Our Newest Publications

Yingying Li, Zhiyuan Zhang and Yichu Li, A Unified Approach to Volatility Estimation in the Presence of Both Rounding and Random Market Microstructure Noise, Journal of Econometrics, forthcoming.

Ravi Jagannathan and Binying Liu, Dividend Dynamics, Learning, and Expected Stock Index Returns, Journal of Finance, forthcoming.

Hengjie Ai, M. Max Croce, Anthony M. Diercks and Kai Li, News Shocks and the Production-Based Term Structure of Equity Returns, Review of Financial Studies, forthcoming.

Jean Jacod, Yingying Li, and Xinghua Zheng, Statistical Properties of Microstructure Noise,  Econometrica, forthcoming.

Jonathan B. Berk, Jules H. van Binsbergen, and Binying Liu, Matching Capital and Labor,  Journal of Finance, forthcoming.

Abhiroop Mukherjee, Manpreet Singh, and Alminas Žaldokas, Do Corporate Taxes Hinder Innovation? Journal of Financial Economics, forthcoming.

Bruno Solnik and Luo Zuo, Relative Optimism and the Home Bias Puzzle, Review of Finance, forthcoming.

Utpal Bhattacharya, Po-Hsuan Hsu, Xian Tian, and Yan Xu, What Affects Innovation More: Policy or Policy Uncertainty? Journal of Financial and Quantitative Analysis, forthcoming.

Utpal Bhattacharya, Wei-Yu Kuo, Tse-Chun Li, and Jing Zhao, Do Superstitious Traders Lose Money? Management Science, forthcoming.

Utpal Bhattacharya, Andreas Hackethal, Benjamin Loos, and Steffen Meyer, Abusing ETFs, Review of Finance, forthcoming.

Vidhan K. Goyal and Wei Wang, Provision of Management Incentives in Bankrupt Firms, Journal of Law, Finance, and Accounting, forthcoming.

Xuewen Liu and Antonio Mello, The Creditor Channel of Liquidity Crises, Journal of Money, Credit and Banking, forthcoming.

Massimo Massa and Alminas Žaldokas, Information Transfers among Coowned Firms, Journal of Financial Intermediation, forthcoming.

Harrison Hong, David Sraer, and Jialin Yu, 2017, Inflation Bets on the Long Bond, Review of Financial Studies.

Steffen Andersen and Kasper Meisner Nielsen, 2017, Fire sales and house prices: Evidence from estate sales due to sudden death, Management Science.

Xuewen Liu, 2016, Interbank Market Freezes and Creditor Runs, Review of Financial Studies.

Radhakrishnan Gopalan, Abhiroop Mukherjee, and Manpreet Singh, 2016, Do Debt Contract Enforcement Costs Affect Financing and Asset Structure? Review of Financial Studies.

Nicholas Barberis, Abhiroop Mukherjee, and Baolian Wang, 2016, Prospect Theory and Stock Returns: An Empirical Test, Review of Financial Studies.

Darwin Choi, Bige Kahraman, and  Abhiroop Mukherjee, 2016, Learning About Mutual Fund Managers, Journal of Finance.

Jess Benhabib, Xuewen Liu, and Pengfei Wang, 2016, Endogenous Information Acquisition and Countercyclical Uncertainty, Journal of Economic Theory.

Jess Benhabib, Xuewen Liu, and Pengfei Wang, 2016, Sentiments, Financial Markets, and Macroeconomic Fluctuations,  Journal of Financial Economics.

Gang Li and Chu Zhang, 2016, On the Relationship between Conditional Jump Intensity and Diffusive Volatility, Journal of Empirical Finance.

Bruno Solnik and Thaisiri Watewai, 2016, International Correlation Asymmetries: Frequent-but-Small and Infrequent-but-Large Returns, Review of Asset Pricing Studies.

Ling Cen, Sudipto Dasgupta, and Rik Sen, 2016, Discipline or Disruption: Stakeholder Relationships and the Effect of Takeover Threat, Management Science.

Qinghao Mike Mao and K.C. John Wei, 2016, Cash flow news and the investment effect in the cross-section of stock returns, Management Science.

Utpal Bhattacharya and Stacey Jacobsen, 2016, The Share Repurchase Announcement Puzzle: Theory and Evidence, Review of Finance.

Ling Cen, Sudipto Dasgupta, Redouane Elkamhi, and Raunaq S. Pungaliya, 2016, Reputation and Loan Contract Terms: the Role of Principal Customers, Review of Finance.

Yingying Li, Shangyu Xie, and Xinghua Zheng, 2016, Efficient Estimation of Integrated Volatility Incorporating Trading Information, Journal of Econometrics.

Yingying Li and Per A. Mykland, 2015, Rounding Errors and Volatility Estimation, Journal of Financial Econometrics.

Utpal Bhattacharya, Alexander Borisov and Xiaoyun Yu, 2015, Firm Mortality and Natal Financial Care, Journal of Financial and Quantitative Analysis.

Gurdip S. Bakshi, Dilip Madan, and George Panayotov, 2015, Heterogeneity in Beliefs and Volatility Tail Behavior, Journal of Financial and Quantitative Analysis.

Murray Frank and Vidhan K. Goyal, 2015, The Profit-Leverage Puzzle Revisited, Review of Finance.

Xuewen Liu, 2015, Short-selling Attacks and Creditor Runs, Management Science.

Tai-Yuan Chen, Sudipto Dasgupta, and Yangxin Yu, 2014, Transparency and Financing Choices of Family Firms,  Journal of Financial and Quantitative Analysis.

Xin Chang, Sudipto Dasgupta, Jiaquan Yao, and George Wong, 2014, Cash Flow Sensitivities and the Allocation of Internal Cash Flow, Review of Financial Studies.

Bang Dang Nguyen and Kasper Meisner Nielsen, 2014, What Death Can Tell: Are Executives Paid for their Contribution to Firm Value? Management Science.

Massimo Massa and Alminas Žaldokas, 2014, Investor Base and Corporate Borrowing Policy: Evidence from International Corporate Bonds, Journal of International Economics.

Yingying Li, Per A. Mykland, Eric Renault, Lan Zhang, and Xinghua Zheng, 2014, Realized Volatility When Sampling Times are Possibly Endogenous, Econometric Theory.

Yuan Huang, Eric F.Y.C. Lam, and K.C. John Wei, 2014, The q-theory explanation for the external financing effect: New evidence, Journal of Banking and Finance.

Qinghao Mike Mao, and K.C. John Wei, 2014, Price and earnings momentum: An explanation using return decomposition, Journal of Empirical Finance.

Yan He, Junbo Wang, and K.C. John Wei, 2014, A comprehensive study of liquidity before and after SEOs and SEO underpricing, Journal of Financial Markets.