Working Papers 2004
01-04
S&P 500 Indexers, Tracdking Errors and Liquidity
Marshall E. Blume and Roger M. Edelen
[abstract]
The Journal of Portfolio Management, Vol 30, Issue 3, Spring 2004
02-04
Investing in Socially Responsible Mutual Funds
Christopher C. Geczy, Robert F. Stambaugh and David Levin
[abstract]
03-04
Estimating the Benchmark Yield Curve – A New Approach Using Stochastic Frontier Functions
Gangadhar Darbha
[abstract]
04-04
Forecasting the Term Structure of Government Bond Yields
Francis X. Diebold and Canlin Li
[abstract]
Journal of Econometrics, Vol 130, Issue 2, February 2006
05-04
Financial Asset Returns, Direction-of-Change Forecasting and Volatility Dynamics
Peter F. Christoffersen and Francis X. Diebold
[abstract]
Management Science, Vol 52, Issue 8, February 2004
06-04
Parametric and Nonparametric Volatility Measurement
Torben G. Andersen, Tim Bollerslev and Francis X. Diebold
[abstract]
07-04
The Nobel Memorial Prize for Robert Engle
Francis X. Diebold
[abstract]
The Scandinavian Journal of Economics, Vol 106, Issue 2, June 2004
08-04
Overconfidence and Team Coordination
Simon Gervais and Itay Goldstein
[abstract]
09-04
Dynamic Portfolio Selection by Augmenting the Asset Space
Michael Brandt and Pedro Santa-Clara
[abstract]
The Journal of Finance, Vol 61, Issue 5, October 2006
10-04
Employees’ Investment Decisions about Company Stock
James Choi, David Laibson, Brigitte Madrian and Andrew Metrick
[abstract]
11-04
Consumption-Wealth Comovement of the Wrong Sign
James Choi, David Laibson, Brigitte Madrian and Andrew Metrick
[abstract]
12-04
Incentives vs. Control: An Analysis of the U. S. Dual-Class Companies
Paul A. Gompers, Joy Ishii and Andrew Metrick
[abstract]
13-04
SEC Regulation Fair Disclosure, Information, and the Cost of Capital
Armando Gomes, Gary Gorton and Leonardo Madureira
[abstract]
Journal of Corporate Finance, Vol 13, Issue 2-3, June 2007
14-04
Illiquidity and the Closed-End Country Fund Discounts
Ravi Jain, Yihong Xia and Matthew Qianli Wu
[abstract]
15-04
Asymmetric Information and Financing with Convertibles
Archishman Chakraborty and Bilge Yilmaz
[abstract]
16-04
The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach
Francis X. Diebold, Glenn D. Rudebusch and S. Boragan Aruoba
[abstract]
Journal of Econometrics, Vol 131, Issues 1-2, March-April 2006
17-04
International Differences in the Cost of Equity Capital: Do Legal Institutions and Securities Regulation Matter?
Luzi Hail and Christian Leuz
[abstract]
Journal of Accounting Research, Vol 44, Issue 3, June 2006
18-04
Firms’ Capital Allocation Choices, Information Quality and the Cost of Capital
Christian Leuz and Robert E. Verrecchia
[abstract]
19-04
Political Relationships, Global Financing and Corporate Transparency
Christian Leuz and Felix Oberholzer-Gee
[abstract]
Journal of Financial Economics, Vol 81, Issue 2, August 2006
20-04
Estimating the Gains from Trade in Limit Order Markets
Burton Hollifield, Robert A. Miller, Patrik Sandas and Joshua Slive
[abstract]
The Journal of Finance, Vol 61, Issue 6, December 2006
21-04
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets
Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Clara Vega
[abstract]
Journal of International Economics, Vol 73, Issue 2, November 2007
22-04
Large Blocks of Stock: Prevalence, Size and Measurement
Jennifer Dlugosz, Rudiger Fahlenbrach, Paul Gompers and Andrew Metrick
[abstract]
Journal of Corporate Finance, Vol 12, Issue 3, June 2006
23-04
Estimating the Elasticity of Intertemporal Substitution When Instruments are Weak
Motohiro Yogo
[abstract]
Review of Economics and Statistics, Vol 86, Issue 3, August 2004
24-04
Analyst Reputation, Underwriting Pressure and Forecast Accuracy
Lily Fang and Ayako Yasuda
(Forthcoming, Review of Financial Studies)
[abstract]
25-04
Can Mutual Fund Managers Pick Stocks? Evidence From Their Trades Prior to Earnings Announcements
Malcolm Baker, Lubomir Litov, Jessica A. Wachter and Jeffrey Wurgler
[abstract]
Journal of Financial and Quantitative Analysis, Vol 45, Issue 5, October 2010
26-04
The Declining Equity Premium: What Role Does Macroeconomic Risk Play?
Martin lettau, Sydney C. Ludvigson and Jessica A. Wachter
[abstract]
The Review of Financial Studies, Vol 21, Issue 4, July 2008
27-04
A Consumption-Based Model of the Term Structure of Interest Rates
Jessica A. Wachter
[abstract]
Journal of Financial Economics, Vol 79, Issue 2, February 2006
28-04
Saving and Investing for Early Retirement: A Theoretical Analysis
Emmanuel Farhi and Stavros Panageas
[abstract]
Journal of Financial Economics, Vol 83, Issue 1, January 2007
29-04
The Long-term Return on the Original S&P 500 Firms
Jeremy J. Siegel and Jeremy D. Schwartz
[abstract]
Financial Analysts Journal, Vol 62, Issue 1
30-04
Taking a View: Corporate Speculation, Governance and Compensation
Christopher C. Geczy, Bernadette A. Minton and Catherine Schrand
[abstract]
The Journal of Finance, Vol 62, Issue 5, October 2007
31-04
Going Public: Public Debt or Public Equity?
Elazar Berkovitch, Ruth Gesser and Oded Sarig
[abstract]