Publications
Department of Economics and Finance, list of recent publications.
Search links
Institutional rankings: by number of papers in top 4 Finance journals.
EconLibrary.com: search more than 100 Finance journals by author or title.
Recent and Forthcoming Publications:
2006 and forthcoming
| Author(s) | Article | Year | Journal |
| Linda Allen, Turan Bali | Cyclicality in Catastrophic and Operational Risk Measurements | 2006 or fothcoming | Journal of Banking and Finance |
| Turan Bali, Ozgur Demirtas, Armen Hovakimian, John Merrick | Peer Pressure: Industry Group Impacts on Stock Valuation Precision and Contrarian Strategy Performance | 2006 | Journal of Portfolio Management |
| Turan Bali, N. Cakici |
Aggregate Idiosyncratic Risk and Market Returns | 2006 or forthcoming | Journal of Investment Management |
| Turan Bali, D. Weinbaum |
A Conditional Extreme Value Volatility Estimator Based on High-Frequency Returns | 2006 or forthcoming | Journal of Economic Dynamics and Control |
| Turan Bali, Lin Peng |
Is There a Risk-Return Tradeoff? Evidence from High-Frequency Data | 2006 or forthcoming | Journal of Applied Econometrics |
| Turan Bali, Liuren Wu |
A Comprehensive Analysis of the Short-Term Interest Rate Dynamics | 2006 or forthcoming |
Journal of Banking and Finance |
| Turan Bali | Modeling the Dynamics of Interest Rate Volatility with Skewed Fat-Tailed Distributions | 2006 or forthcoming |
Annals of Operations Research |
| Turan Bali, P. Theodossiou |
A Conditional-SGT-VaR Approach with Alternative GARCH Models | 2006 or forthcoming |
Annals of Operations Research |
| Turan Bali, T. Thurston |
Inflation Shoe Leather Costs and Average Inflation Rates Across Countries | 2006 or forthcoming |
Journal of International Money and Finance |
| Turan Bali, N. Cakici |
Idiosyncratic Volatility and the Cross-Section of Expected Returns | 2006 or fothcoming | Journal of Financial and Quantitative Analysis |
| Turan Bali | An Extreme Value Approach to Estimating Interest Rate Volatility: Pricing Implications for Interest Rate Options | 2006 or fothcoming | Management Science |
| Turan Bali, B. Liang, S. Gokcan | Value at Risk and the Cross-Section of Hedge Fund Returns | 2006 or fothcoming | Journal of Banking and Finance |
| Turan Bali, Ozgur Demirtas | Small Sample Bias in Panel Data | 2006 or fothcoming | Finance Letters |
| Archishman Chakraborty, N. Gupta, R. Harbaugh |
Best Foot Forward or Best For Last in Sequential Auctions | 2006 | Rand Journal of Economics |
| Gayle DeLong, Robert DeYoung | Learining by observing: Information spillovers in the execution and valuation of commercial bank M&As | 2006 or forthcoming | Journal of Finance |
| Giora Harpaz, A. Harel |
Fair Actuarial Values for Deductible Insurance Policies in the Presence of Parameter Uncertainty | 2006 or forthcoming | International Journal of Theoretical and Applied Finance |
| Armen Hovakimian | Are observed capital structures determined by equity market timing? | 2006 | Journal of Financial and Quantitative Analysis |
| Ted Joyce, R. Kaestner, S. Colman | Changes in Abortions and Births Following Texas's Parental Notification Law | 2006 | New England Journal of Medicine |
| Kenneth Mischel | Judeophobia, Art and the Holocaust Imagination | 2006 | Society |
| Kenneth Mischel | On Metaphors and Current Affairs | 2006 | Nativ |
| Lin Peng, A. Roell |
Executive Pay, Earnings Manipulation and Shareholder Lawsuits | 2006 or forthcoming | Review of Finance |
| Lin Peng, T. Bollerslev, W. Xiong |
Investor Attention and Time-Varying Comovements | 2006 or forthcoming | European Financial management |
| Joel Rentzler, Kishore Tandon, S. Yu | Intraday Price Reversal Patterns in Currency Futures Market: Impact of GLOBEX and Euro | 2006 | Journal of Futures Markets |
