Papers 2005

Working Papers 2005

The Persistence and Pricing of the Cash Component of Earnings
Patricia M. Dechow, Scott A. Richardson and Richard D. Sloan
Journal of Accounting Research, Vol 46, Issue 3, June 2008

Information (In) Efficiency in Prediction Markets
Erik Snowberg, Justin Wolfers and Eric Zitzewitz

Special Purpose Vehicles and Securitization
Gary Gorton and Nicholas S. Souleles

Facts and Fantasies about Commodity Futures
Gary Gorton and K. Geert Rouwenhorst
Financial Analysts Journal, Vol 62, Issue 2

The Book-to-Price Effect in Stock Returns: Accounting for Leverage
Stephen H. Penman, Scott A. Richardson and Irem Tuna
Journal of Accounting Research, Vol 45, Issue 2, May 2007

A Consumption-Based Explanation of Expected Stock Returns
Motohiro Yogo
The Journal of Finance, Vol 61, Issue 2, April 2006    

07-05 (Revision of paper 24-04)
Analyst Reputation, Conflict of Interest, and Forecast Accuracy
Lily Fang and Ayako Yasuda
(Published in the Review of Financial Studies)

Passive Decisions and Potent Defaults
James J. Choi, David Laibson, Brigitte C. Madrian and Andrew Metrick

Saving for Retirement on the Path of Least Resistance
James J. Choi, David Laibson, Brigitte C. Madrian and Andrew Metrick

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

The Congruence of Shareholder and Bondholder Governance
K. J. Martjin Cremers, Vinay B. Nair and Chenyang Wei

The Role of Banks in Takeovers
Victoria Ivashina, Vinay B. Nair, Anthony Saunders, Nadia Massoud and Roger Stover

Corporate Governance and Internal Organization
Vinay B. Nair

Why Do Public Firms Issue Private and Public Securities?
Armando Gomes and Gordon Phillips
Journal of Financial Intermediation, Vol 21, Issue 4, October 2012

The Neoclassical Theory of Investment in Speculative Markets
Stavros Panageas

Dequity: The Blurring of Debt and Equity in Securitized Real Estate Financing
Georgette Chapman Poindexter

Bank Credit Cycles
Gary B. Gorton and Ping He
The Review of Economic Studies, Vol 75, Issue 4, October 2008

Eat or Be Eaten: A Theory of Mergers and Merger Waves
Gary B. Gorton, Matthias Kahl and Richard Rosen

Vote Trading and Information Aggregation
Susan E. K. Christoffersen, Christopher C. Geczy, David K. Musto and Adam V. Reed
The Journal of Finance, Vol 62, Issue 6, December 2007

Interpretable Asset Markets?
Ravi Bansal, Varoujan Khatchatrian and Amir Yaron
European Economic Review, Vol 49, Issue 3, April 2005

Price Informativeness and Investment Sensitivity to Stock Price
Qi Chen, Itay Goldstein and Wei Jiang
The Review of Financial Studies, Vol 20, Issue 3, May 2007

Human Capital and Earnings Distribution Dynamics
Mark Huggett, Gustavo Ventura and Amir Yaron
Journal of Monetary Economics, Vol 53, Issue 2, March 2006

Debt Restructuring and Voting Rules
Philip Bond and Hulya Eraslan

Futures Prices in a Production Economy with Investment Constraints
Leonid Kogan, Dimitry Livdan and Amir Yaron

Persistence, Predictability and Portfolio Planning
Michael J. Brennan and Yihong Xia
Handbook of Quantitative Finance and Risk Management

An International Examination of Affine Term Structure Models and the Expectations Hypothesis
Huarong Tang and Yihong Xia
Journal of Financial and Quantitative Analysis, Vol 42, Issue 1, March 2007

Are Stars’ Opinions Worth More? The Relation between Analyst Reputation and Recommendation Values
Lily H. Fang and Ayako Yasuda
Journal of Financial Services Research, Vol 46, Issue 3, December 2014


The Effects of Biased Self Perception in Teams
Simon Gervais and Itay Goldstein

Solving Models with External Habit
Jessica A. Wachter
Financial Research Letters, Vol 2, Issue 4, December 2005

Let us Trade Pension Claims
Bernard Dumas and Juerg Syz

Asymmetric Information and Financing with Convertibles
Archishman Chakraborty and Bilge Yilmaz

Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence
Sean D. Campbell and Francis X. Diebold
Journal of Business and Economic Studies, Vol 27, Issue 2, August 2006

The Pecking Order, Debt Capacity, and Information
Mark T. Leary and Michael R. Roberts
Journal of Financial Economics, Vol 95, Issue 3, March 2010

A Dynamic Model for the Forward Curve
Choong Tze Chang, Dean Foster, Krishna Ramaswamy and Robert Stine
The Review of Financial Studies, Vol 21, Issue 1, January 2008

A Portfolio of Consumer Credit
David K. Musto and Nicholas Souleles
Journal of Monetary Economics, Vol 53, Issue 1, January 2006

Do Consumers Choose the Right Credit Contracts?
Sumit Agarwal, Souphala Chomsisengphet, Chunlin Liu and Nicholas Souleles
The Review of Corporate Finance Studies, Vol 4, Issue 2, September 2015

What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?
Bernard Dumas, Alexander Kurshev, and Raman Uppal