Research Publications
2013 |
R. Goyenko and S. Sarkissian, "Treasury Bond Illiquidity and Global Equity Returns," forthcoming, Journal of Financial and Quantitative Analysis. |
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R. Goyenko and Y. Amihud, "Mutual Fund's R2 as Predictor of Performance," Review of Financial Studies, 26(3), 667-694. |
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M. Bouvard, "Real Option Financing Under Asymmetric Information," forthcoming, Review of Financial Studies. |
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J. Ericsson, H. Doshi, K. Jacobs and S. Turnbull, "Pricing Credit Default Swaps with Observable Covariates," forthcoming, Review of Financial Studies. |
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V. Errunza, F. Carrieri and I. Chaieb, "Do Implicit Barriers Matter for Globalization?" forthcoming, Review of Financial Studies. |
2012 |
L. Barras, D. Avramov and R. Kosowski, "Hedge Fund Return Predictability Under the Magnifying Glass," forthcoming, Journal of Financial and Quantitative Analysis. |
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J. Ericsson, R. Elkamhi and C. Parsons, "The Cost of Financial Distress and the Timing of Default," Journal of Financial Economics. |
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S. Betermier, T. Jansson, C. Parlour and J. Walden, "Hedging Labor Income Risk," Journal of Financial Economics, Vol. 105, 3, 622-639. |
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S. Sarkissian and M. Schill, "The Nature of the Foreign Listing Premium: A Cross-Country Examination," Journal of Banking and Finance, 36(9), 2494-2511. |
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J. Ericsson, R. Elkamhi and H. Wang, "What Risks Do Corporate Bond Put Features Insure Against?" Journal of Futures Markets. |
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V. Errunza, P. Christoffersen, K. Jacobs and H. Langlois, "Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach," Review of Financial Studies, Vol. 25, No. 12, 3711-3751. |
2011 |
S. Sarkissian and S. Christoffersen, "The Demographics of Fund Turnover," Journal of Financial Intermediation, 20(3), 414-440. |
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R. Goyenko, A. Subrahmanyam and A. Ukhov, "The Term Structure of Bond Market Liquidity and Its Implications of Expected Bond Returns," Journal of Financial and Quantitative Analysis, 46, 111-139. |
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A. Nain and S. Bhattacharyya, "Horizontal Acquisitions and Buying Power: A Product Market Analysis," Journal of Financial Economics, Vol. 99, 97-115. |
2010 |
M. Chaudhury,"A Review of the Key Issues in Operational Risk Capital Modeling," Journal of Operational Risk, Vol. 5, No. 3, Fall 2010. |
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P. Christoffersen, K. Jacobs and K. Mimouni, "Models for S&P 500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices," fothcoming Review of Financial Studies. |
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P. Christoffersen, C. Dorion, K. Jacobs and Y. Wang, "Volatility Components: Affine Restrictions and Non-Normal Innovations," forthcoming Journal of Business and Economic Statistics. |
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P. Christoffersen, J. Berkowitz and D. Pelletier, "Evaluating Value-at-Risk Models with Desk-Level Data," forthcoming Management Science. |
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A. de Motta, A. Almazan, S. Titman and V. Uysal, "Financial Structure, Acquisition Opportunities, and Firm Locations," Journal of Finance, Vol. LXV, No. 2, 529-563, April 2010. |
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A. Durnev, "Do We Need a New Theory to Explain Emerging Market MNEs: Comment?", book chapter in Foreign Direct Investment in Emerging Markets: The Challenges Ahead, K. Sauvant, W.A. Maschek, and G.A. McAllister (eds.), Palgrave Macmillan, New York, October 2010. |
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L. Barras, O. Scaillet and R. Wermers, "False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas," Journal of Finance, 65, 179-216. |
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P. Christoffersen, R. Elkamhi, B. Feunou and K. Jacobs, "Option Valuation with Conditional Heteroskedasticity and Non-Normality," Review of Financial Studies, 23, 2139-2183. |
2009 |
V. Errunza, A. Durnev and A. Molchanov,"Property Rights Protection, Corporate Transparency and Growth," Journal of International Business Studies, 40, 1533-1562. |
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R. Goyenko, A. Subrahmanyam and A. Ukhov, "The Term Structure of Bond Market Liquidity and Its Implications for Expected Bond Returns," forthcoming Journal of Financial and Quantitative Analysis. |
