Finance Working Papers

Akey, Pat and Babina, Tania and Buchak, Greg and Tenekedjieva, Ana-Maria, The Impact of Money in Politics on Labor and Capital: Evidence from Citizens United V. Fec (July 2023). NBER Working Paper No. w31481, Available at SSRN: https://ssrn.com/abstract=4519243

Chang, Briana and Cheng, Ing-Haw and Hong, Harrison G., The Fundamental Role of Uninsured Depositors in the Regional Banking Crisis (October 2023). Available at SSRN: https://ssrn.com/abstract=4497863 or http://dx.doi.org/10.2139/ssrn.4497863

Elkamhi, Redouane and Lee, Jacky and Salerno, Marco, Enhancing the Inverse Volatility Portfolio through Clustering (October 2023). Elkamhi R., Lee J., Salerno M., Enhancing the Inverse Volatility Portfolio through Clustering, The Journal of Data Science, forthcoming., Available at SSRN: https://ssrn.com/abstract=4610075

Huang, Jilei and Sun, Yi and Yang, Liyan, Does Digitalization Widen Labor Income Inequality? (June 2023). Available at SSRN: https://ssrn.com/abstract=4471295 or http://dx.doi.org/10.2139/ssrn.4471295

Inostroza, Nicolas and Pavan, Alessandro, Adversarial Coordination and Public Information Design (July 2023). Available at SSRN: https://ssrn.com/abstract=4531654 or http://dx.doi.org/10.2139/ssrn.4531654

Inostroza, Nicolas, Persuading Multiple Audiences: Strategic Complementarities and (Robust) Regulatory Disclosures (March 2023). Rotman School of Management Working Paper No. 4400717, Available at SSRN: https://ssrn.com/abstract=4400717 or http://dx.doi.org/10.2139/ssrn.4400717

Kan, Raymond and Pan, Jiening, A Fast Algorithm for Computing Product Moments of Multivariate Normal Random Variables (September 2023). Available at SSRN: https://ssrn.com/abstract=4504635 or http://dx.doi.org/10.2139/ssrn.4504635

Kan, Raymond and Lassance, Nathan, Optimal Portfolio Choice with Fat Tails and Parameter Uncertainty (December 2023). Available at SSRN: https://ssrn.com/abstract=4652814 or http://dx.doi.org/10.2139/ssrn.4652814

Kieschnick, Robert L. and Moussawi, Rabih and Rotenberg, Wendy, Business Models, Cash Conversion Cycles, and Stock Returns. Available at SSRN: https://ssrn.com/abstract=4574172 or http://dx.doi.org/10.2139/ssrn.4574172

Lehar, Alfred and Parlour, Christine A. and Zoican, Marius, Liquidity Fragmentation on Decentralized Exchanges (October 2023). Available at SSRN: https://ssrn.com/abstract=4267429 or http://dx.doi.org/10.2139/ssrn.4267429

Malinova, Katya and Park, Andreas, Learning from DeFi: Would Automated Market Makers Improve Equity Trading? (August 2023). Available at SSRN: https://ssrn.com/abstract=4531670 or http://dx.doi.org/10.2139/ssrn.4531670

Malinova, Katya and Park, Andreas, Tokenized Stocks for Trading and Capital Raising (February 2023). Available at SSRN: https://ssrn.com/abstract=4365241 or http://dx.doi.org/10.2139/ssrn.4365241

Martineau, Charles and Poulos, Zissis and Wu, Yuntao and Thompson, Cameron and Haghighi, Maryam and yuan, Jun and Hull, John C., Narrative Monetary Policy Uncertainty (September 2023). Available at SSRN: https://ssrn.com/abstract=4573829 or http://dx.doi.org/10.2139/ssrn.4573829

Park, Andreas and Stinner, Jona, Phantom Liquidity in Decentralized Lending (June 2023). Available at SSRN: https://ssrn.com/abstract=4489732 or http://dx.doi.org/10.2139/ssrn.4489732

Park, Andreas and Stinner, Jona, A 2023 Primer for Crypto Credit Markets (August 2023). Global Risk Institute, 2023, Available at SSRN: https://ssrn.com/abstract=4568315

Stulz, Rene M. and Doidge, Craig and Karolyi, George Andrew, The US Equity Valuation Premium, Globalization, and Climate Change Risks (August 2023). Fisher College of Business Working Paper No. 2023-03-21, Charles A. Dice Working Paper No. 2023-21, Available at SSRN: https://ssrn.com/abstract=4572102 or http://dx.doi.org/10.2139/ssrn.4572102

Xiong, Yan and Yang, Liyan, Personalized Pricing, Network Effects, and Corporate Social Responsibility (June 2023). Available at SSRN: https://ssrn.com/abstract=4203294 or http://dx.doi.org/10.2139/ssrn.4203294

Chang, Bin and Booth, Laurence David, Target-date funds: lessons learned? (December 2022). Journal of Risk, Vol. 25, No. 5, 2023, Available at SSRN: https://ssrn.com/abstract=4485573

Corhay, Alexandre and Li, Jun and Tong, Jincheng, Markup Shocks and Asset Prices (March 17, 2022). Available at SSRN: https://ssrn.com/abstract=4060403 or http://dx.doi.org/10.2139/ssrn.4060403

Deng, Jun and Pan, Huifeng and Yan, Hongjun and Yang, Liyan, Disclosing and Cooling-Off: An Analysis of Insider Trading Rules (October 2022). Rotman School of Management Working Paper No. 4249189, Available at SSRN: https://ssrn.com/abstract=4249189 or http://dx.doi.org/10.2139/ssrn.4249189

Elkamhi, Redouane and Lee, Jacky and Salerno, Marco, Volatility Timing: Why Risk-Based Rules Outperform Naïve Diversification (Presentation Slides) (November 2022). Available at SSRN: https://ssrn.com/abstract=4284177 or http://dx.doi.org/10.2139/ssrn.4284177

Figueroa, Nicolas and Inostroza, Nicolas, Optimal Screening with Securities (December 2022). Rotman School of Management Working Paper No. 4308415, Available at SSRN: https://ssrn.com/abstract=4308415 or http://dx.doi.org/10.2139/ssrn.4308415

Garriott, Corey and van Kervel, Vincent and Zoican, Marius, Risk sharing in time-priority markets (March 29, 2022). Western Finance Association Paper 2022, Available at SSRN: https://ssrn.com/abstract=3991930 or http://dx.doi.org/10.2139/ssrn.3991930

Goldstein, Itay and Huang, Chong and Yang, Liyan, Open Banking under Maturity Transformation (September 2022). Available at SSRN: https://ssrn.com/abstract=4215016

Park, Andreas, A 2022 Primer for Crypto-Trading (June 2022). Available at SSRN: https://ssrn.com/abstract=4148717 or http://dx.doi.org/10.2139/ssrn.4148717

