 | Publications 2013 and and forthcoming publications in major journals*
Do implicit barriers matter for globalization, I. Chaieb, F.Carrieri and V. Errunza, Review of Financial Studies, forthcoming.
CEO Contract Design: How Do Strong Principals Do It?, with H. Cronqvist and R. Fahlenbrach, Journal of Financial Economics, forthcoming.
The Term Structure of Interbank Risk, D. Filipovic and A. B. Trolle, Journal of Financial Economics, forthcoming.
Do hedge funds manipulate stock prices?, with F. Franzoni, I. Ben-David, A. Landier, and R. Moussawi, Journal of Finance, forthcoming.
Preferences for Truthfulness: Heterogeneity Among and Within Individuals, R. Gibson, C. Tanner and A. F. Wagner, American Economic Review, forthcoming.
Optimal Incentives and Securitization of Defaultable Assets, S. Malamud, H. Rui, and A. Whinston, Journal of Financial Economics, vol. 107, pp 111-135, 2013.
Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums, L. Mancini, A. Ranaldo, and J. Wrampelmeyer, Journal of Finance, forthcoming.
Growth options, macroeconomic conditions, and the cross.section of credit risk, M. Arnold, A. Wagner, R. Westermann, the Journal of Financial Economics, forthcoming.
Publications 2012
Self-Fulfilling Risk Panics, Ph. Bacchetta, C. Tille, and E. van Wincoop, American Economic Review, vol. 102, pp 3674-3700, 2012
On the Relative Pricing of Long Maturity Index Options and Collateralized Debt Obligations, P. Collin-Dufresne, R. Goldstein, and F. Yang, Journal of Finance, vol. 67(6), pp 1983-2014, 2012.
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, vol. 67(6), pp 2139-2185, 2012.
2012, Institutional Investors and Mutual Fund Governance: Evidence from Retail - Institutional Fund Twins, with R. B. Evans and R. Fahlenbrach, Review of Financial Studies, vol. 25, pp 3530-3571, 2012.
Hedge Fund Stock Trading in the Financial Crisis of 2007-2009, I. Ben-David, F. Franzoni, and R. Moussawi, Review of Financial Studies, vol. 25(1), pp 1-54, 2012.
Private Equity Performance and Liquidity Risk, F. Franzoni, E. Nowak, L. Phalippou, Journal of Finance, vol. 67(6), pp 2341-2373, 2012.
Nonparametric Instrumental Variable Estimation of Structural Quantile Effects, P. Gagliardini, O. Scaillet, Econometrica, vol. 80(4), pp 1533-1562, 2012.
Endogenous Completeness of Diffusion Driven Equilibrium Markets, J. Hugonnier, S. Malamud, and E. Trubowitz, Econometrica, vol. 80(3), pp 1249-1270, 2012.
Health and (other) Asset Holdings, J. Hugonnier, F. Pelgrin and P. St-Amour, Review of Economic Studies, vol. 0, pp 1-48, 2012.
Corporate Governance and Capital Structure Dynamics, with E. Morellec, B. Nikolov and N. Schürhoff, Journal of Finance, vol. 67(3), pp. 803-848, 2012.
Financial Innovations and Asset Price Volatility, F. Kübler and K. Schmedders, American Economic Review, vol. 102(3), pp 147-151, 2012.
Technical trading revisited: False discoveries, persistence tests, and transaction costs, P. Bajgrowicz and O. Scaillet, Journal of Financial Economics, vol. 106(3), pp 473-491, 2012.
Real Options, Volatility, and Stock Returns, A. Zhdanov, G. Grullon, and Evgeny Lyandres, Journal of Finance, vol. 67(4), pp 1499-1537, 2012.
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.
Explaining Asset Pricing Puzzles Associated with the 1987 Market Crash, with L. Benzoni, P. Collin-Dufresne, and R. S. Goldstein, Journal of Financial Economics, vol. 101(3), pp 552-573, 2011.
Former CEO Directors: Lingering CEOs or Valuable Resources?, R. Fahlenbrach, B. Minton and C. Pan, Review of Financial Studies, vol. 24(10), pp 3486-3518, 201.
Bank CEO Incentives and the Credit Crisis, R. Fahlenbrach and R. M. Stulz, 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, Review of Financial Studies, vol. 24(12), pp 3891-3940, 2011.
Verifying Competitive Equilibria in Dynamic Economies, F. Kübler, Review of Economic Studies, vol. 78(4), pp 1379-1399, 2011.
Bond Ladders and Optimal Portfolios, Kenneth L. Judd, F. Kübler and K. Schmedders, Review of Financial Studies, vol. 24, pp 4123-4166, 2011.
Price Impact and Portfolio Impact, S. Malamud, J. Cvitanic, Journal of Financial Economics, vol. 100(1), pp 201-225, 2011.
Corporate Investment and Financing under Asymmetric Information, E. Morellec and N. Schürhoff, 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, 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, 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, American Economic Review, pp 870–904, 2010.
Exploring the Nature of 'Trader Intuition', A. J. Bruguier, S. R. Quartz, P. L. Bossaerts, 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, 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, Review of Financial Studies, vol. 23(4), pp 1503-1543, 2010.
Auctioned IPOs: The U.S. Evidence, F. Degeorge, F. Derrien and K. Womack, 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, Journal of Financial Economics, vol. 97(1), pp 12-32, 2010.
Performance Persistence in Institutional Investment Management, J. Busse, A. Goyal and S. Wahal, Journal of Finance, vol. 65(2), pp.765-790, 2010.
Dynamic Investment and Financing under Personal Taxation, E. Morellec and N. Schürhoff,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, 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, 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, Journal of Finance, vol. 65(5), pp 1669-1702, 2010.
Correlation Risk and Optimal Portfolio Choice, A. Buraschi, P. Porchia and F. Trojani, 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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