Faculty Publications

Publication Faculty Author

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

Robert I. Webb

"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, forthcoming 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

"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, forthcoming (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

"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

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

Robert I. Webb

"On the Intraday Relation between the VIX and Its Futures," Journal of Futures Markets, 2016 (with B. Frijns and A. Tourani-Rad).

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

"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

“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

“Opacity, Complexity, and Self-Regulation in Investment Banking,” The George Washington University Law Review, 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

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

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

“Sustainability: I Know It When I See It,” Ecological Economics, 2013.

Mark A. White

"Sensitivity of Russian Forest Timber and Carbon Projects to Temperature Increase," Forestry, 2013 (with D. Lutz and H. Shugart).

Mark A. White

"Environmental and Economic Assessment of Integrated Systems for Dairy Manure Treatment Coupled with Algae Bioenergy Production," Bioresource Technology, 2013 (with Y. Zhang and L. M. Colosi).

Mark A. White

“A Dynamic Model of the Credit Union,” Annals of Operation Research, 2013 (with G. Rubin, P. Beling, and K. Rajaratnam).

George A. Overstreet Jr.

“Are the Bankrupt Skies the Friendliest?” Journal of Corporate Finance, 2012 (with F. Ciliberto).

Carola Schenone

“Information Production by Investment Banks,” Journal of Financial and Quantitative Analysis, 2012 (with Z. Chen).

William J. Wilhelm Jr.

“Bankruptcy and Product-Market Competition: Evidence from the Airline Industry,” The International Journal of Industrial Organization, 2012 (with F. Ciliberto).

Carola Schenone

“Computerization and the ABACUS: Reputation, Trust, and Fiduciary Responsibility in Investment Banking,” Journal of Corporation Law, 2012 (with S. Davidoff and A. Morrison).

William J. Wilhelm Jr.

“Sell-Side Information Production in Financial Markets,” Journal of Financial and Quantitative Analysis, 2012 (with W. Wilhelm).

Zhaohui Chen

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