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Available Issues

April 10, 2013 - June 5, 2026

Available Issues

April 10, 2013 - June 5, 2026

Management Science Finance Papers

Management Science has compiled a list of papers published in the journal in the last few years in its Finance department. These papers cover all major fields of financial research and hence the website can serve as a resource for research done by the Finance and Management Science communities. Our hope is that these papers will inform policy, impact education, and motivate new research.

Note: Papers are sorted by the year in which they were published in an issue of Management Science. The date each paper was first published online is displayed beneath its title in the list below.

2021

Assortative Matching and Reputation in the Market for First Issues

Published Online:

Management Science

    Abstract
    Using a tractable structural model of the matching equilibrium between underwriters and equity-issuing firms, we study the determinants of value in underwriter–firm relationships. Our estimates imply that high underwriter prestige is associated with 5.3%–...
Costs of Job Rotation: Evidence from Mandatory Loan Officer Rotation

Published Online:

Management Science

    Abstract
    Job rotation inside an organization creates two conflicting effects. It disciplines agents by creating the fear that their successors may discover and report their hidden information. Thus, the agent takes actions that align with the principal’s ...
Shareholders as Creditors of First Resort

Published Online:

Management Science

    Abstract
    We show that a firm’s ability to access the public bond market for the first time is greatly improved when habitual dual holders (HDHs)—financial conglomerates that tend to simultaneously hold both equity and bonds of their portfolio firms—are among its ...
Signaling Status: The Impact of Relative Income on Household Consumption and Financial Decisions

Published Online:

Management Science

    Abstract
    This paper investigates the importance of status in household consumption and credit decisions using data from the Survey of Consumer Finances linked to tract-level data in the American Community Survey. We find that relatively richer households in the ...
Transaction Costs, Portfolio Characteristics, and Mutual Fund Performance

Published Online:

Management Science

    Abstract
    We study the interdependencies between transaction costs, portfolio characteristics, and mutual fund performance. Using a novel data set of actual mutual fund trades, we find that, controlling for investment style, larger funds realize lower percentage ...
Incremental vs. Breakthrough Innovation: The Role of Technology Spillovers

Published Online:

Management Science

    Abstract
    We show that technology spillovers shift the composition of corporate research and development by promoting innovation based on the exploitation of existing knowledge while disincentivizing innovation that explores new areas and breaks new ground. ...
Unfiltered Market Access and Liquidity: Evidence from the SEC Rule 15c3-5

Published Online:

Management Science

    Abstract
    In November 2011, the U.S. Securities and Exchange Commission implemented the final provision of Rule 15c3-5 curbing unfiltered market access. The provision mandated that brokers verify their clients’ order flow for compliance with credit and capital ...
Risk Aversion Sensitive Real Business Cycles

Published Online:

Management Science

    Abstract
    Technology choice allows for substitution of production across states of nature and depends on state-dependent risk aversion. In equilibrium, endogenous technology choice can counter a persistent negative productivity shock with an increase in investment. ...
Index Option Trading Activity and Market Returns

Published Online:

Management Science

    Abstract
    Do order flows in index derivatives play an informational role? Weekly index put order flow on the International Securities Exchange positively and robustly predicts weekly S&P 500 index returns. This result obtains mainly for net put buying and is ...
Terrorist Attacks, Analyst Sentiment, and Earnings Forecasts

Published Online:

Management Science

    Abstract
    We examine whether exogenous and extremely negative events, such as terrorist attacks and mass shootings, influence the sentiment and forecasts of sell-side equity analysts. We find that analysts who are local to these attacks issue forecasts that are ...
A Dynamic Mean-Variance Analysis for Log Returns

Published Online:

Management Science

    Abstract
    We propose a dynamic portfolio choice model with the mean-variance criterion for log returns. The model yields time-consistent portfolio policies and is analytically tractable even under some incomplete market settings. The portfolio policies conform with ...
The Effect of Monetary Policy on Bank Wholesale Funding

Published Online:

