Faculty Publications

Publication Faculty Author

“Does Trading Anonymously Enhance Liquidity?” Journal of Financial and Quantitative Analysis, forthcoming (with P. Dennis).

Patrik Sandås

"Does Increased Hedging Lead to Decreased Price Efficiency? The Case of VIX ETPs and VIX Futures," Financial Review, 2019 (with A. Fernandez-Perez, B. Frijns, and A. Tourani-Rad).

Robert I. Webb

"Linear Approximations and Tests of Conditional Pricing Models," Review of Finance, 2018 (with M. Brandt).

David Chapman

“Partial Deregulation and Competition: Evidence from Risky Mortgage Origination,” Management Science, 2018 (with M. Di Maggio and A. Kermani).

Sanket Korgaonkar

"Volatility Dynamics under an Endogenous Markov-Switching Framework: A Cross-Market Approach," Quantitative Finance, 2018 (with W. Song and D. Ryu).

Robert I. Webb

"Aggregate Tail Risk and Expected Returns," Review of Asset Pricing Studies, 2018 (with M. Gallmeyer and J. S. Martin).

David Chapman

“Investment-Banking Relationships: 1933-2007,” The Review of Corporate Finance Studies, 2018 (with A. Morrison, C. Schenone, and A. Thegeya).

William J. Wilhelm Jr.

"Disagreement about Inflation and the Yield Curve," Journal of Financial Economics, 2018 (with P. Ehling, C. Heyerdahl-Larsen, and P. Illeditsch).

Michael Gallmeyer

"Portfolio Tax Trading with Carry Over Losses," Management Science, 2018 (with P. Ehling, S. Srivastava, S. Tompaidis, and C. Yang).

Michael Gallmeyer

Financial Accounting, 5th ed., Pearson Prentice Hall, 2018 (with J. Waybright).

Robert S. Kemp

"Aggregate Tail Risk, Economic Disasters, and the Cross-Section of Expected Returns," Review of Asset Pricing Studies, 2018 (with J. S. Martin).

Michael Gallmeyer

“Regulatory Capital Decisions in the Context of Consumer Loan Portfolios,” Journal of the Operational Research Society, 2017 (with K. Rajaratman and P. Beling).

George A. Overstreet Jr.

"Do Derivative Markets Contain Useful Information for Signaling 'Hot Money' Flows?" Asia-Pacific Journal of Financial Studies, 2017 (with J. Fung and W. Chan).

Robert I. Webb

“Term Premium Dynamics and the Taylor Rule,” Quarterly Journal of Finance, 2017 (with B. Hollifield, F. Palomino, and S. Zin).

Michael Gallmeyer

"The Impact of Latency Sensitive Trading on High Frequency Arbitrage Opportunities," Pacific Basin Finance Journal, 2017 (with A. Frino, V. Mollica, and T. Zhang).

Robert I. Webb

"Venture Capital and the Market for Talent During Boom and Busts," Review of Finance, forthcoming.

Chris Yung

“The Impact of Iceberg Orders in Limit Order Books,” Quarterly Journal of Finance, 2017 (with S. Frey).

Patrik Sandås

“Taxable and Tax-Deferred Investing with the Limited Use of Losses,” Review of Finance, 2017 (with M. Fischer).

Michael Gallmeyer

"WSJ Category Kings–The Impact of Media Attention on Consumer and Mutual Fund Investment Decisions," Journal of Financial Economics, 2017 (with R. Kaniel).

Robert Parham

"Fitting the Errors-in-Variables Model Using High-Order Cumulants and Moments," Stata Journal, 2017 (with T. Erickson and T. M. Whited).

Robert Parham

"Firm Investment and Stakeholder Choices: A Top-Down Theory of Capital Budgeting,” Journal of Finance, 2017 (with A. Almazan and S. Titman).

Zhaohui Chen

How Business Works, Cognella Academic Publishing, 2017.

Robert S. Kemp

“Recent Advances in the Literature: Asia Pacific Derivatives Markets,” Asia Pacific Journal of Financial Studies, 2016.

Robert I. Webb

“How Subprime Borrowers and Mortgage Brokers Shared the Pie,” Real Estate Economics, 2016 (with A. Berndt and B. Hollifield).

Patrik Sandås

"Overseas Market Shocks and VKOSPI Dynamics: A Markov-Switching Approach," Finance Research Letters, 2016 (with D. Ryu and W. Song).

Robert I. Webb

"Making Waves: To Innovate or be a Fast Second?" Journal of Financial and Quantitative Analysis, 2016.

Chris Yung

“Heuristic Portfolio Trading Rules with Capital Gain Taxes,” Journal of Financial Economics, 2016 (with M. Fischer).

Michael Gallmeyer

“Models of Sequential Decision Making in Consumer Lending,” Decision Analytics, 2016 (with K. Rajaratman and P. Beling).

George A. Overstreet Jr.

"The Price Impact of Futures Trades and Their Intraday Seasonality," Emerging Markets Review, 2016 (with D. Ryu, D. Ryu and J. Han).

Robert I. Webb

“Trust, Reputation and Law: The Evolution of Commitment in Investment Banking,” Journal of Legal Analysis, 2015 (with A. Morrison, ).

William J. Wilhelm Jr.

“Traders vs. Relationship Managers: Reputational Conflicts in Full-Service Investment Banks,” The Review of Financial Studies, 2015 (Z. Chen, A. Morrison, and W. Wilhelm).

William J. Wilhelm Jr., Zhaohui Chen

“The Ownership and Trading of Debt Claims in Chapter 11 Restructurings,” Journal of Financial Economics, forthcoming (with V. Ivashina and B. Iverson).

David C. Smith

“Extrapolation Errors in IPOs,” Financial Management, 2015 (with Y. Xiao).

Chris Yung

“Credit Conditions and Expected Stock Returns,” Journal of Monetary Economics, 2015 (with S. Chava and H. Park).

Michael Gallmeyer

“CEOs in Family Firms: Does Junior Know What He’s Doing?” Journal of Corporate Finance, 2015.

Chris Yung

“Energy Efficient Homes and Mortgage Risk: Crossing the Chasm at Last?” Environment Systems and Decisions, 2015 (with A. Sanderford, P. Beling, and K. Rajaratman).

George A. Overstreet Jr.

“Investment Bank Reputation and ‘Star’ Cultures,” The Review of Corporate Finance Studies, 2014 (with Z. Chen and A. Morrison).

William J. Wilhelm Jr.

“The Economic Significance of Gasoline Wholesale Price Volatility to Retailers,” Energy Economics, 2014 (with J. Brewer and D. Nelson).

George A. Overstreet Jr.

“What Happens in Nevada? Self-Selecting into Lax Law,” Review of Financial Studies, 2014 (with M. Barzuza).

David C. Smith

"Investing in a Sustainable Future," Die Unternehmung: Swiss Journal of Business Research and Practice, 2013 (with E. Günther).

Mark A. White

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