Elkamhi, Redouane and Jo, Chanik and Nozawa, Yoshio, A One-Factor Model of Corporate Bond Premia (January 8, 2021). Available at SSRN: https://ssrn.com/abstract=3669068 or http://dx.doi.org/10.2139/ssrn.3669068

Chapkovski, Philipp and Khapko, Mariana and Zoican, Marius, Does Gamified Trading Stimulate Risk Taking? (November 25, 2021). Swedish House of Finance Research Paper No. 21-25, Available at SSRN: https://ssrn.com/abstract=3971868 or http://dx.doi.org/10.2139/ssrn.3971868

Celerier, Claire and Tak, Purnoor, The Impact of Financial Inclusion on Minorities: Evidence from the Freedman's Savings Bank (April 12, 2021). Available at SSRN: https://ssrn.com/abstract=3825143 or http://dx.doi.org/10.2139/ssrn.3825143

Celerier, Claire and Vallee, Boris and Liao, Gordon, The Price Effects of Innovative Security Design (July 6, 2021). Rotman School of Management Working Paper No. 3881268, Available at SSRN: https://ssrn.com/abstract=3881268 or http://dx.doi.org/10.2139/ssrn.3881268

Clara, Nuno and Clara, Nuno and Corhay, Alexandre and Kung, Howard, Firm Product Concentration and Asset Prices (August 21, 2021). Available at SSRN: https://ssrn.com/abstract=3488428 or http://dx.doi.org/10.2139/ssrn.3488428

Corhay, Alexandre and Tong, Jincheng, Inflation Risk and the Finance-Growth Nexus (February 1, 2021). Rotman School of Management Working Paper No. 3795679, Available at SSRN: https://ssrn.com/abstract=3795679 or http://dx.doi.org/10.2139/ssrn.3795679

Khomyn, Marta and Putnins, Talis J. and Zoican, Marius, The Value of ETF Liquidity (August 18, 2021). European Finance Association 2020 Helsinki, Available at SSRN: https://ssrn.com/abstract=3561531 or http://dx.doi.org/10.2139/ssrn.3561531

Khomyn, Marta and Putnins, Talis J. and Zoican, Marius, The Value of ETF Liquidity (August 18, 2021). European Finance Association 2020 Helsinki, Available at SSRN: https://ssrn.com/abstract=3561531 or http://dx.doi.org/10.2139/ssrn.3561531

Augustin, Patrick and Augustin, Patrick and Cong, Linxiao and Corhay, Alexandre and Weber, Michael, Price Rigidities and Credit Risk (August 20, 2021). Chicago Booth Research Paper No. 21-14, Fama-Miller Working Paper, Available at SSRN: https://ssrn.com/abstract=3852082 or http://dx.doi.org/10.2139/ssrn.3852082

Martineau, Charles and Zoican, Marius, Measuring information in analyst reports: A machine learning approach (September 16, 2021). Rotman School of Management Working Paper No. 3925176, Available at SSRN: https://ssrn.com/abstract=3925176 or http://dx.doi.org/10.2139/ssrn.3925176

Celerier, Claire and Vallee, Boris and Vasilenko, Alexey, What Drives the Finance Academia Wage Premium? (September 29, 2021). Available at SSRN: https://ssrn.com/abstract=3933193 or http://dx.doi.org/10.2139/ssrn.3933193

Menkveld, Albert J. and Dreber, Anna et al (including Marius Zoican) Non-Standard Errors (November 23, 2021). University of St.Gallen, School of Finance Research Paper No. 2021/17, Available at SSRN: https://ssrn.com/abstract=3961574 or http://dx.doi.org/10.2139/ssrn.3961574

Corhay, Alexandre and Kung, Howard and Schmid, Lukas, Q: Risk, Rents, or Growth? (March 1, 2020). USC Marshall School of Business Research Paper Sponsored by iORB, No. Forthcoming, Available at SSRN: https://ssrn.com/abstract=3546667 or http://dx.doi.org/10.2139/ssrn.3546667

Davydenko, Sergei and Elkamhi, Redouane and Salerno, Marco, When Are Financial Covenants Relevant? (February 28, 2020). Available at SSRN: https://ssrn.com/abstract=3554454 or http://dx.doi.org/10.2139/ssrn.3554454

Elkamhi, Redouane and Salerno, Marco, How large are Pre-Default Costs of Financial Distress? Estimates from a Dynamic Model (February 27, 2020). Available at SSRN: https://ssrn.com/abstract=3553063 or http://dx.doi.org/10.2139/ssrn.3553063

Elkamhi, Redouane and Salerno, Marco, The Jury is Still Out On the Performance of Naive Diversification (1/N rule) (June 30, 2020). Rotman School of Management Working Paper No. 3638713, Available at SSRN: https://ssrn.com/abstract=3638713 or http://dx.doi.org/10.2139/ssrn.3638713

Elkamhi, Redouane and Nozawa, Yoshio, Fire-Sale Risk in the Leveraged Loan Market (August 26, 2020). Rotman School of Management Working Paper No. 3635086, Available at SSRN: https://ssrn.com/abstract=3635086 or http://dx.doi.org/10.2139/ssrn.3635086

Elkamhi, Redouane and Jo, Chanik and Salerno, Marco, Measuring State-level Economic Policy Uncertainty (September 18, 2020). Available at SSRN: https://ssrn.com/abstract=3695365 or http://dx.doi.org/10.2139/ssrn.3695365

Elkamhi, Redouane and Jo, Chanik and Nozawa, Yoshio, Does the Long-Run Risk Explain the Cross-Section of Corporate Bond Returns? (October 13, 2020). Proceedings of Paris December 2020 Finance Meeting EUROFIDAI - ESSEC, Available at SSRN: https://ssrn.com/abstract=3710531 or http://dx.doi.org/10.2139/ssrn.3710531

Elkamhi, Redouane and Li, Ruicong and Nozawa, Yoshio, A Benchmark for Collateralized Loan Obligations (November 18, 2020). Available at SSRN: https://ssrn.com/abstract=3732614 or http://dx.doi.org/10.2139/ssrn.3732614

Huang, Shiyang and Schneemeier, Jan and Subrahmanyam, Avanidhar and Yang, Liyan, Alpha and Beta Information (September 13, 2020). Available at SSRN: https://ssrn.com/abstract=3691730 or http://dx.doi.org/10.2139/ssrn.3691730

Jo, Chanik and Salerno, Marco, Agency Conflicts and Investment: Evidence from a Structural Estimation (August 24, 2020). Available at SSRN: https://ssrn.com/abstract=3680008 or http://dx.doi.org/10.2139/ssrn.3680008

Xiong, Yan and Yang, Liyan, Secret and Overt Information Acquisition in Financial Markets (April 18, 2020). Available at SSRN: https://ssrn.com/abstract=3579214 or http://dx.doi.org/10.2139/ssrn.3579214

