Our Newest Publications

Xu Jiang and Yan Xiong, Economic Consequences of Managerial Compensation Contract Disclosure, Journal of Accounting and Economics, forthcoming.

Winston Dou, Yan Ji and Wei Wu, The Oligopoly Lucas Tree, Review of Financial Studies, forthcoming.

Yan Xiong and Liyan Yang, Disclosure, Competition and Learning from Asset Prices, Journal of Economic Theory, forthcoming. 

Shiyang Huang, Yan Xiong and Liyan Yang, Skill Acquisition and Data Sales, Management Science, forthcoming.

Jessica A. Wachter and Yicheng Zhu, A Model of Two Days: Discrete News and Asset Prices, Review of Financial Studies, forthcoming.

Shichao Ma and Yan Xiong, 2020, Information Bias in the Proxy Advisory Market, Review of Corporate Finance Studies,10(1), 82–135.

Torben G. Andersen, Yingying Li, Viktor Todorov, and Bo Zhou,Volatility Measurement with Pockets of Extreme Return Persistence, Journal of Econometrics, forthcoming.

Yingying Li, Guangying Liu, and Zhiyuan Zhang, Volatility of Volatility: Estimation and Tests Based on Noisy High Frequency Data with Jumps, Journal of Econometrics, forthcoming.

Jura Liaukonyte and Alminas Žaldokas, Background Noise? TV Advertising Affects Real-Time Investor Behavior, Management Science, forthcoming.

Zhanhui ChenInferring Stock Durations Around FOMC Surprises: Estimates and Implications, Journal of Financial and Quantitative Analysis, forthcoming.

Utpal Bhattacharya, Daisy Huang and Kasper Meisner Nielsen, Spillovers in Prices: The Curious Case of Haunted Houses, Review of Finance, forthcoming.

Ray Fisman, Arkodipta Sarkar, Janis Skrastins and Vikrant Vig, Experience of Communal conflict and intergroup lending, Journal of Political Economy, forthcoming.

Frank Weikai Li, Abhiroop Mukherjee and Rik Sen, Inside brokers, Journal of Financial Economics 141(3), 1096-1118.

Chengzhu Sun, Shujing Wang and Chu Zhang, Corporate payout policy and credit risk: evidence from CDS markets, Management Science 67(9), 5755-5775.

Zhen Wang and Chu Zhang, Why did the investment-cash flow sensitivity decline over time?, Journal of Financial and Quantitative Analysis 56(6), 2272-2308.

Winston Dou, Yan Ji and Wei Wu, Competition, Profitability, and Discount Rates, Journal of Financial Economics 140(2), 582-620.

Winston Dou and Yan Ji, External Financing and Customer Capital: A Financial Theory of Markups, Management Science 67(9), 5569-5585.

Yi Ding, Yingying Li and Xinghua Zheng, High Dimensional Minimum Variance Portfolio Estimation under Statistical Factor Models, Journal of Econometrics, forthcoming.

Yan Ji, Job Search under Debt: Aggregate Implications of Student Loans, Journal of Monetary Economics 117, 1-18.

Tony Cai, Jianchang Hu, Yingying Li and Xinghua Zheng, High-dimensional Minimum Variance Portfolio Estimation Based on High-frequency Data,  Journal of Econometrics214(2), 2020, 482-494.

Gurdip Bakshi, Xiaohui Gao and George Panayotov, A Theory of Dissimilarity between Stochastic Discount Factors, Management Scienceforthcoming.

Thomas Bourveau, Guoman She and Alminas Žaldokas, 2020, Corporate Disclosure as a Tacit Coordination Mechanism: Evidence from Cartel Enforcement Regulations, Journal of Accounting Research, 58(2),295-332.

Hengjie Ai, Jun Li, Kai Li and Christian Schlag, The Collateralizability Premium, Review of Financial Studies 33(12), 5821-5855.

Hengjie Ai, Kai Li and Fang Yang, Financial Intermediation and Capital Reallocation, Journal of Financial Economics, 138(3), 663-686.

Era Dabla-Norris, Yan Ji, Robert M. Townsend and D. Filiz Unsal, Distinguishing Constraints on Financial Inclusion and Their Impact on GDP, TFP, and the Distribution of Income, Journal of Monetary Economics 117, 1-18.

Abhiroop Mukherjee, George Panayotov and Janghoon Shon, Eye in the Sky: Private Satellites and Government Macro Data, Journal of Financial Economics 141(1), 234-254.

Jonathan Goldberg and Yoshio Nozawa, Liquidity Supply in the Corporate Bond Market, Journal of Finance 76(2), 755-796.