| Joel Rentzler, Kishore Tandon, S. Yu | Short-term Market Efficiency in the futures markets: TOPIX Futures and 10-Year JGB Futures | 2006 | Global Finance Journal |
| Robert Schwartz, R. Francioni, B. W. Weber | Decision-Making in Equity Trading: Using Simulation to Get a Grip | 2006 | Journal of Trading |
| Robert Schwartz, P. Davis, M. S. Pagano | Where are Trades Made in a Fast Market Environment? Life after the Big Board Goes Electronic | 2006 or fothcoming | Financial Analysts Journal |
| Kishore Tandon, Gwen Webb, K. Chern, S. Yu | Informational Content of Stock Splits Announcements: Optioned Splitting Firms versus Non-optioned Splitting Firms | 2006 | Journal of Banking and Finance |
| Ashok Vora, G. Hawawini | A Brief History of Yield Approximations | 2006 or forthcoming | Pioneers of Finance |
| Jun Wang, T. Noe, M. Rebello | The evolution of security designs | 2006 | Journal of Finance |
| Jun Wang, J. Nam, G. Zhang | Strategic trading against retail investors with loss aversion | 2006 or fothcoming | International Review of Economics and Finance |
| Liuren Wu, P. Carr | Stochastic Skew in Currency Options | 2006 or forthcoming | Journal of Financial Economics |
| Liuren Wu, E. Pan | Taking Positive Interest Rates Seriously | 2006 or forthcoming | Advances in Quantitative Analysis of Finance and Accounting |
| Liuren Wu | Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns | 2006 | Journal of Business |
| Liuren Wu, P. Carr | A Tale of Two Indices | 2006 | Journal of Derivatives |
| Liuren Wu | Modeling Financial Security Returns Using Levy Processes | 2006 | Handbook of Financial Engineering |
2005
| Author(s) | Article | Year | Journal |
| Turan Bali, N. Cakici, X. Yan, and Z. Zhang |
Does Idiosyncratic Risk Really Matter? | 2005 | Journal of Finance |
| Turan Bali, D. Weinbaum |
The Empirical Performance of Alternative Extreme-Value Volatility Estimators | 2005 | Journal of Futures Markets |
| Archishman Chakraborty, A. Citana |
Occupational Choice, Incentives and Wealth Distribution | 2005 | Journal of Economic Theory |
| Archishman Chakraborty, R. Harbaugh |
Comparative cheap talk | 2005 | Journal of Economic Theory |
| Jack Francis, R. Ibbottson |
Financial Holding Companies | 2005 | Journal of Financial Literature |
| Charlotte Hansen, B. Tuypens |
Proxying for Expected Returns with Price Earnings Ratios | 2005 | Finance Letters |
| Giora Harpaz, A. Harel |
The Pricing of the CME$INDEX Futures Contracts | 2005 | Risk Letters |
| Giora Harpaz, A. Harel, J. Yagil |
Forecasting Futures Returns in the Presence of Price Limits | 2005 | Journal of Futures Markets |
| Susan Ji, J. Griffin, J.S. Martin |
Global Momentum Strategies: A Portfolio Perspective | 2005 | Journal of Portfolio Management |
| Ted Joyce, D. Gibson, S. Colman | The Changing Association between Prenatal Participation in WIC and Birth Outcomes in New York City | 2005 | Journal of Policy Analysis and Management |
| Ted Joyce, A. Racine | CHIP Shots: Association between the State Children's Health Insurance Program and Immunization Rates | 2005 | Pediatrics |
| Terrence F. Martell, A.Anand, S. Chakravarty |
Empirical Evidence on the Evolution of Liquidity: Choice of Market versus Limit Orders by Informed and Uninformed Traders | 2005 | Journal of Financial Markets |
| Terrence F. Martell, H. Lamle |
New Era for Commodity Investments | 2005 | Journal of Financial Transformation |
| John J. Merrick | Evaluating Price Signals from the Bond Markets | 2005 | Managing Volatility and Crises: A Practitioner’s Guide, J. Aizenman and B. Pinto, eds. |
| John J. Merrick, N.Y. Naik, P.K. Yadav |
Strategic trading behavior and price distortion in a manipulated market: Anatomy of a squeeze | 2005 | Journal of Financial Economics |
| Lin Peng, Wei Xiong |
Investor Attention, Overconfidence and Category Learning | 2006 | Journal of Financial Economics |