Akey, Pat and Gregoire, Vincent and Martineau, Charles, Retail Insider Trading and Market Price Efficiency: Evidence from Hacked Earnings News (April 3, 2019). Available at SSRN: https://ssrn.com/abstract=3365024 or http://dx.doi.org/10.2139/ssrn.3365024

Boloorforoosh, Ali and Christoffersen, Peter and Fournier, Mathieu and Gourieroux, Christian, Beta Risk in the Cross-Section of Equities (March 2, 2017). Rotman School of Management Working Paper No. 2926511. Available at SSRN: https://ssrn.com/abstract=2926511 or http://dx.doi.org/10.2139/ssrn.2926511

Cao, Jay and Chen, Jacky and Hull, John C. and Poulos, Zissis, Deep Hedging of Derivatives Using Reinforcement Learning (December 20, 2019). Available at SSRN: https://ssrn.com/abstract=3514586 or http://dx.doi.org/10.2139/ssrn.3514586

Khapko, Mariana and Zoican, Marius, Do Speed Bumps Curb Speed Investment? Evidence from a Pilot Experiment (March 12, 2019). Available at SSRN: https://ssrn.com/abstract=3351269 or http://dx.doi.org/10.2139/ssrn.3351269

Martineau, Charles and Zoican, Marius, Crowded Stock Coverage (April 22, 2019). Available at SSRN: https://ssrn.com/abstract=3376162 or http://dx.doi.org/10.2139/ssrn.3376162

Zoican, Marius, Fund Competition at the Zero-Fee Bound (February 15, 2019). Available at SSRN: https://ssrn.com/abstract=3296538 or http://dx.doi.org/10.2139/ssrn.3296538

Balyuk, Tetyana and Davydenko, Sergei A., Reintermediation in FinTech: Evidence from Online Lending (June 18, 2018). Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 18-17; 31st Australasian Finance and Banking Conference 2018. Available at SSRN: https://ssrn.com/abstract=3189236 or http://dx.doi.org/10.2139/ssrn.3189236

Choy, Siu-Kai and Wei, Jason Zhanshun, Investor Attention and Option Returns (March 14, 2018). Rotman School of Management Working Paper No. 3141970. Available at SSRN: https://ssrn.com/abstract=3141970 or http://dx.doi.org/10.2139/ssrn.3141970

Christoffersen, Susan E. and Keim, Donald B. and Musto, David K. and Rzeznik, Aleksandra, Passive-Aggressive Trading: The Supply and Demand of Liquidity by Mutual Funds (March 9, 2018). Rotman School of Management Working Paper No. 3137465. Available at SSRN: https://ssrn.com/abstract=3137465 or http://dx.doi.org/10.2139/ssrn.3137465

Dathan, Michele and Davydenko, Sergei A., Debt Issuance in the Era of Passive Investment (December 7, 2018). Available at SSRN: https://ssrn.com/abstract=3152612 or http://dx.doi.org/10.2139/ssrn.3152612

Doidge, Craig and Kahle, Kathleen M. and Karolyi, George Andrew and Stulz, Rene M., Eclipse of the Public Corporation or Eclipse of the Public Markets? (January 1, 2018). Rotman School of Management Working Paper No. 3100255; Charles A. Dice Center Working Paper No. 2018-1; Fisher College of Business Working Paper No. 2018-03-01; European Corporate Governance Institute (ECGI) - Finance Working Paper No. 547/2018. Available at SSRN: https://ssrn.com/abstract=3100255 or http://dx.doi.org/10.2139/ssrn.3100255

Doshi, Hitesh and Elkamhi, Redouane and Ornthanalai, Chayawat, The Term Structure of Expected Recovery Rates (April 30, 2017). Journal of Financial and Quantitative Analysis (JFQA), Forthcoming. Available at SSRN: https://ssrn.com/abstract=3222968

Golubov, Andrey and Lasfer, Meziane and Vitkova, Valeriya, Dividends and Takeovers: Clientele Effects and the Disappearing Dividends Phenomenon (July 24, 2018). Available at SSRN: https://ssrn.com/abstract=3219350 or http://dx.doi.org/10.2139/ssrn.3219350

Han, Bing and Hirshleifer, David A. and Walden, Johan, Social Transmission Bias and Investor Behavior (February 2018). NBER Working Paper No. w24281. Available at SSRN: https://ssrn.com/abstract=3118057

Huang, Shiyang and Qiu, Zhigang and Yang, Liyan, Institutionalization, Delegation, and Asset Prices (August 8, 2018). Available at SSRN: https://ssrn.com/abstract=3218190 or http://dx.doi.org/10.2139/ssrn.3218190

Malinova, Katya and Park, Andreas, Tokenomics: When Tokens Beat Equity (November 18, 2018). Available at SSRN: https://ssrn.com/abstract=3286825 or http://dx.doi.org/10.2139/ssrn.3286825

Yang, Liyan, Disclosure, Competition, and Learning from Asset Prices (January 8, 2018). Rotman School of Management Working Paper No. 3095970. Available at SSRN: https://ssrn.com/abstract=3095970 or http://dx.doi.org/10.2139/ssrn.3095970

Andrei, Daniel and Hasler, Michael and Jeanneret, Alexandre, Asset Pricing with Persistence Risk (September 7, 2017). Review of Financial Studies, Forthcoming. Available at SSRN: https://ssrn.com/abstract=3032238 or http://dx.doi.org/10.2139/ssrn.3032238

Cujean, Julien and Hasler, Michael, Why Does Return Predictability Concentrate in Bad Times? (June 28, 2017). Journal of Finance, Forthcoming; Rotman School of Management Working Paper No. 2994327. Available at SSRN: https://ssrn.com/abstract=2994327

Han, Bing and Kong, Dongmin, Institutional Investors and Equity Prices: Information, Behavioral Bias, and Arbitrage (March 1, 2017). Rotman School of Management Working Paper No. 2926401. Available at SSRN: https://ssrn.com/abstract=2926401 or http://dx.doi.org/10.2139/ssrn.2926401

Hull, John C. and White, Alan, Interest Rate Trees: Extensions and Applications (March 5, 2017). Rotman School of Management Working Paper No. 2928975. Available at SSRN: https://ssrn.com/abstract=2928975 or http://dx.doi.org/10.2139/ssrn.2928975

Huang, Shiyang and Yang, Liyan and Xiong, Yan, Clientele, Information Sales, and Asset Prices (October 1, 2017). Available at SSRN: https://ssrn.com/abstract=3045700 or http://dx.doi.org/10.2139/ssrn.3045700

Goldstein, Itay and Yang, Liyan, Information Disclosure in Financial Markets (March 3, 2017). Annual Review of Financial Economics, 2017, 9, 101–125; Rotman School of Management Working Paper No. 2927013. Available at SSRN: https://ssrn.com/abstract=2927013 or http://dx.doi.org/10.2139/ssrn.2927013