Zhanhui Chen, Ilan Cooper, Paul Ehling, and Costas Xiouros, Risk Aversion Sensitive Real Business Cycles, Management Science 67(4),2483-2499.

Winston Dou, Yan JiDavid Reibstein, and Wei Wu, Inalienable Customer Capital, Corporate Liquidity, and Stock Returns, Journal of Finance 76(1),211-265.

Farzad Saidi and Alminas Žaldokas, How Does Firms' Innovation Disclosure Affect Their Banking Relationships?, Management Science67(2), 742-768.

Utpal Bhattacharya, Kelsey Wei and Han Xia, 2019, Follow the Money: Investor Trading Around Investor-Paid Credit Rating Changes, Journal of Corporate Finance, 58, 68-91.

Kee-Hong Bae, Utpal Bhattacharya, Jisok Kang and S. Ghon Rhee, 2019, Nominal Stock Price Anchors: A Global Phenomenon?, Journal of Financial Markets44, 31-41.

Ailin Dong, Massimo Massa, and Alminas Žaldokas, 2019, The Effects of Global Leniency Programs on Margins and Mergers, RAND Journal of Economics, 5(4), 883-915.

Jess Benhabib, Xuewen Liu, and Pengfei Wang, 2019, Financial Markets, the Real Economy, and Self-fulfilling Uncertainties, Journal of Finance, 74(3), 1503-1557.

S. Andersen and T. Hanspal, K. Nielsen, 2019, Once bitten, twice shy: The power of personal experiences in risk taking, Journal of Financial Economics,132 (3), 97-117.

Gang Li and Chu Zhang, 2019, Counterparty Credit Risk and Derivatives Pricing, Journal of Financial Economics, 134(3), 647-668.

Yung Chiang Yang, Bohui Zhang, and Chu Zhang, 2019, Is Information Risk Priced? Evidence from Abnormal Idiosyncratic Volatility, Journal of Financial Economics, 135(2), 528-554. 

Sudipto Dasgupta and Alminas Žaldokas, 2019, Anticollusion Enforcement: Justice for Consumers and Equity for Firms, Review of Financial Studies 32(7), 2587–2624.

Mengmeng Ao, Yingying Li and Xinghua Zheng, 2019, Approaching Mean-Variance Efficiency for Large Portfolios, Review of Financial Studies, 32 (7), 2019, 2499-2540.

Jean Jacod, Yingying Li and Xinghua Zheng, 2019, Estimating the Integrated Volatility with Tick ObservationsJournal of Econometrics, 208 (1), 2019, 80-100.

Yingying Li, Zhiyuan Zhang and Yichu Li, 2018, A Unified Approach to Volatility Estimation in the Presence of Both Rounding and Random Market Microstructure Noise, Journal of Econometrics, 203 (2), 2018, 187-222.

Ravi Jagannathan and Binying Liu, 2018, Dividend Dynamics, Learning, and Expected Stock Index Returns, Journal of Finance 74(1), 401-448.

Hengjie Ai, M. Max Croce, Anthony M. Diercks and Kai Li, 2018, News Shocks and the Production-Based Term Structure of Equity Returns, Review of Financial Studies 31(7), 2423–2467.

Utpal Bhattacharya, Wei-Yu Kuo, Tse-Chun Li, and Jing Zhao, 2018, Do Superstitious Traders Lose Money? Management Science, 64, 3772-3791.

Jean Jacod, Yingying Li, and Xinghua Zheng, 2017, Statistical Properties of Microstructure Noise,  Econometrica, 85, 2017, 1133-1174

Jonathan B. Berk, Jules H. van Binsbergen, and Binying Liu, 2017, Matching Capital and Labor,  Journal of Finance 72(6), 2467-2504.

Abhiroop Mukherjee, Manpreet Singh, and Alminas Žaldokas, 2017, Do Corporate Taxes Hinder Innovation? Journal of Financial Economics 124(1), 195-221.

Bruno Solnik and Luo Zuo, 2017, Relative Optimism and the Home Bias Puzzle, Review of Finance 21(5), 2045–2074.

Utpal Bhattacharya, Po-Hsuan Hsu, Xian Tian, and Yan Xu, 2017, What Affects Innovation More: Policy or Policy Uncertainty? Journal of Financial and Quantitative Analysis 52, 1869-1901.

Utpal Bhattacharya, Andreas Hackethal, Benjamin Loos, and Steffen Meyer, 2017,  Abusing ETFs, Review of Finance 21, 1217-1250.