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P. Christoffersen, S. Heston and K. Jacobs, "The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well," Management Science, 55, 1914-1932. |
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K. Jacobs and L. Karoui, "Conditional Volatility in Affine Term Structure Models: Evidence from Treasury and Swap Markets," Journal of Financial Economics, 91(3), 288-318. |
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A. Durnev and C. Mangen, "Corporate Investments: Learning from Restatements," Journal of Accounting Research, 47(3), 679-720. |
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R. Goyenko, and A. Ukhov, "Stock and Bond Market Liquidity: A Long-Run Empirical Analysis," Journal of Financial and Quantitative Analysis, 44,189-212. |
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R. Goyenko, C. Holden and C. Trzcinka, "Do Lquidity Measures Measure Liquidity?" Journal of Financial Economics, 92, 153-181. |
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S. Christofersen and S. Sarkissian, "City Size and Fund Performance", Journal of Financial Economics, 92, 252-275. Swiss Finance Institute Outstanding Paper Award. |
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S. Sarkissian and M. Schill, "Are There Permanent Valuation Gains to Overseans Listing?" Review of Financial Studies, 22(1), 371-412. |
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J. Ericsson, K. Jacobs and R. Oviedo, "The Determinants of Credit Default Swap Premia," Journal of Financial and Quantitative Analysis, 44(1), 109-132. |
2008 |
Marcelo B. Dos Santos, V. Errunza and D. Miller, "Does Corporate International Diversification Destroy Value? Evidence from Cross-Border Mergers and Acquisitions," Journal of Banking and Finance, 32(12), 2716-2724. |
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P. Christoffersen, K. Jacobs, C. Ornthanalai and Y. Wang, "Option Valuation with Long-run and Short-run Volatility Components," Journal of Financial Economics, 90, 272-297. |
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K. Jacobs and X. Li, "Modeling the Dynamics of Credit Spreads with Stochastic Volatility," Management Science, June 54(6), 1176-1188. |
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K. Jacobs and J.-C. Duan, "Is Long Memory Necessary? An Empirical Investigation of Nonnegative Interest Rate Processes,"Journal of Empirical Finance, 15, 567-581. |
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2007 |
L. Barras,"International Conditional Asset Allocation Under Specification Uncertainty," Journal of Empirical Finance, 14, 443-464. |
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A. de Motta, A. Almazan and S. Titman, "Firm Location and the Creation and Utilization of Human Capital," Review of Economic Studies, 74(4), 1305-1327. |
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S. Christoffersen, C. Geczy, D.K. Musto and A.V. Reed, "Vote Trading and Information Aggregation," Journal of Finance, 62(6) December. |
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B. Croitoru and S. Basak, "International Good Market Segmentation and Financial Innovation," Journal of International Economics, 71, 267-293. |
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K. Jacobs, "Consumption-Leisure Nonseparabilities in Asset Market Participants' Preferences," Journal of Monetary Economics, 54, 2131-2138. |
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V. Errunza and I. Chaieb, "International Asset Pricing Under Segmentation and PPP Deviations," Journal of Financial Economics, 86, 543-578. |
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J. Xu, Price Convexity and Skewness, Journal of Finance LXII, October, 2521-2552. |
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F. Carrieri, V. Errunza and K. Hogan, "Characterizing World Market Integration Overtime,"Journal of Financial and Quantitative Analysis, 42, 915-940. |
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A. de Motta, A. Almazan and S. Banerji, "Attracting Attention: Cheap Managerial Talk and Costly Market Monitoring," forthcoming, Journal of Finance. |
2006 |
R. Oviedo, "Improving the Design of Treasury-Bond Futures Contracts," Journal of Business, Vol. 79, No. 3, May 2006. |
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P. Christoffersen, S. Heston and K. Jacobs, "A Dynamic Model of Option Skewness," Journal of Econometrics, 131, 253-284. |
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M. Chaudhury, "What Drives the Growth of Aggregate Residential Mortgage Debt in the U.S.?" Journal of Fixed Income, 16(1), June, 21-37. |
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B. Croitoru and S. Basak, "On the Role of Arbitrageurs in Rational Markets," Journal of Financial Economics, 81, 143-173. |