Sheng, Jinfei and Simutin, Mikhail and Zhang, Terry, Cheaper is Not Better: On the Superior Performance of High-Fee Mutual Funds (February 26, 2017). Rotman School of Management Working Paper No. 2912511. Available at SSRN: https://ssrn.com/abstract=2912511 or http://dx.doi.org/10.2139/ssrn.2912511

Wei, Jason Zhanshun, Behavioral Biases in the Corporate Bond Market (November 15, 2017). Journal of Empirical Finance, Forthcoming; Rotman School of Management Working Paper No. 3087523. Available at SSRN: https://ssrn.com/abstract=3087523

Yang, Liyan and Zhu, Haoxiang, Non-Fundamental Speculation Revisited (February 20, 2017). Journal of Finance, Forthcoming; Rotman School of Management Working Paper No. 2922855. Available at SSRN: https://ssrn.com/abstract=2922855

Sharifkhani, Ali and Simutin, Mikhail, Feedback Loops in Industry Trade Networks and the Term Structure of Momentum Profits (December, 2016). Rotman School of Management Working Paper No. 2882770. Available at SSRN: https://ssrn.com/abstract=2882770 or http://dx.doi.org/10.2139/ssrn.2882770

Chen, Yong and Han, Bing and Pan, Jing, Sentiment Risk, Sentiment Timing, and Hedge Fund Returns (January 12, 2016). Mays Business School Research Paper No. 2714580; Rotman School of Management Working Paper No. 2714580. Available at SSRN: https://ssrn.com/abstract=2714580or http://dx.doi.org/10.2139/ssrn.2714580

Choy, Siu-Kai and Wei, Jason Zhanshun, Liquidity Risk and Expected Option Returns (January 4, 2016). Rotman School of Management Working Paper No. 2713915. Available at SSRN: https://ssrn.com/abstract=2713915 or http://dx.doi.org/10.2139/ssrn.2713915

Christoffersen, Peter and Jacobs, Kris and Li, Bingxin, Dynamic Jump Intensities and Risk Premiums in Crude Oil Futures and Options Markets(October 27, 2016). Journal of Derivatives, Forthcoming; Rotman School of Management Working Paper No. 2861911. Available at SSRN: https://ssrn.com/abstract=2861911

Christoffersen, Peter and Feunou, Bruno and Jeon, Yoontae and Ornthanalai, Chayawat, Time-Varying Crash Risk: The Role of Stock Market Liquidity (September 21, 2016). Rotman School of Management Working Paper No. 2797308. Available at SSRN: https://ssrn.com/abstract=2797308

Comerton-Forde, Carole and Malinova, Katya and Park, Andreas, Regulating Dark Trading: Order Flow Segmentation and Market Quality (June 1, 2017). FIRN Research Paper No. 2755392. Available at SSRN: https://ssrn.com/abstract=2755392 or http://dx.doi.org/10.2139/ssrn.2755392

Dahya, Jay and Golubov, Andrey and Petmezas, Dimitris and Travlos, Nickolaos G., Governance Mandates, Outside Directors, and Acquirer Performance (November 1, 2016). Journal of Corporate Finance, Forthcoming; Rotman School of Management Working Paper No. 2867119. Available at SSRN: https://ssrn.com/abstract=2867119

Elkamhi, Redouane and Stefanova, Denitsa, Where to Hide in Bad Times: Or Should One Still Diversify Internationally? (July 1, 2016). Rotman School of Management Working Paper No. 2812623; 29th Australasian Finance and Banking Conference 2016. Available at SSRN: https://ssrn.com/abstract=2812623 or http://dx.doi.org/10.2139/ssrn.2812623

Han, Bing and Hirshleifer, David A., Social Transmission Bias and Active Investing (August 1, 2016). HKUST Finance Symposium 2016: Active Investing and Arbitrage Capital; Rotman School of Management Working Paper No. 2897801. Available at SSRN: https://ssrn.com/abstract=2897801 or http://dx.doi.org/10.2139/ssrn.2897801

Han, Bing and Hirshleifer, David A. and Walden, Johan, Visibility Bias in the Transmission of Consumption Beliefs and Undersaving (June 7, 2016). Rotman School of Management Working Paper No. 2798638. Available at SSRN: https://ssrn.com/abstract=2798638 or http://dx.doi.org/10.2139/ssrn.2798638

Haas, Marlene and Khapko, Mariana and Zoican, Marius, Speed and Learning in High-Frequency Auctions (March 2, 2016). Paris December 2016 Finance Meeting EUROFIDAI - AFFI . Available at SSRN: https://ssrn.com/abstract=2738071 or http://dx.doi.org/10.2139/ssrn.2738071

Hull, John C., Funding Long Shots (April 18, 2016). Rotman School of Management Working Paper No. 2773108. Available at SSRN: https://ssrn.com/abstract=2773108 or http://dx.doi.org/10.2139/ssrn.2773108

Huang, Shiyang and Xiong, Yan and Yang, Liyan, Skill Acquisition and Information Sales (November 2016). Rotman School of Management Working Paper No. 2870190. Available at SSRN: https://ssrn.com/abstract=2870190 or http://dx.doi.org/10.2139/ssrn.2870190

Golubov, Andrey and Xiong, Nan, Post-Acquisition Performance of Private Acquirers (September 6, 2016). European Corporate Governance Institute (ECGI) - Finance Working Paper No. 482/2016. Available at SSRN: https://ssrn.com/abstract=2834805 or http://dx.doi.org/10.2139/ssrn.2834805

Khapko, Mariana and Zoican, Marius, How Fast Should Trades Settle? (December 8, 2016). Society for Financial Studies (SFS) Cavalcade, 2017; EFA 2017 Mannheim Meetings Paper; Rotman School of Management Working Paper No. 2881331; Swedish House of Finance Research Paper No. 17-4. Available at SSRN: https://ssrn.com/abstract=2881331 or http://dx.doi.org/10.2139/ssrn.2881331

Malinova, Katya and Park, Andreas, Market Design with Blockchain Technology (May 30, 2016). Available at SSRN: https://ssrn.com/abstract=2785626 or http://dx.doi.org/10.2139/ssrn.2785626

Celerier, Claire and Kick, Thomas K. and Ongena, Steven R. G., Taxing Bank Leverage: The Effects on Bank Capital Structure, Credit Supply and Risk-Taking (August 26, 2016). Paris December 2018 Finance Meeting EUROFIDAI - AFFI. Available at SSRN: https://ssrn.com/abstract=2829326or http://dx.doi.org/10.2139/ssrn.2829326

Bjork, Tomas and Khapko, Mariana and Murgoci, Agatha, Time Inconsistent Stochastic Control in Continuous Time: Theory and Examples (December 19, 2016). Finance Stochastics, Forthcoming; Rotman School of Management Working Paper No. 2887328. Available at SSRN: https://ssrn.com/abstract=2887328

Khapko, Mariana, Asset Pricing with Dynamically Inconsistent Agents (September 28, 2015). Available at SSRN: https://ssrn.com/abstract=2854526 or http://dx.doi.org/10.2139/ssrn.2854526

Jeon, Yoontae and McCurdy, Thomas H., Time-Varying Window Length for Correlation Forecasts (November 24, 2017). Available at SSRN: https://ssrn.com/abstract=2734216 or http://dx.doi.org/10.2139/ssrn.2734216

• Boguth, Oliver and Simutin, Mikhail, Leverage Constraints and Asset Prices: Insights from Mutual Fund Risk Taking (May 11, 2015). Rotman School of Management Working Paper No. 2517704.