Management Science

    Abstract
    We study how monetary policy affects the funding composition of the banking sector. When monetary tightening reduces the supply of retail deposits, banks attempt to substitute wholesale funding for deposit outflows to smooth their lending. Because of ...
Supervisory Incentives in a Banking Union

Published Online:

Management Science

    Abstract
    We study the consequences for supervisors’ and banks’ behavior of a “hub-and-spokes” supervisory system where a centralized agency has authority over banks but relies on local supervisors to collect actionable information. The model entails a principal-...
Innovation Search Strategy and Predictable Returns

Published Online:

Management Science

    Abstract
    Because of the intangible and highly uncertain nature of innovation, investors may have difficulty processing information associated with a firm’s innovation search strategy. Due to cognitive and strategic biases, investors are likely to pay more ...
Hedge Fund Franchises

Published Online:

Management Science

    Abstract
    We investigate the growth strategies of hedge fund firms. We find that firms with successful first funds are able to launch follow-on funds that charge higher performance fees, set more onerous redemption terms, and attract greater inflows. Motivated by ...
How Do Consumers Avoid Penalty Fees? Evidence from Credit Cards

Published Online:

Management Science

    Abstract
    Using data from multiple card issuers, we show that the most common penalty fee type incurred by credit card holders, late payment fees, declines sharply over the first few months of card life. This phenomenon is wholly due to some consumers adopting ...
Information Content of Aggregate Implied Volatility Spread

Published Online:

Management Science

    Abstract
    Aggregate implied volatility spread (IVS), defined as the cross-sectional average difference in the implied volatilities of at-the-money call and put equity options, is significantly and positively related to future stock market returns at daily, weekly, ...
Informed Trading Reactions to New Private Information: Evidence from Nonpublic Merger Negotiations

Published Online:

Management Science

    Abstract
    Theory provides competing predictions on whether informed investors immediately trade on newly generated private information. We address this question using Securities and Exchange Commission–mandated disclosures to identify the dates when new private ...
Real and Nominal Equilibrium Yield Curves

Published Online:

Management Science

    Abstract
    This paper quantitatively explores the role of external habits, nominal rigidities, and monetary policy for real and nominal bond yields in an asset-pricing endogenous growth model. The calibration captures the reported average positive slopes of U.S. ...
Trust, Collaboration, and Economic Growth

Published Online:

Management Science

    Abstract
    We propose a macroeconomic model in which variation in the level of trust leads to higher innovation, investment, and productivity growth. The key feature in the model is a hold-up friction in the creation of new capital. Innovators generate ideas but are ...
Informed Trading with a Short-Sale Prohibition

Published Online:

Management Science

    Abstract
    Using a rational expectations equilibrium framework, I evaluate the effects of a short-sale prohibition in an economy with asymmetrically informed investors who are identical except for their information sets. Relative to an economy in which short selling ...
Product Price Risk and Liquidity Management: Evidence from the Electricity Industry

Published Online:

Management Science

    Abstract
    Product price risk is a potentially important factor for firms’ liquidity management. A natural place to evaluate the impact of this risk on liquidity management is the electricity industry, because producing firms face substantial price volatility in ...
Optimal Financing and Disclosure

Published Online:

Management Science

    Abstract
    I study an entrepreneur who finances a project with uncertain cash flows and who jointly chooses the disclosure and financing policies. In the Bayesian persuasion framework, I show that it is optimal to truthfully reveal whether the project’s cash flows ...
Asymmetric Attention and Stock Returns

Published Online:

Management Science

    Abstract
    This paper constructs a new measure of attention allocation by local investors relative to nonlocals using aggregate search volume from Google. We first present a conceptual framework in which local investors optimally choose to focus their attention on ...
Short-Sales Constraints and the Diversification Puzzle

Published Online:

Management Science

    Abstract
    Disagreement about stock valuation, combined with short-sales constraints, can increase asset prices. We build a model showing that, so long as investor beliefs are not perfectly correlated, investors disagree less about the value of a conglomerate than ...
Evolution of Shares in a Proof-of-Stake Cryptocurrency

Published Online:

Management Science

    Abstract
    Do the rich always get richer by investing in a cryptocurrency for which new coins are issued according to a proof-of-stake (PoS) protocol? We answer this question in the negative: Without trading, the investor shares in the cryptocurrency are martingales ...
Outsourcing Through Purchase Contracts and Firm Capital Structure

Published Online:

Management Science

    Abstract
    We examine firm and industry characteristics associated with outsourcing and the relation between outsourcing and capital structure using a unique database of outsourcing purchase contracts. We find that highly valued, profitable firms with high-value ...
How Does Firms’ Innovation Disclosure Affect Their Banking Relationships?

