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Working Papers
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Below are working papers listed by faculty members.
Shingo Goto- The Conquest of U.S. Inflation: Its Implications for the Fisher Hypothesis and the Term Structure of Nominal Interest Rates , with Walter Torous
- The Fed's Effect on Excess Returns and Inflation is Bigger Than You Think , with Rossen Valkanov
- Time-Varying Markups and Expected Stock Returns
- Asymmetric Responses of Conditional Variances to Earnings Surprises: A Bayesian Approach, with Anitha Manohar
- Is Seeing Believing? Security Analysts’ Over- and Underreactions as Rational Responses to Large
Signals, with Juhani Linnainmaa and Walter Torous
- Spin-offs, Sell-offs and Equity Carve-outs: Finding the Right Tool for the Job
- A Comparison of Fixed-Price and Fixed-Spread Tender Offers for Bonds Subject to Default Risk, with John D. Finnerty.
- Setting the Optimal Make-whole Call Premium, with Sudipto Sarkar
- Slippage and the Choice of Market or Limit Orders in Futures Trading, with Scott Brown and Tim Koch
- Institutional Ownership and its Effect on Target Capital Structure and Speed of Adjustment, with Hai Dong and DH Zhang
- Originator Performance, CMBS Deals and Yield Spreads of Commercial Mortgages, with Sheridan Titman
- How Firms Finance the Projects that are Subject to Time-to-Build, with J. Wang
- Financial Distress and the Cross Section of Equity Returns, with Lorenzo Garlappi
- Liquidity and Credit Default Swap Spreads, with Dragon Tang
- Estimation Risk and the Equity Premium
- Asset Return Predictability in a Heterogeneous Agent Equilibrium Model , with Murray Carlson, David Chapman and Ron Kaniel
- Specification Error, Estimation Risk, and Conditional Portfolio Rules, with Murray Carlson, David Chapman and Ron Kaniel
- Risk, Dispersion of Analyst Forecasts and Stock Returns, with Shisheng Qu and Laura Starks
- Uncertain Growth Prospects, Estimation Risk, and Asset Prices
- Equilibrium Risk Structure of Interest Rates , with Terry Marsh
- Predictability of Equity Returns: An Equilibrium Perspective
- Stock Returns and Dividend Yields: Some New Evidence, with David Chapman and Timothy Simin
- Volatility of Performance, Investor Learning, and the Flow-Performance Sensitivity, with Jennifer Huang and Kelsey Wei
- Firm Characteristics, Analyst Attributes and Forecast Performance, with Senyo Tse
- Foreign Portfolio Flows and Emerging Market Returns: Evidence from Thailand, with Pantisa Pavabutr
- Retail Demand and IPO Underpricing: A Model and Empirical Evidence
- Informed Trading and Option Spreads, with G. Kaul and M. Nimalendran