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J. Ericsson and O. Renault, "Liquidity and Credit Risk," Journal of Finance, 61(5). |
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M. Chaudhury, "Upper Bounds for American Options," forthcoming, Research in Finance 23, 2006. |
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A. Nain, C. Bouwman and K. Fuller, "Market Valuation and Acquisition Quality: Empirical Evidence," forthcoming, Review of Financial Studies. |
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G. Capelle-Blancard and M. Chaudhury, "Price Clustering in the CAC 40 Index Options Market," forthcoming, Applied Financial Economics. |
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F. Carrieri, V. Errunza and B. Majerbi, "Does Emerging Market Exchange Risk Affect Global Equity Prices?" Journal of Financial and Quantitative Analysis, 41(3), 511-540. |
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F. Carrieri and B. Majerbi, "The Pricing of Exchange Risk in Emerging Stock Markets," Journal of International Business Studies, 37, 372-391. |
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P. Christoffersen and F.X. Diebold, "Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics," Management Science, 52, 1273-1287. |
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P. Christoffersen, S. Heston and K. Jacobs, "Option Valuation with Conditional Skewness," Journal of Econometrics, 131, 253-284. |
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P. Christoffersen, H. Chung and V. Errunza, "Size Matters: The Impact of Capital Market Liberalization on Individual Firms," Journal of International Money and Finance, 25, 1296-1318. |
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P. Christoffersen, T.G. Andersen, T. Bollerslev and F.X. Diebold, Volatility, in preparation, Princeton University Press. |
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P. Christoffersen, "Value-at-Risk Models," prepared for the Handbook of Financial Time Series, T.G. Andersen, R.A. Davis, J.-P. Kreiss, and T. Mikosch (eds.), Springer Verlag. |
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F. Carrieri, V.R. Errunza and B. Majerbi, "Local Risk Factors in Emerging Markets: Are they Separately Priced?" Journal of Empirical Finance, 13, 444-461. |
2005 |
V. Errunza, J-R Chang, K. Hogan, and M-W Hung, "An Intertemporal International Asset Pricing Model: Theory and Empirical Evidence," European Financial Management, Vol. 11, No. 2, 173-194. |
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P. Christoffersen and S. Goncalves, "Estimation Risk in Financial Risk Management," Journal of Risk, 7, 1-28. |
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P. Christoffersen and S. Mazzotta, "The Accuracy of Density Forecasts from Foreign Exchange Options," Journal of Financial Econometrics, 3, 578-605. |
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P. Christoffersen, T.G. Andersen, T. Bollerslev and F.X. Diebold, "Volatility and Correlation Forecasting," in the Handbook of Economic Forecasting, G. Elliot, C.W.J. Granger and A. Timmermann (eds.), Elseiver Science. |
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P. Christoffersen, T.G. Andersen, T. Bollerslev and F.X. Diebold, "Practical Volatility and Correlation Modeling for Financial Market Risk Management," in the NBER volume on Risks of Financial Institutions, M. Carey and R. Stulz (eds.). |
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A. Durnev and E. Han Kim, "To Steal or Not to Steal: Firm Attributes, Legal Environment, and Valuation," Journal of Finance, Vol. LX, No. 3, June 2005. |
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J. Ericsson and J. Reneby, "Estimating Structural Bond Pricing Models," Journal of Business, Vol. 78(2). |
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S. Banerji and V. Errunza, "Privatization Under Incomplete Information and Bankruptcy Risk," Journal of Banking and Finance, 29, 735-717. |
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R. Bhuyan and M. Chaudhury, "Trading on the Information Content of Open Interest: Evidence from the US Options Market," Derivatives Use, Trading and Regulation, 11(1), 16-36. |
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P. Christoffersen, H. Chung and V.R. Errunza, "Size Matters: The Impact of Capital Market Liberalization on Individual Firms," Journal of International Money and Finance, 25(8) 126-1318. |
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S. Christoffersen, C. Geczy, D.K. Musto and A.V. Reed, "Cross-border Dividend Taxation and the Preferences of Taxable and Non-taxable Investors: Evidence from Canada," Journal of Financial Economics, 78(1), October, 121-144. |
2004 |
