Desautels research

Author: Hamid Etemad 

Publication: Journal of International Entrepreneurship, Vol. 16, No. 1, Winter 2018

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Classified as: Hamid Etemad, Marketing
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Published on: 6 Apr 2018

Author: Patrick Augustin

Publication: Journal of Monetary Economics, Forthcoming

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Classified as: Patrick Augustin, finance
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Published on: 6 Apr 2018

AuthorsPeter Younkin, Venkat Kuppuswamy

Publication: Journal of Business Venturing, Forthcoming

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Classified as: Peter Younkin, Strategy & Organization
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Published on: 3 Apr 2018

AuthorsHamid Etemad, Hamed Motaghi

Publication: International Business Review, March 16, 2018

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Classified as: Hamid Etemad, Marketing
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Published on: 3 Apr 2018

Authors: Saeed Akhlaghpour, Liette Lapointe

Publication: Journal for the Association of Information Systems, Forthcoming

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Classified as: Liette Lapointe, Information Systems
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Published on: 2 Apr 2018

Authors: Sung Soo Kim, Donghoon Shin, Heather C Vough, Patricia Faison Hewlin and Christian Vandenberghe

Publication: Human Relations, Forthcoming

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Classified as: Patricia Hewlin, Organizational Behaviour
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Published on: 29 Mar 2018

Professor Ruslan Goyenko's paper "Illiquidity Premia in Equity Option Markets" with Peter Christoffersen, Kris Jacobs and Mehdi Karoui was selected as Editor's Choice article in the March 2018 issue of Review of Financial Studies.

Classified as: Ruslan Goyenko, finance, Review of Financial Studies, Desautels 22
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Published on: 29 Mar 2018

Authors: Wei Qi, Lefei Li, Sheng Liu, Zuo-Jun Max Shen

Publication: Manufacturing & Service Operations Management, Forthcoming

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Classified as: Wei Qi, operations management
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Published on: 29 Mar 2018

Authors: Anthony C. Masi

Publication: Canadian Studies in Population, Vol. 44, No. 3-4, 2017

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Classified as: Anthony Masi, Organizational Behaviour
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Published on: 29 Mar 2018

Authors: George M. Constantinides and Anisha Ghosh

Publication: Journal of Finance, Vol. 72, No. 1, February 2017

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We show that shocks to household consumption growth are negatively skewed, persistent, countercyclical, and drive asset prices. We construct a parsimonious model where heterogeneous households have recursive preferences. A single state variable drives the conditional cross-sectional moments of household consumption growth. The estimated model fits well the unconditional cross-sectional moments of household consumption growth and the moments of the risk-free rate, equity premium, price-dividend ratio, and aggregate dividend and consumption growth. The model-implied risk-free rate and price-dividend ratio are procyclical, while the market return has countercyclical mean and variance. Finally, household consumption risk explains the cross section of excess returns.

Read article: Journal of Finance

Classified as: Anisha Ghosh, finance, Desautels 22, Journal of Finance
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Published on: 29 Mar 2018

AuthorsAnisha Ghosh, Christian Julliard, Alex P. Taylor

PublicationThe Review of Financial Studies, Volume 30, No. 2, February 2017

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We consider asset pricing models in which the SDF can be factorized into an observable component and a potentially unobservable one. Using a relative entropy minimization approach, we nonparametrically estimate the SDF and its components. Empirically, we find the SDF has a business-cycle pattern and significant correlations with market crashes and the Fama-French factors. Moreover, we derive novel bounds for the SDF that are tighter and have higher information content than existing ones. We show that commonly used consumption-based SDFs correlate poorly with the estimated one, require high risk aversion to satisfy the bounds and understate market crash risk.

Read article: The Review of Financial Studies

Classified as: Anisha Ghosh, finance, Review of Financial Studies, Desautels 22
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Published on: 29 Mar 2018

Author: Hamid Etemad

Publication: Journal of International Entrepreneurship, Vol. 15, No. 3, September 2017

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Classified as: Hamid Etemad, Marketing
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Published on: 29 Mar 2018

Author: Hamid Etemad

Publication: Journal of International Entrepreneurship, Vol. 15, No. 4, December 2017

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Classified as: Hamid Etemad, Marketing
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Published on: 29 Mar 2018

Authors: Wei Qi, Bo Shen, Hongcai Zhang, Zuo-Jun Max Shen

Publication: Energy, Vol. 135, September 2017

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Classified as: Wei Qi, operations management
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Published on: 29 Mar 2018

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