Working Papers




V. Errunza, I Chaieb and H. Langlois, "Is Liquidity Risk Priced in Partially Segmented Markets?".


P. Augustin, M. Chernov and D. Song, "Sovereign Credit Risk and Exchange Rates:  Evidence from CDS Quanto Spreads".


P. Augustin, M. Brenner, G. Grass and M. Subrahmanyam"How Do Insiders Trade"?



V. Errunza and I. Chaieb, "Exchange Risk and Market Integration?".


V. Errunza, I. Chaieb and Rajna Gibson Brandon, "Integration of Sovereign Bond Markets:  Time Variation and Maturity Effects".



V. Errunza and B Col, "Havenly Acquisitions".


P. Augustin and Y. Izhakian,"Ambiguity, Volatility, and Credit Risk".



P. Augustin, M. Brenner, J. Hu and M.G. Subrahmanyam, "Are Corporate Spin-offs Prone to Insider Trading?".


P. Augustin, H. Boustanifar, J. Breckenfelder and J. Schnitzler, "Sovereign to Corporate Risk Spillovers".


P. Augustin, F. Jiao, S. Sarkissian, M.J. Schill, "Multi-Market Trading and Cross-Asset Integration".



V. Errunza and B. Col, "Corporate Governance and State Expropriation Risk".


P. Augustin, "The Term Structure of CDS Spreads and Sovereign Credit Risk".


S. Betermier, L. Calvet and  P. Sodini, "Who are the Value and Growth Investors?"


 P. Augustin, M. Brenner, and M.G. Subrahmanyam, "Informed Options Trading prior to M&A Announcements: Insider Trading?"


 P. Augustin, M.G. Subrahmanyam, D.Y. Tang, S.Q. Wang, "Credit Default Swaps - A Survey"



S. Christoffersen, R. Evans and D.K. Musto, "What Do Consumers' Fund Flows Maximize? Evidence From Their Brokers' Incentives".


P. Christoffersen, J. Ericsson, K. Jacobs and X. Jin, "Exploring Dynamic Default Dependence".


B.-Y. Chang, P. Christoffersen, K. Jacobs and G. Vainberg, "Option-Implied Measures of Equity Risk". Updated from "Forward-Looking Betas," manuscript


M. Chaudhury, "Issues in Operational Risk Capital Modeling".


S. Christoffersen and S. Sarkissian, "The Demographics of Fund Turnover".    


S. Christoffersen and Y. Tang, "Institutional Herding and Information Cascades: Evidence From Daily Trades".


S. Christoffersen, A. Nain and Y. Tang, "IPO Cycles, Firm Characteristics, and the Role of Underwriters".



P. Christoffersen, K. Jacobs and C. Ornthanalai, "Exploring Time-Varying Jump Intensities: Evidence from S&P 500 Returns and Options".


P. Christoffersen,K. Jacobs, L. Karoui and K. Mimouni, "Nonlinear Filtering in Affine Term Structure Models: Evidence from the Term Structure of Swap Rates".


S. Christoffersen and D. Musto, "High Water Marks in Competitive Capital Markets".



G. Capelle-Blanchard and M. Chaudhury, " Spider Options and the S&P 500 Index Options Market".


S. Christoffersen, D. Keim and D. Musto, "Valuable Information and Costly Liquidity: Evidence from Individual Mutual Fund Trades".                                       



K. Jacobs, S. Pallage and M. Robe, "Market Incompleteness and the Equity Premium Puzzle: Evidence from State-Level Data," paper submitted for review to the Journal of International Money and Finance.


K. Jacobs, S. Pallage and M. Robe, "The Welfare Costs of Macroeconomic Fluctuations Under Incomplete Markets: Evidence from State-Level Consumption Data," paper under review.        


K. Jacobs, "The Rate of Risk Aversion May be Lower Than You Think," paper under revision.


P. Christoffersen, F.X. Diebold, R.S. Mariano, A.S. Tay and Y.K. Tse, "Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence," Manuscript, McGill University.


P. Christoffersen, K. Jacobs and K. Mimouni, "An Empirical Comparison of Affine and Non-Affine Models for Equity Index Options," paper under revision.