K. Jacobs and K. Wang, "Idiosyncratic Consumption Risk and the Cross-Section of Asset Returns," Journal of Finance, 59, 2211-2252. |
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P. Christoffersen and K. Jacobs, "Which GARCH Model for Option Valuation?" Management Science, 50, 1204-1221. |
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S. Sarkissian and M. Schill, "The Overseas Listing Decision: New Evidence of Proximity Preference," Review of Financial Studies, 17(3), 769-809 |
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P. Christoffersen and D. Pelletier, "Backtesting Value at Risk: A Duration-Based Approach," Journal of Financial Econometrics, 2, 84-108. |
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F. Carrieri, V. Errunza and S. Sarkissian, "Industry Risk and Market Integration," Management Science, 50(2), 207-221. |
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J. Ericsson and J. Reneby, "Implementing Structural Credit Risk Models Using Both Stock and Bond Prices - An Empirical Study," The Journal of Fixed Income, 13(4), 38-49. |
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S. Banerji, S. Bhattacharya and N. Van Long, "Can Financial Intermediaries Induce Endogenous Fluctuations," forthcoming in Journal of Economic Dynamics and Control. |
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P. Christoffersen and K. Jacobs, "The Importance of the Loss Function in Option Valuation," Journal of Financial Economics, 72, 291-318. |
2003 |
S. Sarkissian, W. Ferson and T. Simin, "Is Stock Return Predictability Spurious?" Journal of Investment Management, 1(3), 1-10. |
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A. de Motta, "Managerial Incentives and Internal Capital Markets," Journal of Finance, LVII(3), 1193-1220. |
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J. Ericsson and J. Reneby, "Stock Options as Barrier Contingent Claims," Applied Mathematical Finance, 10, 121-147. |
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J. Ericsson, S. Das and M. Kallimipalli, "Bond Market Liquidity," Journal of Investment Management, 1(4), 95-103. |
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P. Christoffersen, Elements of Financial Risk Management, Elsevier Academic Press, July, 214 pp. |
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P. Christoffersen, "Meaningful Risk Measures," Canadian Investment Review, Winter, R15. |
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S. Sarkissian, W. Ferson and T. Simin, "Spurious Regressions in Financial Economics?," Journal of Finance, 68(4), 1393-1413. |
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S. Sarkissian, "Incomplete Consumption Risk Sharing and Currency Risk Premiums," Review of Financial Studies, 16(3), 983-1005. |
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V. Errunza and Darius P. Miller, "Valuation Effects of Seasoned Global Equity Offerings: Evidence From Depositary Receipts," Journal of Banking & Finance, 27(9), 1611-1623. |
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2002 |
S. Christoffersen and D. Musto, "Demand Curves and the Pricing of Money Management," Review of Financial Studies, 15(5). |
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P. Christoffersen, E. Ghysels and N. Swanson, "Let's Get 'Real' about Using Economic Data," Journal of Empirical Finance, 9, 343-360. |
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S. Banerji, A.H. Chen and S.C. Mazumdar, "Universal Banking Under Bilateral Information Assymettry," Journal of Financial Services Research, 169-187. |
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M. Chaudhury & A. Chen, "The Market Value and Dynamic Interest Rate Risk of Swaps," Research in Finance, 19, 199-239. |
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2001 |
F. Carrieri, "The Effects of Liberalization on Market and Currency Risk in the European Union," European Financial Management, 7, 259-290. |
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V. Errunza, "Foreign Portfolio Equity Investments, Financial Liberalization and Economic Development," Special Issue of Review of International Economics on International Financial Liberalization, Capital Flows and Exchange Rate Regimes: Essays in Honor of Robert A. Mundell, 9(4). |
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S. Christoffersen, "Why Do Money Fund Managers Voluntarily Waive Their Fees?" Journal of Finance, 56(3), 1117-1140. |
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P. Christoffersen, J. Hahn and A. Inoue, "Testing and Comparing Value-at-Risk Measures," Journal of Empirical Finance, 8, 325-342 |
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P. Christoffersen, T. Sloek and R. Wescott, "Is Inflation Targeting Feasible in Poland?" Economics of Transition, 9, 153-174. |