| Lin Peng | Learning with Information Capacity Constraints | 2005 | Journal of Financial and Quantitative Analysis |
| Robert Schwartz, M. Pagano |
Nasdaq’s Closing Cross | 2005 | Journal of Portfolio Management |
| Robert Schwartz, J. A. Byrne, A. Colaninno |
Electronic vs. Floor Based Trading | 2005 | Editors, Kluwer Academic Publishers |
| Robert Schwartz, J. A. Byrne, A. Colaninno |
Coping with Institutional Order Flow | 2005 | Editors, Kluwer Academic Publishers |
| Avner Wolf, J. Grant, S. Yu |
Intraday Price Reversals in the U.S. Stock Index Futures | 2005 | Journal of Banking and Finance |
| Liuren Wu, S. Foresi | Crash-O-Phobia: A Domestic Fear or A Worldwide Concern? | 2005 | Journal of Derivatives |
| Rui Yao, H. Zhang |
Optimal Consumption and Portfolio Choices with Risky Housing and Borrowing Constraints | 2005 | Review of Financial Studies |
2004
| Author(s) | Article | Year | Journal |
| Linda Allen, A. Saunders |
Incorporating Systemic Influences Into Risk Measurements: A Survey of the Literature | 2004 | Journal of Financial Services Research |
| Linda Allen, J. Boudoukh, A. Saunders |
Understanding Market, Credit and Operational Risk: The Value at Risk Approach | 2004 | Blackwell Publishing |
| Linda Allen, Gayle DeLong, A. Saunders |
Issues in the Credit Risk Modeling of Retail Markets | 2004 | Journal of Banking and Finance |
| Linda Allen, J. Jagtiani, S. Peristiani, A. Saunders |
The Role of Commercial Bank Advisors in Mergers and Acquisitions | 2004 | Journal of Money, Credit and Banking |
| Linda Allen, Turan Bali, Y. Tang |
Cyclicality in the Catastrophic Risk of Financial Institutions | 2004 | Operational Risk Modeling and Analysis: Theory and Practice, ed. M. Cruz |
| Turan Bali, N. Cakici |
Value at Risk and Expected Stock Returns | 2004 | Financial Analysts Journal |
| Turan Bali, S. Gokcan |
Alternative Approaches to Estimating VaR for Hedge Fund Portfolios | 2004 | Intelligent Hedge Fund Investing, ed. B. Schachter |
| Archishman Chakraborty, B. Yilmaz |
Informed Manipulation | 2004 | Journal of Economic Theory |
| Archishman Chakraborty, B. Yilmaz |
Manipulation in a Market Order Model | 2004 | Journal of Financial Markets |
| Gayle DeLong, C. Buch | Cross-Border Bank Mergers: What Lures the Rare Animal? | 2004 | Journal of Banking and Finance |
| Gayle DeLong | The Announcement Effects of US versus Non-US Bank Mergers: Do They Differ? | 2004 | Journal of Financial Research |
| Giora Harpaz, A. Harel |
The Valuation of Indexed Bonds | 2004 | Finance Letters |
| Giora Harpaz, A. Harel |
A Bayesian Estimator for Time Varying Betas | 2004 | Finance Letters |
| Armen Hovakimian, G. Hovakimian, H. Tehranian |
Determinants of target capital structure: The case of dual debt and equity issues | 2004 | Journal of Financial Economics |
| Armen Hovakimian | The role of target leverage in security issues and repurchases | 2004 | Journal of Business |
| Joel Rentzler, Avner Wolf, S. Yu |
Long-Short Strategies May not be Factor Neutral | 2004 | Journal of Investing |
| Robert Schwartz, P. Handa, A. Tiwari |
The Economic Value of a Trading Floor: Evidence from the American Stock Exchange | 2004 | Journal of Business |
| Robert Schwartz, J. A. Byrne, A. Colaninno |
A Trading Desk’s View of Market Quality | 2004 | Editors, Kluwer Academic Publishers |
| Robert Schwartz, R. Francioni |
Equity Markets In Action: The Fundamentals of Liquidity, Market Structure and Trading | 2004 | John Wiley & Sons |
| Jun Wang, T. Noe |
Fooling all of the people some of the time: A theory of endogenous sequencing in confidential negotiations | 2004 | Review of Economic Studies |
| Liuren Wu, P. Carr |
Time-changed Levy processes and option pricing | 2004 | Journal of Financial Economics |
| Liuren Wu, J. Huang |
Specification Analysis of Option Pricing Models Based on Time-Changed Lévy Processes | 2004 | Journal of Finance |
