Papers 2004

Working Papers 2004

S&P 500 Indexers, Tracdking Errors and Liquidity
Marshall E. Blume and Roger M. Edelen
The Journal of Portfolio Management, Vol 30, Issue 3, Spring 2004

Investing in Socially Responsible Mutual Funds
Christopher C. Geczy, Robert F. Stambaugh and David Levin

Estimating the Benchmark Yield Curve – A New Approach Using Stochastic Frontier Functions
Gangadhar Darbha

Forecasting the Term Structure of Government Bond Yields
Francis X. Diebold and Canlin Li
Journal of Econometrics, Vol 130, Issue 2, February 2006

Financial Asset Returns, Direction-of-Change Forecasting and Volatility Dynamics
Peter F. Christoffersen and Francis X. Diebold
Management Science, Vol 52, Issue 8, February 2004

Parametric and Nonparametric Volatility Measurement
Torben G. Andersen, Tim Bollerslev and Francis X. Diebold

The Nobel Memorial Prize for Robert Engle
Francis X. Diebold
The Scandinavian Journal of Economics, Vol 106, Issue 2, June 2004

Overconfidence and Team Coordination
Simon Gervais and Itay Goldstein

Dynamic Portfolio Selection by Augmenting the Asset Space
Michael Brandt and Pedro Santa-Clara
The Journal of Finance, Vol 61, Issue 5, October 2006

Employees’ Investment Decisions about Company Stock
James Choi, David Laibson, Brigitte Madrian and Andrew Metrick

Consumption-Wealth Comovement of the Wrong Sign
James Choi, David Laibson, Brigitte Madrian and Andrew Metrick

Incentives vs. Control: An Analysis of the U. S. Dual-Class Companies
Paul A. Gompers, Joy Ishii and Andrew Metrick

SEC Regulation Fair Disclosure, Information, and the Cost of Capital
Armando Gomes, Gary Gorton and Leonardo Madureira
Journal of Corporate Finance, Vol 13, Issue 2-3, June 2007

Illiquidity and the Closed-End Country Fund Discounts
Ravi Jain, Yihong Xia and Matthew Qianli Wu

Asymmetric Information and Financing with Convertibles
Archishman Chakraborty and Bilge Yilmaz

The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach
Francis X. Diebold, Glenn D. Rudebusch and S. Boragan Aruoba
Journal of Econometrics, Vol 131, Issues 1-2, March-April 2006

International Differences in the Cost of Equity Capital: Do Legal Institutions and Securities Regulation Matter?
Luzi Hail and Christian Leuz
Journal of Accounting Research, Vol 44, Issue 3, June 2006

Firms’ Capital Allocation Choices, Information Quality and the Cost of Capital
Christian Leuz and Robert E. Verrecchia

Political Relationships, Global Financing and Corporate Transparency
Christian Leuz and Felix Oberholzer-Gee
Journal of Financial Economics, Vol 81, Issue 2, August 2006

Estimating the Gains from Trade in Limit Order Markets
Burton Hollifield, Robert A. Miller, Patrik Sandas and Joshua Slive
The Journal of Finance, Vol 61, Issue 6, December 2006

Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets
Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Clara Vega
Journal of International Economics, Vol 73, Issue 2, November 2007

Large Blocks of Stock: Prevalence, Size and Measurement
Jennifer Dlugosz, Rudiger Fahlenbrach, Paul Gompers and Andrew Metrick
Journal of Corporate Finance, Vol 12, Issue 3, June 2006

Estimating the Elasticity of Intertemporal Substitution When Instruments are Weak
Motohiro Yogo
Review of Economics and Statistics, Vol 86, Issue 3, August 2004

Analyst Reputation, Underwriting Pressure and Forecast Accuracy
Lily Fang and Ayako Yasuda
(Forthcoming, Review of Financial Studies)

Can Mutual Fund Managers Pick Stocks? Evidence From Their Trades Prior to Earnings Announcements
Malcolm Baker, Lubomir Litov, Jessica A. Wachter and Jeffrey Wurgler
Journal of Financial and Quantitative Analysis, Vol 45, Issue 5, October 2010

The Declining Equity Premium: What Role Does Macroeconomic Risk Play?
Martin lettau, Sydney C. Ludvigson and Jessica A. Wachter
The Review of Financial Studies, Vol 21, Issue 4, July 2008

A Consumption-Based Model of the Term Structure of Interest Rates
Jessica A. Wachter
Journal of Financial Economics, Vol 79, Issue 2, February 2006

Saving and Investing for Early Retirement: A Theoretical Analysis
Emmanuel Farhi and Stavros Panageas
Journal of Financial Economics, Vol 83, Issue 1, January 2007

The Long-term Return on the Original S&P 500 Firms
Jeremy J. Siegel and Jeremy D. Schwartz
Financial Analysts Journal, Vol 62, Issue 1

Taking a View: Corporate Speculation, Governance and Compensation
Christopher C. Geczy, Bernadette A. Minton and Catherine Schrand
The Journal of Finance, Vol 62, Issue 5, October 2007

Going Public: Public Debt or Public Equity?
Elazar Berkovitch, Ruth Gesser and Oded Sarig