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P. Christoffersen, Review of Clements and Hendry's: Forecasting Non-stationary Economic Time Series, Cambridge: MIT Press, 1999. Journal of the American Statistical Association, 2001. |
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B. Croitoru & S. Basak, "Nonlinear Taxation, Tax Arbitrage and Equilibrium Asset Prices," Journal of Mathematical Economics, 35, 347-382. |
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V. Errunza & S. Mazumdar, "Privatization: A Theoretical Framework," Journal of International Financial Markets, Institutions and Money, 11, 339-362. |
2000 |
B. Croitoru & S. Basak, "Equilibrium Mispricing in a Capital with Portfolio Constraints," Review of Financial Studies, 13, 715-748. |
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K. Jacobs & J. Ham, "Testing for Full Insurance Using Exogenous Information," Journal of Business and Economic Statistics, 18, 387-397. |
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P. Christoffersen & P. Doyle, "From Inflation to Growth--Eight Years of Transition," Economics of Transition,8, 421-451. |
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J. Ericsson, "Asset Substitution, Debt Pricing, Optimal Leverage and Optimal Maturity," Finance, 21. |
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V. Errunza & D. Miller, "Market Segmentation and the Cost of Capital in International Equity Markets," Journal of Financial and Quantitative Analysis, 35, 577-500. |
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P. Christoffersen & V. Errunza, "Towards A Global Financial Architecture: Capital Mobility and Risk Management Issues," Emerging Markets Review, 1(1) , 3-20. |
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P. Christoffersen & L. Giorgianni, "Interest Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk," Journal of Business and Economic Statistics, 18, 242-253. |
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P. Christoffersen & F. Diebold, "How Relevant Are Volatility Dynamics for Risk Management?" Review of Economics and Statistics, 82, 12-22. |
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V. Errunza, K. Hogan & M.-W. Hung, "Market Segmentation and Noise Trader Risk," International Journal of Theoretical and Applied Finance, 3(1), 85-100. |
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S. Sarkissian and P. Fedorov, "Cross-Sectional Variations in the Degree of Global Integration: The Case of Russian Equities," Journal of International Financial Markets, Institutions & Money, 10(2), 131-150. |
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K. Jacobs, "Aggregate Consumption and the Predictability of Asset Returns," Journal of Business and Economic Statistics, 18, 58-76. |
1999 |
P. Christoffersen & J. Hahn, "Nonparametric Testing of ARCH for Option Pricing". Proceedings of the Sixth International Conference on Computational Finance. Edited by Y.S. Abu-Mostafa, B. LeBaron, A.W. Lo, and A.S. Weigend, Cambridge, MA: MIT Press. |
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P. Christoffersen, Review of Clements and Hendry's: Forecasting Non-stationary Economic Time Series, Cambridge: MIT Press, Journal of the American Statistical Association, March. |
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S. Sarkissian, W. Ferson, and T. Simin, "The Alpha Factor Asset Pricing Model: A Parable," Journal of Financial Markets, 2(1), 49-68. |
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V. Errunza, K. Hogan & M.W. Hung, "Can the Gains from International Diversification be Achieved Without Trading Abroad?" Journal of Finance, 54, 2075-2107. |
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K. Jacobs, "Incomplete Markets and Security Prices: Do Asset-Pricing Puzzles Result from Aggregation Problems?" Journal of Finance, 54, 123-164. |
1998 |
P. Christoffersen, "Evaluating Interval Forecasts," International Economic Review, 39, 841-862. |
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P. Christoffersen & F. Diebold, "Cointegration and Long Horizon Forecasting," Journal of Business and Economic Statistics, 16, 450-458. |
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P. Christoffersen, F. Diebold & T. Schuermann, "Horizon Problems and Extreme Events in Financial Risk Management," Economic Policy Review, Federal Reserve Bank of New York, 109-118. |
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V. Errunza, K. Hogan & L. Senbet, "The Pricing of Country Funds From Emerging Markets: Theory and Evidence," International Journal of Theoretical and Applied Finance, 1, 111-143. |
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V. Errunza & K. Hogan, "Macroeconomic Determinants of European Stock Market Volatility," European Finance Management, 4(3), 361-377. |