• Doidge, Craig and Karolyi, George Andrew and Stulz, René M., The U.S. Listing Gap (May 1, 2015). Charles A. Dice Center Working Paper No. 2015-07; Fisher College of Business Working Paper No. 2015-03-07. 

• Hull, John C. and White, Alan, Multi-Curve Modeling Using Trees (April 29, 2015). Rotman School of Management Working Paper No. 2601457. 

• Yang, Liyan and Zhu, Haoxiang, Back-Running: Seeking and Hiding Fundamental Information in Order Flows (April 22, 2015). Rotman School of Management Working Paper No. 2583915.

• Eiling, Esther and Kan, Raymond and Sharifkhani, Ali, Sectoral Labor Reallocation and Return Predictability (April 13, 2015). Rotman School of Management Working Paper No. 2602215.

• Booth, Laurence David, Estimating Discount Rates (April 8, 2015). SPP Research Paper, Volume 8 Issue 18  April 2015. 

• Cen, Ling and Danesh, Erfan and Ornthanalai, Chayawat and Zhao, Xiaofei, The Power of Economic Network: Investor Recognition Through Supply-Chain Relationships (March 1, 2015). Rotman School of Management Working Paper No. 2572717.

• Hasler, Michael and Ornthanalai, Chayawat, Fluctuating Attention and Contagion: Theory and Evidence from the U.S. Equity Market (February 2015). Rotman School of Management Working Paper No. 2551085.

• Han, Bing and Subrahmanyam, Avanidhar and Zhou, Yi, The Term Structure of Credit Spreads and the Cross-Section of Stock Returns (February 22, 2015). Rotman School of Management Working Paper No. 2560693.

• Kieschnick, Robert L. and Rotenberg, Wendy, Working Capital Management, the Credit Crisis, and Hedging Strategies: Canadian Evidence (February 20, 2015). Rotman School of Management Working Paper No. 2569411.

• Boulland, Romain and Dessaint, Olivier, Announcing the Announcement (February 19, 2015). 

• Christoffersen, Peter and Feunou, Bruno and Jeon, Yoontae, Option Valuation with Observable Volatility and Jump Dynamics (February 5, 2015). Rotman School of Management Working Paper No. 2494379. 

• Boulland, Romain and Ornthanalai, Chayawat and Womack, Kent L., Speed and Expertise in Stock Picking: Older, Slower, and Wiser? (February 1, 2015). Rotman School of Management Working Paper.

• Bereskin, Frederick L. and Kieschnick, Robert L. and Rotenberg, Wendy, Earnings Management over Time (January 29, 2015). Rotman School of Management Working Paper No. 2470705.

• Cao, Jie and Han, Bing and Tong, Qing and Zhan, Xintong, Option Return Predictability (December 6, 2015). Rotman School of Management Working Paper No. 2698267; 27th Annual Conference on Financial Economics and Accounting Paper; Rotman School of Management Working Paper No. 2698267. Available at SSRN: https://ssrn.com/abstract=2698267 or http://dx.doi.org/10.2139/ssrn.2698267

• Han, Bing and Han, Lu and Zhu, Guozhong, Housing Price and Fundamentals in a Transition Economy: The Case of the Beijing Market (September 23, 2015). Rotman School of Management Working Paper No. 2664817. Available at SSRN: https://ssrn.com/abstract=2664817 or http://dx.doi.org/10.2139/ssrn.2664817

• Han, Bing and Hirshleifer, David A., Social Transmission Bias and Investor Behavior (September 22 2015). Available at SSRN: https://ssrn.com/abstract=2663860 or http://dx.doi.org/10.2139/ssrn.2663860

• Doidge, Craig and Dyck, I.J. Alexander and Mahmudi, Hamed and Virani, Aazam, Collective Action and Governance Activism (July 26, 2015). Review of Finance, forthcoming. Available at SSRN: https://ssrn.com/abstract=2635662 or http://dx.doi.org/10.2139/ssrn.2635662

• Golubov, Andrey and Konstantinidi, Theodosia, Where Is the Risk in Value? Evidence From a Market-to-Book Decomposition (December 14, 2015). Journal of Finance, Forthcoming; 27th Annual Conference on Financial Economics and Accounting Paper; Rotman School of Management Working Paper No. 2702822. Available at SSRN: https://ssrn.com/abstract=2702822or http://dx.doi.org/10.2139/ssrn.2702822

• Dessaint, Olivier and Golubov, Andrey and Volpin, Paolo F., Employment Protection and Takeovers (June 16, 2015). Journal of Financial Economics (JFE), Forthcoming; Rotman School of Management Working Paper No. 2619028. Available at SSRN: https://ssrn.com/abstract=2619028 or http://dx.doi.org/10.2139/ssrn.2619028

• Bae, Joon Woo and Elkamhi, Redouane and Simutin, Mikhail, The Best of Both Worlds: Accessing Emerging Economies via Developed Markets (July 22, 2015). Journal of Finance, Forthcoming; Rotman School of Management Working Paper No. 2633557. Available at SSRN: https://ssrn.com/abstract=2633557 or http://dx.doi.org/10.2139/ssrn.2633557

• Billett, Matthew T. and Elkamhi, Redouane and Mauer, David C. and Pungaliya, Raunaq S., Bank Loan Price Reactions to Corporate Events: Evidence from Traded Syndicated Loans (January 2015). Kelley School of Business Research Paper No. 15-14. Available at SSRN: https://ssrn.com/abstract=2550296 or http://dx.doi.org/10.2139/ssrn.2550296

• Christoffersen, Susan E. and Danesh, Erfan and Musto, David K., Why Do Institutions Delay Reporting Their Shareholdings? Evidence from Form 13F (August 15, 2015). Rotman School of Management Working Paper No. 2661535; 27th Annual Conference on Financial Economics and Accounting Paper. Available at SSRN: https://ssrn.com/abstract=2661535 or http://dx.doi.org/10.2139/ssrn.2661535

• Cujean, Julien and Hasler, Michael, Term Structure of Disagreement and Predictability Over the Business Cycle (June 1, 2014). Rotman School of Management Working Paper No. 2506673. Available at SSRN: https://ssrn.com/abstract=2506673 or http://dx.doi.org/10.2139/ssrn.2506673

• Christoffersen, Susan Kerr and Musto, David K. and Wermers, Russ, Investor Flows to Asset Managers: Causes and Consequences (December 2014). Annual Review of Financial Economics, Vol. 6, pp. 289-310, 2014.

