 | Publications 2012 and forthcoming publications in major journals*
Self-Fulfilling Risk Panics, Ph. Bacchetta, C. Tille, and E. van Wincoop, American Economic Review, forthcoming.
On the Relative Pricing of Long Maturity Index Options and Collateralized Debt Obligations, P. Collin-Dufresne, R. Goldstein, and F. Yang, the Journal of Finance, forthcoming.
This Time is the Same: Using Bank Performance in 1998 to Explain Bank Performance During the Recent Financial Crisis, R. Fahlenbrach, R. Prilmeier, and R. Stulz, the Journal of Finance, forthcoming.
Hedge Fund Stock Trading in the Financial Crisis of 2007-2009, I. Ben-David, F. Franzoni, and R. Moussawi, the Review of Financial Studies, vol. 25(1), pp. 1-54, 2012.
Private Equity Performance and Liquidity Risk, F. Franzoni, E. Nowak, L. Phalippou, the Journal of Finance, forthcoming.
Nonparametric Instrumental Variable Estimation of Structural Quantile Effects, P. Gagliardini, O. Scaillet, Econometrica, forthcoming.
Endogenous Completeness of Diffusion Driven Equilibrium Markets, J. Hugonnier, S. Malamud, and E. Trubowitz, Econometrica, forthcoming.
Optimal Incentives and Securitization of Defaultable Assets, S. Malamud, H. Rui, and A. Whinston, the Journal of Financial Economic, forthcoming.
Corporate Governance and Capital Structure Dynamics, E. Morellec, B. Nikolov, and N. Schürhoff, the Journal of Finance, forthcoming.
Technical trading revisited: False discoveries, persistence tests, and transaction costs", P. Bajgrowicz and O. Scaillet, the Journal of Financial Economics, forthcoming.
Growth options, macroeconomic conditions, and the cross.section of credit risk, M. Arnold, A. Wagner, R. Westermann, the Journal of Financial Economics, forthcoming.
Real Options, Volatility, and Stock Returns, A. Zhdanov, G. Grullon, and Evgeny Lyandres, the Journal of Finance, forthcoming
Publications 2011*
Regulating Asset Price Risk, the American Economic Review, P. Bacchetta, C. Tille and E. van Wincoop, vol. 101(3), pp 410-412, 2011
Former CEO Directors: Lingering CEOs or Valuable Resources?, R. Fahlenbrach, B. Minton and C. Pan, vol. 24(10), pp 3486-3518, 2011
Bank CEO Incentives and the Credit Crisis, R. Fahlenbrach and R. M. Stulz, the Journal of Financial Economics, vol. 99(1), pp 11-26, 2011.
Efficient Derivative Pricing By The Extended Method of Moments, P. Gagliardini, Ch. Gouriéroux and Eric Renault, Econometrica, vol. 79, pp 1181-1232, 2011.
Global versus Local Asset Pricing: A New Test of Market Integration, H. Hau, the Review of Financial Studies, vol. 24(12), pp 3891-3940, 2011.
Verifying Competitive Equilibria in Dynamic Economies, F. Kübler, the Review of Economic Studies, vol. 78(4), pp 1379-1399, 2011.
Bond Ladders and Optimal Portfolios, Kenneth L. Judd, F. Kübler and K. Schmedders, the Review of Financial Studies, vol. 24, pp 4123-4166, 2011.
Price Impact and Portfolio Impact, S. Malamud, J. Cvitanic, the Journal of Financial Economics, vol. 100(1), pp 201-225, 2011.
Corporate Investment and Financing under Asymmetric Information, E. Morellec and N. Schürhoff, the Journal of Financial Economics, vol. 99, pp 262–288, 2011.
The price of liquidity: The effects of market conditions and bank characteristics, K. Nyborg, F. Fecht and J. Rocholl, the Journal of Financial Economics, vol. 142(2), pp 344-362, 2011.
Free Cash Flow, Issuance Costs, and Stock Prices, J-P. Decamps, T. Mariotti, J-C. Rochet, and S. Villeneuve, the Journal of Finance, vol. 66(5), pp 1501-1544, 2011.
Publications 2010*
Infrequent Portfolio Decisions: A Solution to the Forward Discount Puzzle, Ph. Bacchetta and E. van Wincoop, the American Economic Review, pp 870–904, 2010.
Exploring the Nature of 'Trader Intuition', A. J. Bruguier, S. R. Quartz, P. L. Bossaerts, the Journal of Finance, vol. 65(5), pp 1703-1723, 2010.
Ambiguity in Asset Markets: Theory and Experiment, P. L. Bossaerts, P. Ghirardato, S. Guarnaschelli and W. Zame, the Review of Financial Studies, vol. 23(4), pp 1325-1359, 2010.
Equilibrium Asset Pricing Under Heterogeneous Information, B. Biais, P. L. Bossaerts and C. Spatt, the Review of Financial Studies, vol. 23(4), pp 1503-1543, 2010.
Auctioned IPOs: The U.S. Evidence, F. Degeorge, F. Derrien and K. Womack, the Journal of Financial Economics, vol. 98(2), pp 177-194, 2010.
Why do firms appoint CEOs as outside directors?, R. Fahlenbrach, A. Low and R. Stulz, the Journal of Financial Economics, vol. 97(1), pp 12-32, 2010.
Performance Persistence in Institutional Investment Management, J. Busse, A. Goyal and S. Wahal, the Journal of Finance, vol. 65(2), pp.765-790, 2010.