Published Online:

Management Science

    Abstract
    Firms face a trade-off between patenting, thereby disclosing innovation, and secrecy. We show that this trade-off interacts with firms’ financing choices. As a shock to innovation disclosure, we study the American Inventor’s Protection Act that made firms’...
Why Isn’t Business Investment More Sensitive to Interest Rates? Evidence from Surveys

Published Online:

Management Science

    Abstract
    Using recent chief financial officer surveys, we examine the sensitivity of investment plans to interest rate expectations and find that, for most firms, investment is extremely insensitive to interest rate decreases and only modestly more responsive to ...
The Financialization of Storable Commodities

Published Online:

Management Science

    Abstract
    I solve a dynamic equilibrium model of commodity spot and futures prices, incorporating an active futures market, heterogeneous risk-averse participants, and storage. When calibrated to data from the crude oil market, the model implies that ...
Index Fund Entry and Financial Product Market Competition

Published Online:

Management Science

    Abstract
    The active money management industry is characterized by both strong competitive pressure from passive investment vehicles and high fees. This paper investigates how the introduction of low-cost index funds affects fund company strategies. The retail ...
Asset Management and Financial Conglomerates: Attention Through Stellar Funds

Published Online:

Management Science

    Abstract
    This paper provides evidence that stock returns of a financial conglomerate are affected by how successful certain funds of its asset-management division are. The results indicate a spillover effect between management companies with top-performing funds ...
Investment in a Smaller World: The Implications of Air Travel for Investors and Firms

Published Online:

Management Science

    Abstract
    A large literature reports that proximity influences investment. We extend the measurement of proximity beyond distance and report that air travel reduces local investment bias. This result is confirmed using the initiation of connecting flights through ...

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2020

Managerial Biases and Debt Contract Design: The Case of Syndicated Loans

Published Online:

Management Science

Age of Decision: Pension Savings Withdrawal and Consumption and Debt Response

Published Online:

Management Science

Swing Pricing for Mutual Funds: Breaking the Feedback Loop Between Fire Sales and Fund Redemptions

Published Online:

Management Science

Do Politicians “Put Their Money Where Their Mouth Is?” Ideology and Portfolio Choice

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Management Science

Dynamic Prudential Regulation

Published Online:

Management Science

Payout Policy Trade-Offs and the Rise of 10b5-1 Preset Repurchase Plans

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Management Science

Fractional Equity, Blockchain, and the Future of Creative Work

Published Online:

Management Science

Lottery-Related Anomalies: The Role of Reference-Dependent Preferences

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Management Science

Growth Options and Credit Risk

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Management Science

Distressed Stocks in Distressed Times

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Management Science

A New Index of Housing Sentiment

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Management Science

Price Improvement and Execution Risk in Lit and Dark Markets

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Management Science

Currency Depreciation and Emerging Market Corporate Distress

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Management Science

Learning Through Crowdfunding

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Management Science

Liquidity Premium in the Eye of the Beholder: An Analysis of the Clientele Effect in the Corporate Bond Market

Published Online:

Management Science

Capital Gains Overhang with a Dynamic Reference Point

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Management Science

Valuable Choices: Prominent Venture Capitalists’ Influence on Startup CEO Replacements

Published Online:

Management Science

Harnessing the Wisdom of Crowds

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Management Science

Dynamic Attention Behavior Under Return Predictability

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Management Science

Ties That Bind: The Value of Professional Connections to Sell-Side Analysts

Published Online:

Management Science

Mutual Funds and Mispriced Stocks

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Management Science

The Conditional Capital Asset Pricing Model Revisited: Evidence from High-Frequency Betas