P. Christoffersen, K. Jacobs and G. Vainberg, "Forward-Looking Betas," paper submitted for review to the Journal of Political Economy.



V. Errunza, F. Carrieri and S. Sarkissian, "The Dynamics of Geographic Versus Sectoral Diversification: Is There a Link to the Real Economy?" cited in N.Y. Times, Mutual Funds Report, page 30, October 9, 2005. 


P. Christoffersen, K. Jacobs and Y. Wang, "Volatility Components: Affine Restrictions and Non-normal Innovations".


P. Christoffersen, K. Jacobs and K. Mimouni, "An Empirical Comparison of Affine and Non-Affine Models for Equity Index Options".


P. Christoffersen, K. Jacobs and R. Elkamhi, "No-Arbitrage Valuation of Contingent Claims in Discrete Time".


K. Jacobs, "Estimating the Rate of Relative Risk Aversion: Interpreting the Evidence from Panel Data," paper under revision for resubmission to Macroeconomic Dynamics at the request of the editor.


P. Christoffersen, K. Jacobs and K. Mimouni, "An Empirical Comparison of Affine and Non-affine Models for Equity Index Options," Manuscript, McGill University.



P. Christoffersen and S. Mazzotta, "The Informational Content of Over-the-Counter Currency Options," European Central Bank Working Paper No 366.


F. Carrieri, V. Errunza and B. Majerbi, "Global Price of Foreign Exchange Risk and the Local Factor".                                                                                                


K. Jacobs, S. Pallage and M.A. Robe, "Market Incompleteness and the Equity Premium Puzzle:  Evidence from State-Level Data".



S. Sarkissian and M. Schill, "The Cost of Capital Effects of Overseas Listings:  Market Sequencing and Selection".                                                                            


P. Christoffersen and A. Pavlov, "Company Flexibility, the Value of Management and Managerial Compensation".                                                         


F. Carrieri, V. Errunza, B. Majerbi, "Global Price of Foreign Exchange Risk and the Local Factor".   



P. Christoffersen and K. Jacobs, "Which Volatility Model for Option Valuation?"


S. Christoffersen & S. Sarkissian,  "Location Overconfidence".


S. Christoffersen, C. Geczy, D. Musto, A. Reed, "The Market for Record-Date Ownership".                                                                                                                  



S. Banerji & Ngo Van Long, "Wealth Distribution, Entrepreneurship & Intertemporal Trade".                                                                                                                  


S. Sarkissian, "The Cross-Country Consumption Dispersion and the World Business Cycle".                                                                                    


M. Chaudhury & K. Ramagopal, "Credibility, Public Debt and Foreign Exchange Intervention".


G. Capelle-Blancard & M. Chaudhury, "Efficiency Tests of the French Index (CAC 40) Options Market".



P. Christoffersen, "Dating the Turning Points of Nordic Business Cycles".                                                                                                                                             


P. Christoffersen & T. Sløk, "Do Asset Prices in Transition Countries Contain Information About Future Economic Activity?"                                        



P. Christoffersen J. Hahn & A. Inoue, "Testing, Comparing & Combining Value-at-Risk Measures".                                                                                                              


P. Christoffersen & R. Wescott, "Is Poland Ready for Inflation Targeting".


M. Kalimipalli & A. Warga, "Bid/Ask Spread and Volatility in the Corporate Bond Market".    


M. Kalimipalli & R. Susmel, "Switching Stochastic Volatility, Two-Factor Models and Term Structure".                                                                         


M. Robe & S. Pallage, "Foreign Aid and the Business Cycle".



M. Robe, "How Costly Are Limited Liability Rules?"


M. Robe, "Simulating a Standard Agency Model".                                                                                                                                                


K. Wang, "Tests of Conditional Asset Pricing Models: A New Approach". 


K. Wang, "Changing Risk Aversion, Unexpected Inflation, and Term Structure Variation".                                                                                                                          



M. Chaudhury & J. Wei, "A Comparative Study of GARCH (1,1) and Black-Scholes Option Prices".