Papers 2006

Working Papers 2006

Demand-Based Option Pricing
Nicolae Garleanu, Lasse Heje Pedersen and Allen Poteshman
(The Review of Financial Studies, Volume 22, Issue 10, 1 October 2009)

Macroeconomic Derivatives: An Initial Analysis of Market-Based Macro Forecasts, Uncertainty and Risk
Refer S. Gurkaynak and Justin Wolfers

High-Water Marks: High Risk Apetites? Convex Compensation, Long Horizons and Portfolio Choice
Stavros Panageas and Mark. M. Westerfield
(The Journal of Finance, Vol 64, Issue 1, February 2009)

Capital Gains Taxes, Pricing Spreads and Arbitrage: Evidence from Cross-Listed Firms in the U.S.
Jennifer Blouin, Luzi Hail and Michelle Yetman
(The Accounting Review, Vol 84, Issue 5, September 2009)

Diagnosing Discrimination: Stock Returns and CEO Gender
Justin Wolfers
(Journal of the European Economic Association, Vol 4, Issue 2-3, April-May 2006)

Competing Approaches to Forecasting Elections: Economic Models, Opinion Polling and Prediction Markets
Andrew Leigh and Justin Wolfers
(Economic Record, Vol 82, Issue 258, September 2006)

Five Open Questions About Prediction Markets
Justin Wolfers and Eric Zitzewitz

Prediction Markets in Theory and Practice
Justin Wolfers

Asset Prices When Agents are Market-to-Market
Gary B. Gorton, Ping He and Lixin Huang

Agency-Based Asset Pricing
Gary B. Gorton and Ping He
(Journal of Economic Theory, Vol 149, January 2014)

Interpreting Prediction Market Prices as Probabilities
Justin Wolfers and Eric Zitzewitz

Does Firm Value Move Too Much to be Justified by Subsequent Changes in Cash Flow?
Borja Larrain and Motohiro Yogo
(Journal of Financial Economics, Vol 87, Issue 1, January 2008)

Equity Premia with Benchmark Levels of Consumption: Closed-Form Results
Andrew B. Abel

Valuation in Over-the-Counter Markets
Darrell Duffie, Nicolae Garleanu, Lasse Heje Pedersen
(The Review of Financial Studies, Vol 20, Issue 6, November 2007)

The Welfare Cost of Bank Capital Requirements
Skander Van den Heuvel
(Journal of Monetary Economics, Vol 55, Issue 2, March 2008)

Back to the Beginning: Persistence and the Cross-Section of Corporate Capital Structure
Michael L. Lemmon, Michael R. Roberts, and Jaime F. Zender
(The Journal of Finance, Vol 63, Issue 4, August 2008)

Evidence on the Tradeoff Between Risk and Return for IPO anmd SEO Firms
Alon Brav, Roni Michaely, Michael Roberts and Rebecca Zarutskie
(Financial Management, Vol 38, Issue 2, September 2009)

The Dividend Policies of Private Firms: Insights into Smoothing, Agency Costs and Information Asymmetry
Roni Michaely and Michael R. Roberts

Is Financial Contracting Costly? An Empirical Analysis of Debt Covenants and Corporate Investment
Sudheer Chava and Michael R. Roberts

Predatory Lending in a Rational World
Philip Bond, David k. Musto and Bilge Yilmaz

Takeover Defenses and Managerial Incentives under Alternative Legal Regimes
Richard E. Kihlstrom and Michael L. Wachter

Directors’ Ownership in the U. S. Mutual Fund Industry
Qi Chen, Itay Goldstein and Wei Jiang
(The Journal of Finance, Vol 63, Issue 6, December 2008)

Costly Communication, Shareholder Activism, and Limits to Arbitrage: Evidence from Closed-End Funds
Michael Bradley, Alon Brav, Itay Goldstein and Wei Jiang

The Benefits of Volume-Conditional Order-Crossing
Dean P. Foster, Simon Gervais and Krishna Ramaswamy

Stale or Sticky Stock Prices? Non-Trading, Predictability and Mutual Fund Returns
Marshall E. Blume and Donald B. Keim

Aggregate Shocks or Aggregate Information? Costly Information and Business Cycle Comovement
Laura Veldkamp and Justin Wolfers
(Journal of Monetary Economics, Vol 54, Supplement, September 2007)

Technological Growth, Asset Pricing and Consumption Risk
Stavros Panageas and Jianfeng Yu