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Management Science

Zeros

Published Online:

Management Science

Capital Budgeting and Risk Taking Under Credit Constraints

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Management Science

The Real Effects of Bank Capital Requirements

Published Online:

Management Science

The Theory and Practice of Investor Relations: A Global Perspective

Published Online:

Management Science

The Impact of Sovereign Shocks

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Management Science

Growth Options, Incentives, and Pay for Performance: Theory and Evidence

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Management Science

Aging Population, Retirement, and Risk Taking: Reply

Published Online:

Management Science

Star Turnover and the Value of Human Capital—Evidence from Broadway Shows

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Management Science

Superstition, Conspicuous Spending, and Housing Market: Evidence from Singapore

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Management Science

Outshine to Outbid: Weather-Induced Sentiment and the Housing Market

Published Online:

Management Science

Paying for Performance in Private Equity: Evidence from Venture Capital Partnerships

Published Online:

Management Science

Is Market Timing Good for Shareholders?

Published Online:

Management Science

Where the Heart Is: Information Production and the Home Bias

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Management Science

Pollution and Performance: Do Investors Make Worse Trades on Hazy Days?

Published Online:

Management Science

Do Family Firms Invest More than Nonfamily Firms in Employee-Friendly Policies?

Published Online:

Management Science

Illiquidity and Price Informativeness

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Management Science

Government Spending and Corporate Innovation

Published Online:

Management Science

Bank Integration and the Market for Corporate Control: Evidence from Cross-State Acquisitions

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Management Science

Casting Conference Calls

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Management Science

Two Birds, One Stone: Joint Timing of Returns and Capital Gains Taxes

Published Online:

Management Science

Option-Implied Intrahorizon Value at Risk

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Management Science

Timing of Auctions of Real Options

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Management Science

Debt Heterogeneity and Covenants

Published Online:

Management Science

Why Do Option Prices Predict Stock Returns? The Role of Price Pressure in the Stock Market

Published Online:

Management Science

How Fast Should Trades Settle?

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Management Science

Style and Skill: Hedge Funds, Mutual Funds, and Momentum

Published Online:

Management Science

Contagion in Derivatives Markets

Published Online:

Management Science

Do Bond Issuers Shop for Favorable Credit Ratings?

Published Online:

Management Science

Market Discipline and Systemic Risk

Published Online:

Management Science

Comment on “Aging Population, Retirement, and Risk Taking”

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Management Science

Spanning Tests for Assets with Option-Like Payoffs: The Case of Hedge Funds

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Management Science

Dividend Growth Predictability and the Price–Dividend Ratio

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Management Science

Crowdfunding, Financing Constraints, and Real Effects

Published Online:

Management Science

Comment on “Aging Population, Retirement, and Risk Taking”

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Management Science

A Tangled Tale of Training and Talent: PhDs in Institutional Asset Management

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Management Science

Family Business Group Expansion Through IPOs: The Role of Internal Capital Markets in Financing Growth While Preserving Control

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Management Science

Bank Networks and Acquisitions

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Management Science

Default Ambiguity: Credit Default Swaps Create New Systemic Risks in Financial Networks

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Management Science

Entrepreneurial Uncertainty and Expert Evaluation: An Empirical Analysis

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Management Science

Consumption and Portfolio Choice Under Loss Aversion and Endogenous Updating of the Reference Level

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Management Science

Offsetting Disagreement and Security Prices

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Management Science

Do Noisy Stock Prices Impede Real Efficiency?

