Working Papers 2018

01-18
Size and Value in China
Jianan Liu, Robert F. Stambaugh and Yu Yuan

02-18
Fund Tradeoffs  (REVISED 2-17)
Lubos Pastor, Robert F. Stambaugh and Lucian A. Taylor

03-18
Does Borrowing from Banks Cost More than Borrowing from the Market?
Michael Schwert

04-18
Identification using Russell 1000/2000 index assignments:  A discussion of methodologies
Ian R. Appel, Todd A. Gormley and Donald B. Keim

05-18
Banking on Deposits:  Maturity Transformation without interest Rate Risk
Itamar Drechsler, Alexi Savov and Philipp Schnabl

06-18
Liquidity Creation as Volatility Risk
Itamar Drechsler, Alan Moreira and Alexi Savov

07-18
Who’s Paying Attention:  Measuring Common Ownership and Its Impact on Managerial Incentives
Erik Gilje, Todd A. Gormley and Doron Levit

08-18
Skill and Fees in Active Management
Robert F. Stambaugh

09-18
How Important are inflation Expectations for the Nominal Yield Curve
Roberto Gomez-Cram and Amir Yaron

10-18
Shifts in Sectoral Wealth Shares and Risk Premia:  What Explains Them?
Ravi Bansal, Colin Ward and Amir Yaron

11-18
Fearing the Fed:  How Wall Street Reads Main Street
Tzuo Hann Law, Dongho Song and Amir Yaron

12-18
Is Socially Responsible Investing a Luxury Good?
Ravi Bansal, Di (Andrew) Wu and Amir Yaron

13-18
Why Trade Over-the-Counter?
Tony Lee and Chaojun Wang

14-18
Equilibrium Asset Pricing with Price War Risks
Winston Wei Dou, Yan Ji and Wei Wu

15-18
Risk Factors that Matter:   Textual analysis of Risk Disclosures for the Cross-Section of Returns
Alejandro Lopez-Lira (PhD Candidate in Finance)