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Research Publications

 

 

2013

 R. Goyenko and S. Sarkissian, "Treasury Bond Illiquidity and Global Equity Returns," forthcoming, Journal of Financial and Quantitative Analysis.

 

 R. Goyenko and Y. Amihud, "Mutual Fund's R2 as Predictor of Performance," Review of Financial Studies, 26(3), 667-694.

 

 M. Bouvard, "Real Option Financing Under Asymmetric Information," forthcoming, Review of Financial Studies.

 

 J. Ericsson, H. Doshi, K. Jacobs and S. Turnbull, "Pricing Credit Default Swaps with Observable Covariates," forthcoming, Review of Financial Studies.

 

 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.

 

 J. Ericsson, R. Elkamhi and C. Parsons, "The Cost of Financial Distress and the Timing of Default," Journal of Financial Economics.

 

 S. Betermier, T. Jansson, C. Parlour and J. Walden, "Hedging Labor Income Risk," Journal of Financial Economics, Vol. 105, 3, 622-639.

 

 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.

 

 J. Ericsson, R. Elkamhi and H. Wang, "What Risks Do Corporate Bond Put Features Insure Against?" Journal of Futures Markets.

 

 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.

 

 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.

 

 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.
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.
P. Christoffersen, C. Dorion, K. Jacobs and Y. Wang, "Volatility Components: Affine Restrictions and Non-Normal Innovations," forthcoming Journal of Business and Economic Statistics.
P. Christoffersen, J. Berkowitz and D. Pelletier, "Evaluating Value-at-Risk Models with Desk-Level Data," forthcoming Management Science.
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.
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.
L. Barras, O. Scaillet and R. Wermers, "False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas," Journal of Finance, 65, 179-216.
 
 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.
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.
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.
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.
A. Durnev and C. Mangen, "Corporate Investments: Learning from Restatements," Journal of Accounting Research, 47(3), 679-720.
R. Goyenko, and A. Ukhov, "Stock and Bond Market Liquidity: A Long-Run Empirical Analysis," Journal of Financial and Quantitative Analysis, 44,189-212.
R. Goyenko, C. Holden and C. Trzcinka, "Do Lquidity Measures Measure Liquidity?" Journal of Financial Economics, 92, 153-181.
S. Christofersen and S. Sarkissian, "City Size and Fund Performance", Journal of Financial Economics, 92, 252-275. Swiss Finance Institute Outstanding Paper Award.
S. Sarkissian and M. Schill, "Are There Permanent Valuation Gains to Overseans Listing?" Review of Financial Studies, 22(1), 371-412.
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.
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.
K. Jacobs and X. Li, "Modeling the Dynamics of Credit Spreads with Stochastic Volatility," Management Science, June 54(6), 1176-1188.
 
 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.

 




 