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Management Science

Debt and Bargaining Outcomes: Evidence from U.S. Hospitals

Published Online:

Management Science

Collateral, Ease of Repossession, and Leases: Evidence from Antirecharacterization Laws

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Management Science

The Missing New Funds

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Management Science

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2019

Corporate Social Responsibility and Firm Risk: Theory and Empirical Evidence

Published Online:

Management Science

    Abstract
    This paper presents an industry equilibrium model where firms have a choice to engage in corporate social responsibility (CSR) activities. We model CSR as an investment to increase product differentiation that allows firms to benefit from higher profit ...
Asset Pricing with Disagreement and Uncertainty About the Length of Business Cycles

Published Online:

Management Science

    Abstract
    We study an economy with incomplete information in which two agents are uncertain and disagree about the length of business cycles. That is, the agents do not question whether the economy is growing or not, but instead continuously estimate how long ...
Going for Gold: An Analysis of Morningstar Analyst Ratings

Published Online:

Management Science

    Abstract
    We investigate Morningstar’s new qualitative, forward-looking analyst ratings, which reflect independent analysts’ expectations of a fund’s future performance. We find relatively higher flows to funds receiving higher ratings, suggesting that the average ...
Informed Options Trading Prior to Takeover Announcements: Insider Trading?

Published Online:

Management Science

    Abstract
    We quantify the pervasiveness of informed trading activity in target companies’ equity options before the announcements of 1,859 U.S. takeovers between 1996 and 2012. About 25% of all takeovers have positive abnormal volumes, which are greater for short-...
Understanding the Sources of Risk Underlying the Cross Section of Commodity Returns

Published Online:

Management Science

    Abstract
    We show that a model featuring an average commodity factor, a carry factor, and a momentum factor is capable of describing the cross-sectional variation of commodity returns. More parsimonious one- and two-factor models that feature only the average and/...
Complementarity of Signals in Early-Stage Equity Investment Decisions: Evidence from a Randomized Field Experiment

Published Online:

Management Science

    Abstract
    This study employs a randomized field experiment to causally identify what type of signal is likely to complement another signal in the context of financing technology ventures. The study examines the effect of product certification by expert ...
Speculation and the Bond Market: An Empirical No-Arbitrage Framework

Published Online:

Management Science

    Abstract
    An affine no-arbitrage asset pricing framework is developed that allows for agents to have rational but heterogeneous expectations. The framework can match both bond yields and the observed dispersion of yield expectations in survey data. Heterogeneous ...
A View Inside Corporate Risk Management

Published Online:

Management Science

    Abstract
    Why do firms manage risk? According to various theories, firms hedge to mitigate credit rationing, to alleviate information asymmetry, and to reduce the risk of financial distress. However, empirical support for these theories is mixed. Our paper ...
(Non-)Precautionary Cash Hoarding and the Evolution of Growth Firms

Published Online:

Management Science

    Abstract
    We analyze whether growth firms should delay current investment to hoard cash in order to reduce dilution from external financing. This hoarding motive is the natural counterpart to saving cash as a precaution to help secure funding for future investment ...
When Anomalies Are Publicized Broadly, Do Institutions Trade Accordingly?

Published Online:

Management Science

    Abstract
    This paper studies whether institutional investors trade on 14 well documented stock market anomalies. We show that there is an increase in anomaly-based trading when information about the anomalies is readily available through academic publications and ...
Index Membership and Small Firm Financing

Published Online:

Management Science

    Abstract
    This paper investigates the extent to which index membership affects small firm financing. Using a regression discontinuity specification around the lower cutoff of the Russell 2000 small-cap index, we find that index membership causes small firms to ...
Political Promotion, CEO Incentives, and the Relationship Between Pay and Performance

Published Online:

Management Science

    Abstract
    Both theory and empirical evidence suggest that managers’ career concerns can serve as an important source of implicit economic incentives. We examine how incentives for political promotion are related to compensation policy and firm performance in ...
Peer Effects of Corporate Social Responsibility

Published Online:

Management Science

    Abstract
    We investigate how firms react to their product-market peers’ commitment to and adoption of corporate social responsibility (CSR) using a regression discontinuity design approach. Relying on the passage or failure of CSR proposals by a narrow margin of ...
The ABCs of Financial Education: Experimental Evidence on Attitudes, Behavior, and Cognitive Biases

Published Online:

Management Science

    Abstract
    This paper uses a large-scale field experiment in India to study attitudinal, behavioral, and cognitive constraints that can stymie the link between financial education and financial outcomes. The study complements financial education with (i) financial ...
Financial Integration and Liquidity Crises

