Current Research in Finance at McIntire
Patrick Dennis
Articles Published or Forthcoming
"Microstructural Biases in Empirical Tests of Option Pricing Models,'' Review of Derivatives Research, October 2009 (with S. Mayhew).
"A Model for Valuing Multiple Employee Stock Options Issued by the Same Company," Journal of Derivatives, fall 2008 (with D. Rendleman).
"Stock Returns, Implied Volatility Innovations, and the Asymmetric Volatility Phenomenon," Journal of Financial and Quantitative Analysis, June 2006 (with S. Mayhew and C. Stivers).
"Stock Splits and Liquidity: The Case of the NASDAQ - 100 Index Tracking Stock," The Financial Review, August 2003.
"The Effect of Stock Splits on Liquidity and Excess Returns: Evidence from Shareholder Ownership Composition," Journal of Financial Research, fall 2003 (with D. Strickland).
Current Projects
“The Determinants of Idiosyncratic Volatility," with D. Strickland.
"Regulation FD and Informed Trading Around Corporate Acquisitions," with C. Lefanowicz and J. Robinson.
Faculty Profile
Gayle Erwin
"Great Expectations: Banks as Equity Underwriters," Journal of Banking & Finance, 2009 (with S. Chaplinsky).
Faculty Profile
Michael Gallmeyer
Articles Published or Forthcoming
“An Examination of Heterogeneous Beliefs with a Short Sale Constraint in a Dynamic Economy,” The Review of Finance, 2008 (with B. Hollifield).
“Arbitrage-Free Bond Pricing with Dynamic Macroeconomic Models,” The Federal Reserve Bank of St. Louis Review, July/August 2007 (with B. Hollifield, F. Palomino, and S. Zin).
“Tax Management Strategies with Multiple Risky Assets,” Journal of Financial Economics, May 2006 (with R. Kaniel and S. Tompaidis).
“Taylor Rules, McCallum Rules, and the Term Structure of Interest Rates,” Journal of Monetary Economics, July 2005 (with B. Hollifield and S. Zin).
“The Equilibrium Allocation of Diffusive and Jump Risks with Heterogeneous Agents,” Journal of Economic Dynamics and Control, September 2005 (with S. Dieckmann).
Current Projects
“CEO Optimism and Forced Turnover,” with C. Campbell, S. Johnson, J. Rutherford, and B. Stanley.
“Portfolio Choice with Capital Gain Taxation and the Limited Use of Losses,” with P. Ehling, S. Srivastava, S. Tompaidis, and C. Yang.
“Demand Discovery and Asset Pricing,” with B. Hollifield and D. Seppi.
“Credit Conditions and Expected Stock Returns,” with S. Chava and H. Park.
“Term Premium Dynamics and the Taylor Rule,” with B. Hollifield, F. Palomino, and S. Zin.
“Arbitrage and the Tax Code,” with S. Srivastava.
Faculty Profile
Robert Kemp
Articles Published or Forthcoming
“Pensions and Post Retirement Promises: The Unforeseen Challenges for Commercial Lending,” 2008 (with A. Catanach).
“Revisiting the Economics of Pensions: Rationale and Challenges in the 21st Century,” Proceedings of the American Society of Business and Behavioral Sciences, 2004 (with W. Kehoe).
“Pension Funding: A Global Challenge,” Proceedings of the American Society of Business and Behavioral Sciences, 2003 (with W. Kehoe). (Paper delivered at 2003 annual ASBBS meetings).
Current Projects
“Pension Accounting: Current Challenges and Beyond,” collaborative white paper for Gerson Lehrman Group, 2006 (with P. Miller, J. Ceiesieski, R. Kneiser, H. Ashner, J. Keightley, and C. Flowe). (Invited paper used as input 1) FASB’s revision of pension accounting standards and 2) U.S. congressional hearings on Pension Protection Act of 2006).
Faculty Profile
Felicia Marston
Articles Published or Forthcoming
“Rewriting History,” Journal of Finance, forthcoming (with A. Ljungqvist and C. Malloy).
“Scaling the Hierarchy: How and Why Investment Banks Compete for Syndicate Co-Management Appointments,” The Review of Financial Studies, forthcoming (with A. Ljungqvist and B. Wilhelm).
“Conflicts of Interest in Sell-Side Research and the Moderating Role of Institutional Investors,” The Journal of Financial Economics, August 2007 (with A. Ljungqvist, L. Starks, K. Wei, and H. Yan).
“Competing for Securities Underwriting Mandates: Banking Relationships and Analyst Recommendations,” Journal of Finance, February 2006 (with B. Wilhelm and A. Ljungqvist).
Faculty Profile
George Overstreet
Articles Published or Forthcoming
“Estimation Error in Regulatory Capital Requirements: Theoretical Implications for Consumer Bank Profitability,” accepted subject to minor revisions by Journal of the Operational Research Society, forthcoming 2009 (with P. Beling and K. Rajaratnam).
“Scoring Decisions in the Context of Economic Uncertainty,” Journal of the Operational Research Society for the Special Issue on Credit Scoring and Control," forthcoming 2009 (with K. Rajaratnam and P. Beling).
“Systems Analysis and Adaptive Learning for Portfolio Management of Superfund Sites,” In G. Macey and J. Cannon (eds.), Reclaiming the Land: Rethinking Superfund Institutions, Methods and Practices, Springer, 2007 (with P. Beling, J. Lambert, F. Rahman, and D. Slutzky).
"The Flat Linear Maximum Effect and Generic Linear Scoring Models: A Test,” In L. C. Thomas, D. B. Edelman, and J. N. Crook, Readings in Credit Scoring: Recent Developments, Advances, and Aims, Oxford University Press, 2004 (with R. Kemp and E. Bradley).
