Our original research not yet submitted to a peer-reviewed journal; doctoral dissertations.
How the carry trade is subject to crash risk during funding liquidity crisis. Results help resolve the “forward premium puzzle.”
This paper studies negotiating techniques and outcomes through the lens of high-stakes poker tournaments.
This paper looks at the earnings announcement premiums and shows that stocks with the largest predicted volume increases in previous announcement months tend to have higher subsequent premia.
Shorting costs are high for corporate bonds that are of worse credit, more expensive relative to the CDS, have equity on special, smaller issues, and more illiquid.
This paper investigates the causes and consequences of financial regulation by studying the political economy of U.S. state usury laws in the 19th century.
We estimate the price of liquidity risk, including contemporaneous liquidity risk and the future liquidity risk arising from new information.
We contend that researchers advocating a new method for using balance sheet data to forecast stock returns are misleading about the efficacy of their approach.
After reviewing a year’s trading of all securities on the New York Stock Exchange, we find no evidence that short sales are concentrated before bad news events.
A survey of more than 2,000 firms to determine whether the quality of corporate governance affects operating performance, class-action lawsuits, accounting restatements and other events.
We find that CEOs with close ties to their boards of directors earn substantially higher levels of total compensation, as do members of the board’s compensation committee.