• Andrei, Daniel and Hasler, Michael, Optimal Asset and Attention Allocation (October 30, 2014). Rotman School of Management Working Paper No. 2516984.

• Ambachtsheer, Keith, The Case for Long-Termism (September 17, 2014). Rotman International Journal of Pension Management, Vol. 7, No. 2, 2014.

• Dutt, Nilanjana and Mitchell, Will, Identifying Search Space: Evidence from the Renewable Electricity Sector (September 19, 2014).

• Ambachtsheer, Keith, Editor Foreword - In Praise of Long-Termism (September 17, 2014). Rotman International Journal of Pension Management, Vol. 7, No. 2, 2014.

• Christoffersen, Peter and Lunde, Asger and Olesen, Kasper Vinther, Factor Structure in Commodity Futures Return and Volatility (September 8, 2014). Rotman School of Management Working Paper No. 2495779. 

• Han, Bing and Lu, Lei and Zhou, Yi, Two Trees with Heterogeneous Beliefs: Spillover Effect of Disagreement (September 8, 2014). Rotman School of Management Working Paper No. 2493831.

• Goyenko, Ruslan and Ornthanalai, Chayawat and Tang, Shengzhe, Trading Cost Dynamics of Market Making in Equity Options (September 6, 2014). Rotman School of Management Working Paper No. 2492506.
• Gospodinov, Nikolay and Kan, Raymond and Robotti, Cesare, Spurious Inference in Unidentified Asset-Pricing Models (August 1, 2014). FRB Atlanta Working Paper No. 2014-12; Rotman School of Management Working Paper No. 2580391.

• Cujean, Julien and Hasler, Michael, Term Structure of Disagreement and Predictability Over the Business Cycle (June 1, 2014). Rotman School of Management Working Paper No. 2506673.

• Bereskin, Frederick L., Hsu, Po-Hsuan and Rotenberg, Wendy, The Real Effects of Real Earnings Management: Evidence from Innovation (June 2014).

• Andrei, Daniel, Carlin, Bruce I. and Hasler, Michael, Model Disagreement and Economic Outlook (June 2014). NBER Working Paper No. w20190.

• Ambachtsheer, Keith, Editor Foreword - Fulfilling the Journal's Intended Purpose (May 2014). Rotman International Journal of Pension Management, Vol. 7, No. 1, 2014.

• Cen, Ling, Maydew, Edward L., Zhang, Liandong and Zuo, Luo, Customer-Supplier Relationships and Corporate Tax Avoidance (May 2014).

• Doshi, Hitesh, Elkamhi, Redouane and Simutin, Mikhail, Managerial Activeness and Mutual Fund Performance (April 2014). Rotman School of Management Working Paper No. 2426630.

• Hull, John C., The Changing Landscape for Derivatives (April 2014). Rotman School of Management Working Paper No. 2428983.

• Christoffersen, Peter and Pan, Xuhui (Nick), Equity Portfolio Management Using Option Price Information (April 2014). Rotman School of Management Working Paper No. 2419587.

• Christoffersen, Susan Kerr and Xu, Haoyu, Investor Attrition and Mergers in Mutual Funds (March 2014). Rotman School of Management Working Paper No. 2417091.

• Newton, David and Simutin, Mikhail, Of Age, Sex, and Money: Insights from Corporate Officer Compensation on the Wage Inequality between Genders (March 2014). Management Science, Forthcoming.

• Cen, Ling, Dasgupta, Sudipto, Elkamhi, Redouane and Pungaliya, Raunaq S., Reputation and Loan Contract Terms: The Role of Principal Customers (March 2014).

• Ambachtsheer, Keith,Helping Ontarians Save for Retirement: How the Province Could Adapt the Canada Supplementary Pension Plan (March 2014). C.D. Howe Institute Ebrief 172.

• Hull, John C., Sokol, Alexander and White, Alan,Modeling the Short Rate: The Real and Risk-Neutral Worlds(February 2014). Rotman School of Management Working Paper No. 2403067.

• Hull, John C. and White, Alan,A Generalized Procedure for Building Trees for the Short Rate (February 2014).

• Christoffersen, Peter and Pan, Xuhui (Nick), Oil Risk Exposure and Expected Stock Returns (February 2014).

• Broda, Simon A. and Kan, Raymond,On Distributions of Ratios (January 2014). Tinbergen Institute Discussion Paper 13-211/III.

• Goldstein, Itay and Yang, Liyan, Good Disclosure, Bad Disclosure (January 2014).

• Goldstein, Itay and Yang, Liyan,Market Efficiency and Real Efficiency: The Connect and Disconnect via Feedback Effects (January 2014). Rotman School of Management Working Paper No. 2378120.

• Hull, John C. and White, Alan, OIS Discounting and the Pricing of Interest Rate Derivatives (November 2013).

• Buti, Sabrina, Consonni, Francesco, Rindi, Barbara and Werner, Ingrid M., Sub-Penny and Queue-Jumping (November 2013). Fisher College of Business Working Paper No. 2013-03-18.

• Ambachtsheer, Keith,Editor Forward - Rethinking the Investment Paradigm (September 2013). Rotman International Journal of Pension Management, Vol. 6, No. 2, 2013.

• Buti, Sabrina, Rindi, Barbara, Wen, Yuanji and Werner, Ingrid M., Tick Size Regulation and Sub-Penny Trading (September 2013). Charles A. Dice Center Working Paper No. 2013-14; Fisher College of Business Working Paper No. 2013-03-14; Rotman School of Management Working Paper No. 2324862.

• Chemmanur, Thomas J., Ornthanalai, Chayawat and Kadiyala, Padmaja, Options on Initial Public Offerings (August 2013).

• Cen, Ling, Chen, Feng, Hou, Yu, and Richardson, Gordon D,Customer-Supplier Relationships and Strategic Disclosures of Litigation Loss Contingencies (August 2013).

• Christoffersen, Peter, Dorion, Christian, Jacobs, Kris and Karoui, Lotfi, Nonlinear Kalman Filtering in Affine Term Structure Models: Internet Appendix (August 2013).

• Hull, John C. and White, Alan, The Valuation of Market-Leveraged Stock Units (July 2013).

• Christoffersen, Peter, Errunza, Vihang R., Jacobs, Kris and Jin, Xisong, Correlation Dynamics and International Diversification Benefits (July 2013).

• Ambachtsheer, Keith and Bauer, Rob, Ten Strategies for Pension Funds to Better Serve Their Beneficiaries (June 2013).