"A Bayesian Framework for the Combination of Classifer Outputs,” Journal of the Operational Research Society, 2002 (with H. Zhu and P. A. Beling).
Current Projects
“Is Wholesale Price Volatility Friendly to Retailers?” with J. Brewer and D. Nelson, working paper under revision.
Faculty Profile
Patrik Sandås
Articles Published or Forthcoming
"Does Information Drive Trading in Option Startegies?” Journal of Banking and Finance, 2010 (with R. Fahlenbrach).
"Co-Movements of Index Options and Futures Quotes," Journal of Empirical Finance, 2009 (with R. Fahlenbrach).
"Estimating the Gains from Trade in Limit Order Markets" Journal of Finance, 2006 (with B. Hollifield, R.A. Miller, and J. Slive).
"Empirical Analysis of Limit Order Markets," The Review of Economic Studies, 2004 (with B. Hollifield and R. A. Miller).
Current Projects
"The Role of Mortgage Brokers in the Subprime Crisis," NBER Working Paper No. 16175, 2010 (with A. Berndt and B. Hollifield).
"The Impact of Iceberg Orders in Limit Order Books," CFR Working Paper 09-06, 2009 (with S. Frey).
Faculty Profile
Carola Schenone
Articles Published or Forthcoming
“Conflict of Interest and Certification: Long-Term Performance and Valuation of U.S. IPOs Underwritten by Relationship Banks,” The Journal of Financial Intermediation, April 2010 (with Luca Benzoni).
“Lending Relationships and Information Rents: Do Banks Exploit Their Information Advantage?” The Review of Financial Studies, March 2010.
“The Effect of Banking Relations on the Firm’s IPO Underpricing,” The Journal of Finance, December 2004.
Current Projects
“Bankruptcy and Product-Market Competition: Evidence from the Airline Industry,” with F. Ciliberto, August 12, 2010.
“Are the Bankrupt Skies the Friendliest?” with F. Ciliberto, August 12, 2010.
“Investment-Banking Relationships: An Historical Perspective,” with A. Morrison, A. Thegeya, and W. Wilhelm.
“Do Firms use Leverage to Charge Higher Prices? Evidence from the US Airline Industry,” with F. Ciliberto and H. Liu.
Faculty Profile
David C. Smith
Articles Published or Forthcoming
“Creditor Control Rights and Firm Investment Policy,” Journal of Financial Economics, forthcoming (with G. Nini and A. Sufi).
“On the Sequencing of Projects, Reputation Building, and Relationship Finance,” Finance Research Letters, March 2006 (with D. Egli and S. Ongena).
“The Impact of Bank Consolidation on Commercial Borrower Welfare,” Journal of Finance, August 2005 (with J. Karceski and S, Ongena).
“Maximizing the Value of Distressed Assets: Bankruptcy Law and the Efficient Reorganization of Firms,” In P. Holohan and L. Laeven (eds.), Systemic Financial Distress: Containment and Resolution, Cambridge University Press, 2004 (with P. Strömberg).
“Firms and Their Distressed Banks: Lessons from the Norwegian Banking Crisis (1988- 1991),” Journal of Financial Economics, January 2003 (with S. Ongena and D. Michalsen).
Current Projects
“The Value Implications of Creditor Intervention,” with G. Nini and A. Sufi.
“The Trading of Debt Claims in Chapter 11,” with T. Feil and P. Strömberg.
“Corporate Governance in a Free Contracting Environment,” with C. Ostergaard.
Faculty Profile
Robert Webb
Articles Published or Forthcoming
“Price Shocks and the Performance of Managed Futures Funds,” Journal of Trading, spring 2008.
“Market Microstructure Effects on Volatility at the TAIFEX,” Journal of Futures Markets, December 2007 (with J. Muthuswamy and R. Segara).
"Transitory Real-Time Property Rights and Exchange Intellectual Property," Journal of Futures Markets, September 2003.
Faculty Profile
Mark White
Articles Published or Forthcoming
"Environmental Life Cycle Comparison of Algae to Other Bioenergy Feedstocks," Environmental Science and Technology, 2010 (with A. Clarens, L. Colosi, and E. Resurreccion).
“Investing in a Sustainable Future,” In C. Wankel and J. Stoner (eds.), Management Education for Global Sustainability, 2009 (with E. Guenther).
“Green Chemistry and EVA: A Framework for Incorporating Environmental Action into Financial Analysis,” In C. Wankel and J. Stoner (eds.), Innovative Approaches to Global Sustainability, 2008 (with G. Archer, A. Larson, and J. York).
“A Cost-Benefit Model for Evaluating Remediation Alternatives at Superfund Sites Incorporating the Value of Ecosystem Services,” In G. Macey and J. Cannon (eds.),Reclaiming the Land, 2006 (with M. A. Kenney).
Faculty Profile
William Wilhelm
Articles Published or Forthcoming
“Scaling the Hierarchy: How and Why Investment Banks Compete for Syndicate Co-Management Appointments,” February 2008, Review of Financial Studies, forthcoming (with A. Ljungqvist and F. Marston).
“A Theory of the Transition to Secondary Market Trading of IPOs,” March 2008, Journal of Financial Economics, forthcoming (with Z. Chen).
“The Demise of Investment-Banking Partnerships: Theory and Evidence,” Journal of Finance, February 2008 (with A. Morrison).
“Competing for Securities Underwriting Mandates: Banking Relationships and Analyst Recommendations,” Journal of Finance February 2006 (with A. Ljungqvist and F. Marston).
“Partnership Firms, Reputation and Human Capital,” American Economic Review, December 2004 (with A. Morrison).
Books
Investment Banking: Institutions, Politics, and Law, Oxford University Press, 2007. Second (paperback) edition, 2008 (with A. Morrison).
Faculty Profile