2007

 L. Barras,"International Conditional Asset Allocation Under Specification Uncertainty," Journal of Empirical Finance, 14, 443-464.
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.
S. Christoffersen, C. Geczy, D.K. Musto and A.V. Reed, "Vote Trading and Information Aggregation," Journal of Finance, 62(6) December.
B. Croitoru and S. Basak, "International Good Market Segmentation and Financial Innovation," Journal of International Economics, 71, 267-293.
K. Jacobs, "Consumption-Leisure Nonseparabilities in Asset Market Participants' Preferences," Journal of Monetary Economics, 54,  2131-2138.
V. Errunza and I. Chaieb, " International Asset Pricing Under Segmentation and PPP Deviations,"  Journal of Financial Economics, 86, 543-578.
J. Xu, Price Convexity and Skewness, Journal of Finance LXII, October, 2521-2552.  
F. Carrieri, V. Errunza and K. Hogan, "Characterizing World Market Integration Overtime,"Journal of Financial and Quantitative Analysis, 42, 915-940.
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.
P. Christoffersen, S. Heston and K. Jacobs, "A Dynamic Model of Option Skewness," Journal of Econometrics, 131, 253-284.
M. Chaudhury, "What Drives the Growth of Aggregate Residential Mortgage Debt in the U.S.?" Journal of Fixed Income, 16(1), June, 21-37.
B. Croitoru and S. Basak, "On the  Role of Arbitrageurs in Rational Markets," Journal of Financial Economics, 81, 143-173.
J. Ericsson and O. Renault, "Liquidity and Credit Risk," Journal of Finance, 61(5).
M. Chaudhury, "Upper Bounds for American Options," forthcoming, Research in Finance 23, 2006.
A. Nain, C. Bouwman and K. Fuller, "Market Valuation and Acquisition Quality: Empirical Evidence," forthcoming, Review of Financial Studies.
G. Capelle-Blancard and M. Chaudhury, "Price Clustering in the CAC 40 Index Options Market," forthcoming, Applied Financial Economics.
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.
F. Carrieri and B. Majerbi, "The Pricing of Exchange Risk in Emerging Stock Markets," Journal of International Business Studies, 37, 372-391.
P. Christoffersen and F.X. Diebold, "Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics," Management Science, 52, 1273-1287.
P. Christoffersen, S. Heston and K. Jacobs, "Option Valuation with Conditional Skewness," Journal of Econometrics, 131, 253-284.
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.
P. Christoffersen, T.G. Andersen, T. Bollerslev and F.X. Diebold, Volatility, in preparation, Princeton University Press.
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.
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. IIAPM
P. Christoffersen and S. Goncalves, "Estimation Risk in Financial Risk Management," Journal of Risk, 7, 1-28. ERFRM
P. Christoffersen and S. Mazzotta, "The Accuracy of Density Forecasts from Foreign Exchange Options," Journal of Financial Econometrics, 3, 578-605. ADFFEO
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. VCF
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.). PVCM
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. SNS
J. Ericsson and J. Reneby, "Estimating Structural Bond Pricing Models," Journal of Business, Vol. 78(2).
S. Banerji and V. Errunza, "Privatization Under Incomplete Information and Bankruptcy Risk," Journal of Banking and Finance, 29, 735-717. PUIIBR
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. TICOOI
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.
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.
P. Christoffersen and K. Jacobs, "Which GARCH Model for Option Valuation?" Management Science, 50, 1204-1221.
S. Sarkissian and M. Schill, "The Overseas Listing Decision: New Evidence of Proximity Preference," Review of Financial Studies, 17(3), 769-809
P. Christoffersen and D. Pelletier, "Backtesting Value at Risk: A Duration-Based Approach," Journal of Financial Econometrics, 2, 84-108.
F. Carrieri, V. Errunza and S. Sarkissian, "Industry Risk and Market Integration," Management Science, 50(2), 207-221. IRMI
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.
S. Banerji, S. Bhattacharya and N. Van Long, "Can Financial Intermediaries Induce Endogenous Fluctuations," forthcoming in Journal of Economic Dynamics and Control. CFIIEF
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.
A. de Motta, "Managerial Incentives and Internal Capital Markets," Journal of Finance, LVII(3), 1193-1220.
J. Ericsson and J. Reneby, "Stock Options as Barrier Contingent Claims," Applied Mathematical Finance, 10, 121-147.
J. Ericsson, S. Das and M. Kallimipalli, "Bond Market Liquidity," Journal of Investment Management, 1(4), 95-103.
P. Christoffersen, Elements of Financial Risk Management, Elsevier Academic Press, July, 214 pp.
P. Christoffersen, "Meaningful Risk Measures," Canadian Investment Review, Winter, R15.
S. Sarkissian, W. Ferson and T. Simin, "Spurious Regressions in Financial Economics?," Journal of Finance, 68(4), 1393-1413.
S. Sarkissian, "Incomplete Consumption Risk Sharing and Currency Risk Premiums," Review of Financial Studies, 16(3), 983-1005.
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. VESGEO

 

2002

 S. Christoffersen and D. Musto, "Demand Curves and the Pricing of Money Management," Review of Financial Studies, 15(5).
P. Christoffersen, E. Ghysels and N. Swanson, "Let's Get 'Real' about Using Economic Data,"  Journal of Empirical Finance, 9, 343-360.
S. Banerji, A.H. Chen and S.C. Mazumdar, "Universal Banking Under Bilateral Information Assymettry," Journal of Financial Services Research, 169-187.
M. Chaudhury & A. Chen, "The Market Value and Dynamic Interest Rate Risk of Swaps," Research in Finance, 19, 199-239.