• Andrei, Daniel and Hasler, Michael, Investor Attention and Stock Market Volatility (June 2013). Rotman School of Management Working Paper No. 2336073.

• Maheu, John M., McCurdy, Thomas H. and Zhao, Xiaofei, Do Jumps Contribute to the Dynamics of the Equity Premium? (June 2013). Journal of Financial Economics (JFE).

• Rotenberg, Wendy. Mitigation of U.S. Home Bias in the Valuation of Canadian Natural Resource Firms: Choice of Reporting and Transaction Currency (June 2013). Multionational Finance Journal (forthcoming).

• Christoffersen, Peter, Du, Du and Elkamhi, Redouane, Rare Disasters and Credit Market Puzzles (May 2013).

• Hull, John C. and White, Alan, Should a Derivatives Dealer Make a Funding Value Adjustment? (April 2013).

• Christoffersen, Peter, Jacobs, Kris, Jin, Xisong and Langlois, Hugues, Dynamic Dependence in Corporate Credit (April 2013).

• Cen, Ling, Wei, K. C. John and Yang, Liyan,Disagreement, Underreaction, and Stock Returns: A Decomposition Perspective of the Return Predictability of Analyst Forecast Dispersion (March 2013).

• Booth, Laurence David, Gounopoulos, Dimitrios and Skinner, Frank S., The Choice Among Non-Callable and Callable Bonds (March 2013).

• Christoffersen, Peter, Fournier, Mathieu and Jacobs, Kris, The Factor Structure in Equity Option Prices (Feb 2013).

• Zhou, Jun, Booth, Laurence David and Chang, Bin, Import Competition and Disappearing Dividends (February 2013). Journal of International Business Studies, Vol. 44, Issue 2, pp. 138-154, 2013.

• Hull, John C. and White, Alan,Collateral and Credit Issues in Derivatives Pricing (January 2013). Rotman School of Management Working Paper No. 2212953.

• Dyck, I. J. Alexander and Pomorski, Lukasz, Investor Scale and Performance in Private Equity Investments (December 2012). Rotman School of Management Working Paper No. 2192619.

• Gospodinov, Nikolay, Kan, Raymond and Robotti, Cesare, Robust Inference in Linear Asset Pricing Models (November 2012).

• De Roon, Frans A., Eiling, Esther, Gerard, Bruno and Hillion, Pierre, Currency Risk Hedging: No Free Lunch (October 2012). INSEAD Working Paper No. 2012/87/FIN.

• Hull, John C. and White, Alan, CVA and Wrong-Way Risk (September 2012). Financial Analysts Journal, Vol. 68, No. 5, 2012.

• Christoffersen, Peter, Errunza, Vihang R., Jacobs, Kris and Langlois, Hugues, Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach (May 2012).

• Christoffersen, Peter, Dorion, Christian, Jacobs, Kris and Karoui, Lotfi, Nonlinear Kalman Filtering in Affine Term Structure Models (May 2012).

• Christoffersen, Peter, Jacobs, Kris and Ornthanalai, Chayawat, GARCH Option Valuation: Theory and Evidence (May 2012).

• Wei, Jason Zhanshun and Yang, Liyan, Short-Term Momentum and Reversals in Large Stocks (May 2012).

• Wei, Jason Zhanshun and Zhou, Xing, Informed Trading in Corporate Bonds Prior to Earnings Announcements (April 2012).

• Kan, Raymond, Robotti, Cesare and Shanken, Jay A., Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology (April 2012). Journal of Finance, Forthcoming.

• Goldreich, David and Halaburda, Hanna, When Smaller Menus are Better: Variability in Menu-Setting Ability (December 2011).

• Christoffersen, Peter, Jacobs, Kris and Chang, Bo Young, Forecasting with Option Implied Information (December 2011).

• Dyck, I. J. Alexander, Lins, Karl V. and Pomorski, Lukasz,Does Active Management Pay? New International Evidence (November 2011).

• Andersen, Torben G., Bollerslev, Tim, Christoffersen, Peter and Diebold, Francis X., Financial Risk Measurement for Financial Risk Management (November 2011). PIER Working Paper No. 11-037.

• Christoffersen, Peter and Langlois, Hugues, The Joint Dynamics of Equity Market Factors (September 2011).

• Booth, Laurence and Chang, Bin, The Global Financial Crisis and the Performance of Target-Date Funds in the United States (September 2011). Rotman International Journal of Pension Management, Vol. 4, No. 2, p. 46, Fall 2011; Rotman School of Management Working Paper No. 1936012.

• Kamstra, Mark J., Kramer, Lisa A., Levi, Maurice D. and Wermers, Russ R., Seasonal Asset Allocation: Evidence from Mutual Fund Flows (August 2011).

• Goldstein, Itay and Yang, Liyan, Information Diversity and Market Efficiency Spirals (August 2011).

• Kamstra, Mark J., Kramer, Lisa A. and Levi, Maurice D., A Careful Re-Examination of Seasonality in International Stock Markets: Comment on Sentiment and Stock Returns (August 2011).

• Kramer, Lisa A. and Weber, J. Mark, This is Your Portfolio on Winter: Seasonal Affective Disorder and Risk Aversion in Financial Decision Making (July 2011). Social Psychological and Personality Science, 2011.

• Li, Yan and Yang, Liyan,The Asset Pricing Implications of Dividend Volatility (May 2011).

• Ambachtsheer, Keith, How Should Pension Funds Pay Their Own People? (April 2011). Rotman International Journal of Pension Management, Vol. 4, No. 1, pp. 18-25, 2011.

• Gospodinov, Nikolay, Kan, Raymond and Robotti, Cesare, Chi-Squared Tests for Evaluation and Comparison of Asset Pricing Models (March 2011).

• Kan, Raymond and Wang, Xiaolu, Seeking Positive Alpha (March 2011).

• Christoffersen, Peter, Goyenko, Ruslan, Jacobs, Kris and Karoui, Mehdi, Illiquidity Premia in the Equity Options Market (March 2011).

• Amaya, Diego, Christoffersen, Peter, Jacobs, Kris and Vasquez, Aurelio, Does Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns? (March 2011).

• Doidge, Craig, Karolyi, George Andrew and Stulz, Rene M., The U.S. Left Behind: The Rise of IPO Activity Around the World (March 2011).

• Easley, David and Yang, Liyan, Loss Aversion, Survival and Asset Prices (March 2011).

• Easley, David, O'Hara, Maureen and Yang, Liyan, Differential Access to Price Information in Financial Markets (March 2011).

• Han, Bing and Yang, Liyan, Information Acquisition, Social Network and Asset Prices (March 2011).

• Doidge, Craig and Dyck, I. J. Alexander,Taxes, Valuation, and Organizational Structure (February 2011).

