sivaramakrishnan, 2016, Voluntary Disclosure with Informed Trading in the IPO Market, Journal of Accounting Research.
- Pirrong, Craig, 2016, Bund for Glory, or, It’s a Long Way to Tip a Market, Journal of Applied Corporate Finance.