Recent Work

Parent: Finance

eScholarship stats: History by Item for December, 2024 through March, 2025

ItemTitleTotal requests2025-032025-022025-012024-12
9mf223rsThe MIDAS Touch: Mixed Data Sampling Regression Models48115311199118
43n1k4jbValuing American Options by Simulation: A Simple Least-Squares Approach424969896134
7gh9t9w3Order Imbalance, Liquidity, and Market Returns17148464433
5bb1j39qBond Pricing with Default Risk16644294647
51k331cjChanges in Credit Policy: Reconciliation and Extensions1532394873
36v1d9zgDynamic Choice and Risk Aversion12753271532
5zf0f3tgWealthy People and Fat Tails: An Explanation for the Lévy Distribution of Stock Returns12741343121
7dm2d31pCredit Risk and Risk Neutral Default Probabilities: Information About Migrations and Defaults12738373319
8wz980p5The Blind Leading the Blind: Social Influence, Fads, and Informational Cascades11037311626
32x284q3The Components of Corporate Credit Spreads: Default, Recovery, Tax, Jumps, Liquidity, and Market Factors9728251826
53p0r65qDollar Cost Averaging9421232921
4qw3p6rpTransactions Costs in the Foreign Exchange Market9021162825
29403706Corruption, Firm Governance, and the Cost of Capital8211241631
6x49x543Do Industries Lead the Stock Market? Gradual Diffusion of Information and Cross-Asset Return Predictability7315111829
7j94111cHubris, Learning, and M&A Decisions7120202110
00n6f3phPolitical Cycles and the Stock Market6922121718
0499w44pOption Strategies: Good Deals and Margin Calls6715161917
0xw5m9mzA Unifying Theory of Value Based Management6413221118
34k8f3pvOrder Imbalance and Individual Stock Returns6319171215
6zx6m7fpRisk and Return in Fixed Income Arbitage: Nickels in Front of a Steamroller?592261417
1xw4w7skPrivate vs. Public Lending: Evidence from Covenants5620141210
6668s4pzOn the Evolution of Overconfidence and Entrepreneurs5319111112
7jp8f42tRelative Pricing of Options with Stochastic Volatility511491216
3w71g2chBond Pricing with Default Risk501516613
42w492j6The Characteristics of Leveraged Buyout Firms496141514
9878h0knBidding and Performance in Repo Auctions: Evidence from ECB Open Market Operations481113816
48k8f97fLosing Money on Arbitrages: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities471411913
5z42g22gTHE MARKET PRICE OF RISK IN INTEREST RATE SWAPS: THE ROLES OF DEFAULT AND LIQUIDITY RISKS46171784
2458g38xAsset Pricing in Markets with Illiquid Assets451013157
12w8v7jjElectricity prices and power derivatives: Evidence from the Nordic Power Exchange44156176
4d90p8ssOption Pricing Kernels and the ICAPM441381112
6kb972xvSpeculative Trading and Stock Market Volatility44710189
53k014sdAgency and Asset Pricing431011139
8p95456tDynamic Asset Allocation under Inflation431116610
9x19j2jfMotivating entrepreneurial activity in a firm42814119
6z81z2wcThe Joint Dynamics of Liquidity, Returns, and Volatility Across Small and Large Firms41411206
9vx341whHow do Analyst Recommendations Respond to Major News?41201164
65f1914pThe Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence40149611
8jb1q6z6Non-Secular Regularities in Stock Returns: The Impact of the High Holy Days on the U.S. Equity Market, Forthcoming in the Financial Analysts Journal39441219
09f9j331East Asia and Europe During the 1997 Asian Collapse: A Clinical Study of a Financial Crisis36881010
0dg192r9Financial Distress as a Selection Mechanism: Evidence from the United States36151272
53v169s4The Impact on Firm Value of Capital Structure Change, Some Estimates36131472
6x63b7nxFinancial Policy and a Firm's Reputation for Product Quality3671586
9178v9kqAn Empirical Analysis of Stock and Bond Market Liquidity: Forthcoming in the Review of Financial Studies369999
0779b20vCapital Budgeting in Multi-Division Firms: Information, Agency, and Incentives3481187
3qk5r820Overreaction, Delayed Reaction, and Contrarian Profits34613114
40v212gmDoes Diversification Cause the “Diversification Discount”?3311688
31g898nz"The perpetual American put option for jump-diffusions with applications"32101165
7dc0t95bThe Flight-to-Liquidity Premium in U.S. Treasury Bond Prices3211795
88t154b5The Dynamics of International Equity Market Expectations3281383

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