• Goldstein, Itay, Li, Yan and Yang, Liyan, Speculation and Hedging in Segmented Markets (November 2010).

• Davydenko, Sergei A., What Triggers Default? A Study of the Default Boundary (November 2010). EFA 2005 Moscow Meetings Paper; AFA 2009 San Francisco Meetings Paper; WFA 2006 Keystone Meetings Paper.

• Hull, John C. and White, Alan, The Risk of Tranches Created from Mortgages (October 2010). Financial Analysts Journal, Vol. 66, No. 5, 2010.

• Easley, David, O'Hara, Maureen and Yang, Liyan, Differential Access to Price Information in Financial Markets (August 2010).

• Hull, John C. and White, Alan, An Improved Implied Copula Model and its Application to the Valuation of Bespoke CDO Tranches (July 2010). Journal of Investment Management, Third Quarter, 2010.

• Gospodinov, Nikolay, Kan, Raymond and Robotti, Cesare, Further Results on the Limiting Distribution of GMM Sample Moment Conditions (July 2010).

• Kamstra, Mark J., Kramer, Lisa A., Levi, Maurice D. and Wang, Tan, Seasonally Varying Preferences: Support from an Asset Pricing Model (June 2010).

• Buti, Sabrina, Rindi, Barbara and Werner, Ingrid M.,Diving into Dark Pools (June 2010).

• Konukoglu, A. Emre, Foreign Ownership and World Market Integration (June 2010).

• Christoffersen, Peter, Jacobs, Kris, and Ornthanalai, Chayawat, Time-Varying Jump Intensities and Fat Tail Dynamics: Evidence from S&P500 Returns and Options (May 2010).

• Li, Yan and Yang, Liyan, Learning Complementarities Through Hedging-Motivated Trades (March 2010).

• Gospodinov, Nikolay, Kan, Raymond and Robotti, Cesare, On the Hansen-Jagannathan Distance with a No-Arbitrage Constraint (March 2010).

• Zheng, Jinguo and Wei, Jason Zhanshun, Trading Activity and Bid-Ask Spreads of Individual Equity Options (February 2010).

• Callen, Jeffrey L., Khan, Mozaffar and Lu, Hai, Accounting Quality, Stock Price Delay and Future Stock Returns (February 2010).

• Zheng, Jinguo and Wei, Jason Zhanshun, Trading Activity and Bid-Ask Spreads of Individual Equity Options (February 2010).

• Christoffersen, Peter, Jacobs, Kris and Heston, Steven L., Option Anomalies and the Pricing Kernel (January 2010).

• Gospodinov, Nikolay, Robotti, Cesare and Kan, Raymond, On the Hansen-Jagannathan Distance with a No-Arbitrage Constraint (January 2010).

• Konukoglu, A. Emre, Uninformed Momentum Traders. (December 2009)

• Duan, Jin-Chuan,Clustered Defaults (December 2009).

• De Roon, Frans A., Eiling, Esther, Hillion, Pierre and Gerard, Bruno, International Portfolio Diversification: Currency, Industry and Country Effects Revisited (December 2009).

• Eiling, Esther, Gerard, Bruno and De Roon, Frans A., Euro-Zone Equity Returns: Country Versus Industry Effects (October 2009).

• Callen, Jeffrey L., Klein, April and Tinkelman, Daniel, The Contextual Impact of Nonprofit Board Composition and Structure on Organizational Performance: Agency and Resource Dependence Perspectives (September 2009).

• Hillier, Grant, Kan, Raymond and Wang, Xiaolu,Generating Functions and Short Recursions, with Applications to the Moments of Quadratic Forms in Noncentral Normal Vectors (May 2009).

• Duan, Jin-chuan and Wei, Jason Zhanshun, Systematic Risk and the Price Structure of Individual Equity Options (May 2009).

• Choy, Siu Kai and Wei, Jason Zhanshun, Option Trading: Information or Differences of Opinion? (April 2009).

• Wang, Kevin Q. and Xu, Jianguo, Market Volatility and Momentum (March 2009).

• Doidge, Craig Andrew, Karolyi, George Andrew and Stulz, Rene M., Why Do Foreign Firms Leave U.S. Equity Markets? (March 2009).

• Kan, Raymond, Robotti, Cesare and Shanken, Jay A.,Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology (March 2009).

• Kamstra, Mark J., Kramer, Lisa A. and Levi, Maurice D.,Opposing Seasonalities in Treasury Versus Equity Returns (March 2009).

• Kan, Raymond, Robotti, Cesare and Shanken, Jay A., Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology (February 2009).

• Wang, Kevin Q. and Xu, Jianguo, Market Volatility and Momentum (February 2009).

• Kan, Raymond and Robotti, Cesare, A Note of the Estimation of Asset Pricing Models Using Simple Regression Betas (January 2009).

• Yang, Liyan and Ganguli, Jayant V., Complementarities, Multiplicity, and Supply Information (September 2008). Journal of the European Economic Association, Vol. 7, No. 1, pp. 90-115, 2009.

• Kamstra, Mark J., Kramer, Lisa A. and Levi, Maurice D., Is it the Weather? Comment (September 2008).

• Callen, Jeffrey L. and Segal, Dan, A Variance Decomposition Primer for Accounting Researchers. (December 2008).

• Callen, Jeffrey L., Livnat, Joshua and Segal, Dan, The Impact of Earnings on the Pricing of Credit Default Swaps (December 2008).

• Kan, Raymond and Wang, Xiaolu, Distribution of the Sample Autocorrelation Coefficients (November 2008).

• Callen, Jeffrey L. and Segal, Dan, An Analytical and Empirical Measure of the Degree of Conditional Conservatism (November 2008).=

• Booth, Laurence and Zhou, Jun, Market Power and Dividend Policy: A Risk-Based Perspective (November 2008).

• Kan, Raymond and Zhou, Guofu, What Likely Range of My Wealth Will Be? (October 2008).

• Aivazian, Varouj A., Callen, Jeffrey L. and McCracken, Susan A., Experimental Tests of Core Theory and the Coase Theorem: Inefficiency and Cycling(September 2008).

• Doidge, Craig Andrew, Karolyi, George Andrew and Stulz, Rene M., Why Do Foreign Firms Leave U.S. Equity Markets? An Analysis of Deregistrations Under SEC Exchange Act Rule 12h-6 (August 2008).

• Sonmez Saryal, Fatma, Rethinking Idiosyncratic Volatility: Is it Really a Puzzle? (July 2008).

• Maheu, John M. and McCurdy, Thomas H., Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions? (June 2008).

• Booth, Laurence and Xu, Zhaoxia, Who Smoothes Dividends?. (February 2008)

• Wang, Kevin Q., Reversal Fear and Momentum (February 2008). 

• Cao, Melanie and Wei, Jason Zhanshun, Option Market Liquidity: Commonality and Other Characteristics  (January 2008).