Department of Finance

Recent Publications

 

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.