Vidhan K. Goyal and Wei Wang, 2017, Provision of Management Incentives in Bankrupt Firms, Journal of Law, Finance, and Accounting 2, 87-123.

Xuewen Liu and Antonio Mello, 2017, The Creditor Channel of Liquidity Crises, Journal of Money, Credit and Banking 49(6),1113–1160.

Massimo Massa and Alminas Žaldokas, 2017,Information Transfers among Coowned Firms, Journal of Financial Intermediation 31, 77-92.

Harrison Hong, David Sraer, and Jialin Yu, 2017, Inflation Bets on the Long Bond, Review of Financial Studies 30(3), 900–947.

Steffen Andersen and Kasper Meisner Nielsen, 2017, Fire sales and house prices: Evidence from estate sales due to sudden death, Management Science  63(1), 201-212.

Xuewen Liu, 2016, Interbank Market Freezes and Creditor Runs, Review of Financial Studies 29(7), 1860-1910.

Radhakrishnan Gopalan, Abhiroop Mukherjee, and Manpreet Singh, 2016, Do Debt Contract Enforcement Costs Affect Financing and Asset Structure? Review of Financial Studies 29 (10), 2774-2813.

Nicholas Barberis, Abhiroop Mukherjee, and Baolian Wang, 2016, Prospect Theory and Stock Returns: An Empirical Test, Review of Financial Studies 29(11), 3068-3107.

Darwin Choi, Bige Kahraman, and  Abhiroop Mukherjee, 2016, Learning About Mutual Fund Managers, Journal of Finance 71(6), 2809-2859.

Jess Benhabib, Xuewen Liu, and Pengfei Wang, 2016, Endogenous Information Acquisition and Countercyclical Uncertainty, Journal of Economic Theory 165,601-642.

Jess Benhabib, Xuewen Liu, and Pengfei Wang, 2016, Sentiments, Financial Markets, and Macroeconomic Fluctuations, Journal of Financial Economics 120(2), 420-443.

Gang Li and Chu Zhang, 2016, On the Relationship between Conditional Jump Intensity and Diffusive Volatility, Journal of Empirical Finance 27, 196-213.

Bruno Solnik and Thaisiri Watewai, 2016, International Correlation Asymmetries: Frequent-but-Small and Infrequent-but-Large Returns, Review of Asset Pricing Studies 6(2), 221–260.

Ling Cen, Sudipto Dasgupta, and Rik Sen, 2016, Discipline or Disruption: Stakeholder Relationships and the Effect of Takeover Threat, Management Science 62(10), 2765-3084.

Utpal Bhattacharya and Stacey Jacobsen, 2016, The Share Repurchase Announcement Puzzle: Theory and Evidence, Review of Finance 20, 725-758.

Ling Cen, Sudipto Dasgupta, Redouane Elkamhi, and Raunaq S. Pungaliya, 2016, Reputation and Loan Contract Terms: the Role of Principal Customers, Review of Finance 20(2), 501-533.

Yingying Li, Shangyu Xie, and Xinghua Zheng, 2016, Efficient Estimation of Integrated Volatility Incorporating Trading Information, Journal of Econometrics 195(1), 33-50.

Yingying Li and Per A. Mykland, 2015, Rounding Errors and Volatility Estimation, Journal of Financial Econometrics 13(2), 2015, 478-504.

Utpal Bhattacharya, Alexander Borisov and Xiaoyun Yu, 2015, Firm Mortality and Natal Financial Care, Journal of Financial and Quantitative Analysis 50, 61-88.

Gurdip S. Bakshi, Dilip Madan, and George Panayotov, 2015, Heterogeneity in Beliefs and Volatility Tail Behavior, Journal of Financial and Quantitative Analysis 50 (6), 1389-1414.

Murray Frank and Vidhan K. Goyal, 2015, The Profit-Leverage Puzzle Revisited, Review of Finance 19, 1415-1453.

Xuewen Liu, 2015, Short-selling Attacks and Creditor Runs, Management Science 61(4), 814-830.

Bang Dang Nguyen and Kasper Meisner Nielsen, 2014, What Death Can Tell: Are Executives Paid for their Contribution to Firm Value? Management Science 60(12), 2994-3010.

Massimo Massa and Alminas Žaldokas, 2014, Investor Base and Corporate Borrowing Policy: Evidence from International Corporate Bonds, Journal of International Economics.

Yingying Li, Per A. Mykland, Eric Renault, Lan Zhang, and Xinghua Zheng, 2014, Realized Volatility When Sampling Times are Possibly Endogenous, Econometric Theory 30, 580-605.