Department of
Finance

Recent Publications

2023 and Forthcoming
- Berger, Elizabeth and Seegert, Nathan (2023) Half Banked: The Economic Impact of Cash Management in the Marijuana Industry, Journal of Finance, forthcoming
- James Yae and George Zhe Tian, “Volatile Safe-Haven Asset”, Journal of Financial Stability, Forthcoming.
- James Yae and Yang Luo. "Robust Monitoring Machine: A Machine Learning Solution for Out-of-Sample R2-Hacking in Return Predictability Monitoring", Financial Innovation, Forthcoming.
- James Yae. "Unintended Look-Ahead Bias in Out-of-Sample Forecasting", Applied Economics Letters, Forthcoming.
2022 and Forthcoming
- 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 and Forthcoming
- 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 and Forthcoming
- 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 and Forthcoming
- 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
- 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.