Published Online:

Management Science

    Abstract
    This paper analyzes the effects of financial integration on the stability of the banking system. Financial integration allows banks in different regions to smooth local liquidity shocks by borrowing and lending on a world interbank market. We show under ...
The Term Structures of Coentropy in International Financial Markets

Published Online:

Management Science

    Abstract
    We propose a new entropy-based correlation measure (coentropy) to evaluate the performance of international asset pricing models. Coentropy captures the codependence of two random variables beyond normality. We document that the coentropy of international ...
Ex-Day Returns of Stock Distributions: An Anchoring Explanation

Published Online:

Management Science

    Abstract
    We offer a new anchoring explanation for the ex-day abnormal returns of stock distributions, including stock dividend distributions, splits, and reverse splits. We propose that investors tend to anchor on cum-day prices in valuating ex-distribution stocks,...
Dynamic Alpha: A Spectral Decomposition of Investment Performance Across Time Horizons

Published Online:

Management Science

    Abstract
    The value added by an active investor is traditionally measured using alpha, tracking error, and the information ratio. However, these measures do not characterize the dynamic component of investor activity, nor do they consider the time horizons over ...
Empirical Investigation of an Equity Pairs Trading Strategy

Published Online:

Management Science

    Abstract
    We show that an equity pairs trading strategy generates large and significant abnormal returns. We find that two components of the trading signal (i.e., short-term reversal and pairs momentum) have different dynamic and cross-sectional properties. The ...
The Information Advantage of Underwriters in IPOs

Published Online:

Management Science

    Abstract
    Using a unique data set of dealer-level trading data in bookbuilding initial public offerings (IPOs), we find strong evidence that lead underwriter trades in IPO firms are significantly related to subsequent IPO abnormal returns. This relation is ...
Dealer Liquidity Provision and the Breakdown of the Law of One Price: Evidence from the CDS–Bond Basis

Published Online:

Management Science

    Abstract
    We examine dealers’ liquidity provision against mispricing in the corporate bond market from 2005 to 2009. Dealers on average serve as stabilizing liquidity providers by trading against widening price gaps between corporate bonds and credit default swaps (...
Order Flow Volatility and Equity Costs of Capital

Published Online:

Management Science

    Abstract
    We propose that the volatility of order flow is a proxy for costs of information asymmetry, as order flow volatility varies positively with parameters that also influence adverse selection costs of trading. Empirically, order flow volatility is ...
Corporate Innovation Along the Supply Chain

Published Online:

Management Science

    Abstract
    In this paper, we document a positive effect of supplier–customer geographic proximity on supplier innovation. To establish causality, we explore plausibly exogenous variation in proximity caused by customer relocations. The positive effect of supplier–...
Modeling Municipal Yields With (and Without) Bond Insurance

Published Online:

Management Science

    Abstract
    We develop an intensity-based model of municipal yields, making simultaneous use of the credit default swap premiums of the insurers and both insured and uninsured municipal bond transactions. We estimate the model individually for 61 municipal issuers by ...
Adjusting to the Information Environment: News Tangibility and Mutual Fund Performance

Published Online:

Management Science

    Abstract
    We study the relation between mutual funds’ performance and shocks to the public information environment of their investments. For each stock, we distinguish between quantitative, or tangible, news (expressed with numeric characters) and qualitative news (...
Patent Trolls: Evidence from Targeted Firms

Published Online:

Management Science

    Abstract
    We provide the first large-sample evidence on the behavior and impact of nonpracticing entities (NPEs) in the intellectual property space. We find that, on average, NPEs appear to behave as opportunistic “patent trolls.” NPEs sue cash-rich firms and ...
Strategic Selection of Risk Models and Bank Capital Regulation

Published Online:

Management Science

    Abstract
    The regulatory use of banks’ internal models makes capital requirements more risk sensitive but invites regulatory arbitrage. I develop a framework to study bank regulation with strategic selection of risk models. A bank supervisor can discourage ...
Asset Growth, Profitability, and Investment Opportunities

Published Online:

Management Science

    Abstract
    We show that recent prominent equity factor models are to a large degree compatible with the Intertemporal CAPM (ICAPM) framework. Factors associated with alternative profitability measures forecast the equity premium in a way that is consistent with the ...
Commodity Price Forecasts, Futures Prices, and Pricing Models

Published Online:

Management Science

    Abstract
    Even though commodity-pricing models have been successful in fitting the term structure of futures prices and its dynamics, they do not generate accurate true distributions of spot prices. This paper develops a new approach to calibrate these models using ...
Do General Managerial Skills Spur Innovation?