Dynamic Investment and Financing under Personal Taxation, E. Morellec and N. Schürhoff, the Review of Financial Studies, vol. 23(1), pp 101-146, 2010.
False discoveries in mutual fund performance: Measuring luck in estimated alphas, L. Barras, O. Scaillet and R. Wermers, the Journal of Finance,vol. 65(1), pp 179-216, 2010.
Pricing American options under stochastic volatility and stochastic interest rates, A. Medvedev and O. Scaillet, the Journal of Financial Economics, vol. 98, pp 145–159, 2010.
Price Discovery in Illiquid Markets: Do Financial Asset Prices Rise Faster Than They Fall? N. Schürhoff, R. C. Green and D. Li, the Journal of Finance, vol. 65(5), pp 1669-1702, 2010.
Correlation Risk and Optimal Portfolio Choice, A. Buraschi, P. Porchia and F. Trojani, the Journal of Finance, vol. 65(1), pp 393-420, 2010.
Publications 2009*
Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market, A. Beber, M. W. Brandt, and K. Kavajecz, the Review of Financial Studies, vol. 22(3), pp 925-957, 2009.
Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility, B. Dumas, A. K. Urshev, R. Uppal, the Journal of Finance, vol. 64(2), pp 579-629, 2009.
Underinvestment vs. Overinvestment: Evidence from Price Reactions to Pension Contributions, F. Franzoni, the Journal of Financial Economics, vol. 92(3), pp 491-518, 2009.
Ambiguity Aversion and the Term Structure of Interest Rates, P.Gagliardini, P. Porchia and F. Trojani, the Review of Financial Studies, vol. 22(10), pp 4157-4188, 2009.
Cross-Section of Option Returns and Volatility, A. Goyal and A. Saretto, the Journal of Financial Economics, vol. 94(2), pp 310-326, 2009.
Risk Sharing, Finance, and Institutions in International Portfolios, M. Fratzscher and J. Imbs, the Journal of Financial Economics, vol. 94(3), pp 428-447, 2009.
Information Percolation with Equilibrium Search Dynamics, D. Duffie, S. Malamud and G. Manso, Econometrica, vol. 77(5), pp 1513–1574, 2009.
Asymmetric Information and Adverse Selection in Mauritian Slave Auctions, D. Georges, P. St-Amour and D. Vencatachellum, the Review of Economic Studies, vol. 76(4), pp 1269-1295, 2009.
Level Playing Fields in International Financial Regulation, A. Morrison and L. White, the Journal of Finance, vol. 64(3), pp 1099–1142, 2009.
Publications 2008*
A GARCH Option Pricing Model with Filtered Historical Simulation, G. Barone-Adesi, R. F. Engle and L. Mancini, the Review of Financial Studies, vol. 21(3), pp 1223-1258, 2008.
How Common are Common Return Factors Across Nyse and Nasdaq?, A. Goyal, C. Pérignon and C. Villa, the Journal of Financial Economic, vol. 90(3), pp 252-271, 2008.
Financing and takeovers, E. Morellec and A. Zhdanov, the Journal of Financial Economics, vol. 87, pp 556-581, 2008.
Stock returns in mergers and acquisitions, D. Hackbarth and E. Morellec, the Journal of Finance, vol. 63, pp 1203-1242, 2008.
Publications 2007*
Random Walk Expectations and the Forward Discount Puzzle, P. Bacchetta and E. van Wincoop, the American Economic Review, Papers and Proceedings, vol. 97, pp 346-350, 2007.
Prices and Allocations in Financial Markets: Theory, Econometrics, and Experiments, P. L. Bossaerts, C. Plott and W. Zame, Econometrica, vol. 75, pp 993-1038, 2007.
Heterogeneous Preferences and Equilibrium Trading Volume, T. Berrada, J. Hugonnier and M. Rindisbacher, the Journal of Financial Economics, vol. 83(3), 2007.
Analyst Hype in IPOs: Explaining the Popularity of Bookbuilding, F. Degeorge, François Derrien, Kent L. Womack, the Review of Financial Studies, vol.20(4), pp. 1021-1058, 2007.
Approximation and calibration of short-term implied volatilities under jump-diffusion stochastic volatility, A. Medvedev and O. Scaillet, the Review of Financial Studies, vol. 20, pp 427-459, 2007.
Financial Intermediation and the Costs of Trading in an Opaque Market, R. C. Green, B. Hollifield, and N. Schürhoff, the Review of Financial Studies, vol. 20(2), pp 275-314, 2007.
Dealer Intermediation and Price Behavior in the Aftermarket for New Bond Issues, R. C. Green, B. Hollifield, and N. Schürhoff, the Journal of Financial Economics, vol 86(3), pp 643-682, 2007.
Do vertical mergers facilitate upstream collusion? V. Nocke and L. White, the American Economic Review, vol. 97(4), 2007.
Why Does Implied Risk Aversion Smile?, A. Ziegler, the Review of Financial Studies, vol. 20(3), pp. 859-904, 2007.
Publications 2006*
Capital structure, credit risk, and macroeconomic conditions, D. Hackbarth, J. Miao, E. Morellec, the Journal of Financial Economics, vol. 82(3), pp 519-550, 2006.
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*The Scientific Council of the Swiss Finance Institute explicitly recognizes the Journal of Finance, the Journal of Financial Economics and the Review of Financial Studies as well as 5 economics journals (Econometrica, American Economic Review, Journal of Political Economy, Quarterly Journal of Economics and the Review of Economic Studies) as A-journals. While the SC also recognizes major publications published in other academic journals, the current list is restricted to publications in the above-named top-journals.
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