Papers 1999

Working Papers 1999

The High Volume Return Premium
Simon Gervais, Ron Kaniel, Dan Mingelgrin
(The Journal of Finance, Vol. 56, Issue 3, June 2001)

Is the Abnormal Return Following Equity Issuances Anomalous?
Alon Brav, Christopher Geczy, Paul A. Gompers
(Journal of Financial Economics, Vol. 56, Issue 2, May 2000)

The Social Security Trust Fund, the Riskless Interest Rate, and Capital Accumulation
Andrew B. Abel

Going Public with Asymmetric Information, Agency Costs, and Dynamic Trading
Armando Gomes

Multiple Large Shareholders in Corporate Governance
Armando Gomes

Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices
Suleyman Basak and Alex Shapiro
(The Review of Financial Studies, Vol. 14, Issue 2, April 2001)

Nonlinear Taxation, Tax Arbitrage and Equilibrium Asset Prices
Suleyman Basak and Benjamin Croitoru
(Journal of Mathematical Economics, Vol. 35, Issue 2, April 2001)

The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings
Gabriel Hawawini, Donald B. Keim
(Security Market Imperfections in Worldwide Equity Markets, Cambridge University Press, 2000)

Organizational Design Choices in Retail Banking
Venky Nagar

Quantitative Asset Pricing Implications of Endogenous Solvency Constraints
Fernando Alvarez, Urban J. Jermann
(The Review of Financial Studies, Vol. 14, Issue 4, October 2001)

Mutual Fund Returns and Market Microstructure
Mark M. Carhart, Ron Kaniel, David K. Musto, Adam Reed

Econometric Models of Limit-Order ExecutionsEconometric Models of Limit-Order Executions
Andrew W. Lo, A. Craig MacKinlay, June Zhang
(Journal of Financial Economics, Vol 65, Issue 1, July 2002)

Asset Pricing Models: Implications for Expected Returns and Portfolio Selection
A. Craig MacKinlay, Lubos Pastor
(The Review of Financial Studies, Vol. 13,Issue 4, October 2000)

[PUBLISHED] #14-99
Adverse Selection and Competitive Market Making: Empirical Evidence from a Pure Limit Order Market
Patrik Sandas
Review of Financial Studies, Volume 14, 2001, pp. 705-734 [abstract]

[PUBLISHED] #15-99
Imperfect Market Monitoring and SOES Trading
Thierry Foucalt, Ailsa Roell, Patrik Sandas

Comparing Asset Pricing Models: An Investment Perspective
Lubos Pastor, Robert F. Stambaugh
(Journal of Financial Economics, Vol. 56, Issue 3, June 2000)

Equilibrium Mispricing in a Capital Market with Portfolio Constraints
Suleyman Basak, Benjamin Croitoru
(The Review of Financial Studies, Vol. 13, Issue 3, July 2000)

Should Investors Avoid All Actively Managed Mutual Funds? A Study in Bayesian Performance Evaluation
Klaas Baks, Andrew Metrick, Jessica Wachter
(The Journal of Finance, Vol. 56, Issue 1, December 2000)

Estimating the Returns to Insider Trading
Leslie A. Jeng, Andrew Metrick, Richard Zeckhauser
(The Review of Economics and Statistics, Vol 85, Issue 2, May 2003)

Institutional Investors and Equity Prices
Paul A. Gompers, Andrew Metrick
(The Quarterly Journal of Economics, Vol. 116, Issue 1, February 2001)

A Theory of Negotiations and Formation of Coalitions
Armando Gomes

On the Formation and Structure of International Exchanges
Matthew J. Clayton, Bjorn N. Jorgensen, Kenneth A. Kavajecz

[PUBLISHED} #23-99
Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence
Alon Brav, George Constantinides, Christopher Geczy
Journal of Political Economcy (2002) Vol. 110, No. 4, pp. 793-824

Household Securities Purchases, Transactions Costs, and Hedging Motives
Nicholas S. Souleles

The wildcard option in transaction mutual-fund shares
John M.R. Chalmers, Roger M. Edelen, Gregory B. Kadlec

Aggregate Prixe Effects of Institutional Trading: A Study of Mutual Fund Flow and Market Returns
Roger M. Edelen, Jerold B. Warner
(Journal of Financial Economics, Vol. 59, Issue 2, February 2001)

Mutual fund trading costs
John M.R. Chalmers, Roger M. Edelen, Gregory B. Kadlec

Choices Among Alternative Risk Management Strategies: Evidence from the Natural Gas Industry
Christopher C. Geczy, Bernadette A. Minton, and Catherine Schrand

An Empirical Analysis of Limit Order Markets
Burton Hollifield, Robert A. Miller, patrik Sandas
(The Review of Economic Studies, Vol. 71, Issue 4)