 

2001

 F. Carrieri, "The Effects of Liberalization on Market and Currency Risk in the European Union," European Financial Management, 7, 259-290. ELMCR
 
 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).
S. Christoffersen, "Why Do Money Fund Managers Voluntarily Waive Their Fees?" Journal of Finance, 56(3), 1117-1140. WDMFM
P. Christoffersen, J. Hahn and A. Inoue, "Testing and Comparing Value-at-Risk Measures," Journal of Empirical Finance, 8, 325-342.
P. Christoffersen, T. Sloek and R. Wescott, "Is Inflation Targeting Feasible in Poland?" Economics of Transition, 9, 153-174.
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.
B. Croitoru & S. Basak, "Nonlinear Taxation, Tax Arbitrage and Equilibrium Asset Prices," Journal of Mathematical Economics, 35, 347-382.
V. Errunza & S. Mazumdar, "Privatization: A Theoretical Framework," Journal of International Financial Markets, Institutions and Money, 11, 339-362. PTF

 

2000

 B. Croitoru & S. Basak, "Equilibrium Mispricing in a Capital with Portfolio Constraints," Review of Financial Studies, 13, 715-748.
K. Jacobs & J. Ham, "Testing for Full Insurance Using Exogenous Information," Journal of Business and Economic Statistics, 18, 387-397.
P. Christoffersen & P. Doyle, "From Inflation to Growth--Eight Years of Transition," Economics of Transition,8, 421-451.
J. Ericsson, "Asset Substitution, Debt Pricing, Optimal Leverage and Optimal Maturity," Finance, 21.
V. Errunza & D. Miller, "Market Segmentation and the Cost of Capital in International Equity Markets," Journal of Financial and Quantitative Analysis, 35, 577-500.
P. Christoffersen & V. Errunza, "Towards A Global Financial Architecture: Capital Mobility and Risk Management Issues," Emerging Markets Review, 1(1) , 3-20.
P. Christoffersen & L. Giorgianni, "Interest Rate Arbitrage in Currency Baskets:  Forecasting Weights and Measuring Risk," Journal of Business and Economic Statistics, 18, 242-253.
P. Christoffersen & F. Diebold, "How Relevant Are Volatility Dynamics for Risk Management?"  Review of Economics and Statistics, 82, 12-22.
V. Errunza, K. Hogan & M.-W. Hung, "Market Segmentation and Noise Trader Risk," International Journal of Theoretical and Applied Finance, 3(1), 85-100.
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.
K. Jacobs,  "Aggregate Consumption and the Predictability of Asset Returns," Journal of Business and Economic Statistics, 18, 58-76. ACPAR

 

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.
P. Christoffersen, Review of Clements and Hendry's: Forecasting Non-stationary Economic Time Series, Cambridge: MIT Press, Journal of the American Statistical Association, March. CHBook
S. Sarkissian, W. Ferson, and T. Simin, "The Alpha Factor Asset Pricing Model:  A Parable," Journal of Financial Markets, 2(1), 49-68.
V. Errunza, K. Hogan & M.W. Hung, "Can the Gains from International Diversification be Achieved Without Trading Abroad?" Journal of Finance, 54, 2075-2107.
K. Jacobs, "Incomplete Markets and Security Prices: Do Asset-Pricing Puzzles Result from Aggregation Problems?" Journal of Finance, 54, 123-164. IMSP

 

1998

 P. Christoffersen, "Evaluating Interval Forecasts," International Economic Review, 39, 841-862.
P. Christoffersen & F. Diebold, "Cointegration and Long Horizon Forecasting," Journal of Business and Economic Statistics, 16, 450-458.
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.
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.
V. Errunza & K. Hogan, "Macroeconomic Determinants of European Stock Market Volatility," European Finance Management, 4(3), 361-377.

 

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