Published Online:

Management Science

    Abstract
    We show that firms with chief executive officers (CEOs) who gain general managerial skills over their lifetime of work experience produce more patents. We address the potential endogenous CEO–firm matching bias using firm–CEO fixed effects and variation ...
Does Pay Activism Pay Off for Shareholders? Shareholder Democracy and Its Discontents

Published Online:

Management Science

    Abstract
    Typically, shareholders are not sure whether boards act in their interest or have been captured by management. They are also less well informed than boards about firm investment opportunities and operating conditions. We develop a model, consistent with ...
Imperfect Renegotiations in Interbank Financial Networks

Published Online:

Management Science

    Abstract
    Interbank financial networks enable banks to share the risks in their assets but potentially also increase systemic spillovers of insolvency from one bank to others in the network. We model a renegotiation game to explicitly examine the forgiveness of ...
Liquidity Risk and Mutual Fund Performance

Published Online:

Management Science

    Abstract
    This paper demonstrates that the ability of fund managers to create value depends on market liquidity conditions, which in turn introduces a liquidity risk exposure (beta) for skilled managers. We document an annual liquidity beta performance spread of 4% ...
The Pricing of Jump Propagation: Evidence from Spot and Options Markets

Published Online:

Management Science

    Abstract
    This paper examines the joint time series of the S&P 500 index and its options with a two-factor Hawkes jump-diffusion model that captures jump propagation (i.e., the phenomenon in which the strike of one jump substantially raises the probability for more ...
Financing Through Asset Sales

Published Online:

Management Science

    Abstract
    Most research on firm financing studies debt versus equity issuance. We model an alternative source, non-core asset sales, and identify three new factors that contrast it with equity. First, unlike asset purchasers, equity investors own a claim to the ...
Interbank Networks and Backdoor Bailouts: Benefiting from Other Banks’ Government Guarantees

Published Online:

Management Science

    Abstract
    This paper explains why banks derive a benefit from being highly interconnected. We show that when banks are protected by government guarantees, they can significantly increase their expected returns by channeling funds through the interbank market before ...
A New Predictor of U.S. Real Economic Activity: The S&P 500 Option Implied Risk Aversion

Published Online:

Management Science

    Abstract
    We propose a new predictor of U.S. real economic activity (REA)—namely, the representative investor’s implied relative risk aversion (IRRA) extracted from S&P 500 option prices. IRRA is forward-looking and hence is expected to be related to future ...
Rising Through the Ranks: The Evolution of the Market for Corporate Executives, 1936–2003

Published Online:

Management Science

    Abstract
    I present new stylized facts on the market for managers over the twentieth century, utilizing a novel data set on managerial careers. From the 1930s to the mid-1970s, the level of executive pay, inequality among executives across and within firms, and ...
Financial Market Misconduct and Public Enforcement: The Case of Libor Manipulation

Published Online:

Management Science

    Abstract
    Using comprehensive data on London Interbank Offer Rate (Libor) submissions from 2001 through 2012, we provide evidence consistent with banks manipulating Libor to profit from Libor-related positions and to signal their creditworthiness during distressed ...
Tail Risk Concerns Everywhere

Published Online:

Management Science

    Abstract
    We show that the beta with respect to an index of global ex ante tail risk concerns (𝔾ℝ𝕀𝕏), which we construct using out-of-the-money options on multiple global assets, negatively drives cross-sectional return variations across asset classes, including ...
Bond Return Predictability: Economic Value and Links to the Macroeconomy

Published Online:

Management Science

    Abstract
    Studies of bond return predictability find a puzzling disparity between strong statistical evidence of return predictability and the failure to convert return forecasts into economic gains. We show that resolving this puzzle requires accounting for ...
Does Local Access to Finance Matter? Evidence from U.S. Oil and Natural Gas Shale Booms

Published Online:

Management Science

    Abstract
    I exploit exogenous changes in local credit supply from shale discoveries to identify where and when local access to finance is economically important for firms. I find that the real effects of a credit supply shock are linked to local lending market ...
Trade Relationships, Indirect Economic Links, and Mergers

Published Online:

Management Science

    Abstract
    The economic links between firms created by customer and supplier relationships are critical determinants of those firms’ values and actions. We demonstrate that significant trade relationships and indirect economic links incrementally explain which firms ...
Macroeconomic Factors in Oil Futures Markets

Published Online:

Management Science

    Abstract
    This paper documents new evidence against perfect risk spanning in crude oil futures, and develops an affine futures pricing model that allows for unspanned macroeconomic factors. Compared to previous estimates, the oil spot premium is more volatile and ...
The Offshoring Return Premium

Published Online:

Management Science

    Abstract
    We use 10-K filings to construct novel text-based measures of the extent to which U.S. firms are exposed to three offshore activities: the sale of output, purchase of input, and ownership of producing assets. Our main result is that selling output abroad ...
Volatility Uncertainty, Time Decay, and Option Bid-Ask Spreads in an Incomplete Market

Published Online:

Management Science

    Abstract
    This paper documents the fact that in options markets, the (percentage) implied volatility bid-ask spread increases at an increasing rate as the option’s maturity date approaches. To explain this stylized fact, this paper provides a market microstructure ...
A Direct Test of Agency Theories of Debt: Evidence from Residential Mortgage-Backed Securities

Published Online:

Management Science

    Abstract
    When a firm is facing default, equity holders have incentives to engage in asset substitution, underinvest, or directly transfer wealth. Few papers document investment distortions on account of debt-equity agency conflicts, only that the threat of ...
Information Sharing and Spillovers: Evidence from Financial Analysts

Published Online:

Management Science

    Abstract
    We study how information sharing within an organization affects individual performance. We look at situations in which the same analyst, while working at the same broker, covers multiple mergers and acquisitions (M&As), in particular the acquirer prior to ...
Arbitrage Involvement and Security Prices

Published Online:

Management Science

    Abstract
    We propose that hedge funds more aggressively buy underpriced stocks when they are allowed to short. To test our proposition, we utilize the institutional feature in Hong Kong in virtue of which only stocks added to a special list can be shorted. Our ...
The Effect of the Say-on-Pay Vote in the United States

Published Online:

Management Science

    Abstract
    The Dodd–Frank Act mandated advisory shareholder votes on executive compensation. To isolate the effect of holding a Say-on-Pay vote we use an exemption provided to a group of firms based on their public float. We find that the regulation increased the ...
Growth Firms and Relationship Finance: A Capital Structure Perspective

Published Online:

Management Science

    Abstract
    We analyze how relationship finance, such as venture capital and relationship lending, affects growth firms’ capital structure choices. We show that relationship investors that obtain a strong bargaining position because of their privileged information ...
Stock Market Predictability and Industrial Metal Returns

Published Online:

Management Science

    Abstract
    Price movements in industrial metals such as copper and aluminum predict stock returns. Increasing industrial metal prices are good news for equity markets in recessions and bad news in expansions. A one-standard-deviation increase in industrial metal ...
Impact of Managerial Commitment on Risk Taking with Dynamic Fund Flows

Published Online:

Management Science

    Abstract
    We present a model with dynamic investment flows, where fund managers have the ability to generate excess returns, and study how forcing them to commit part or all of their personal wealth to the fund they manage affects fund risk taking. We contrast the ...
Good and Bad Variance Premia and Expected Returns

Published Online:

Management Science

    Abstract
    We measure “good” and “bad” variance premia that capture risk compensations for the realized variation in positive and negative market returns, respectively. The two variance premium components jointly predict excess returns over the next one and two ...
Institutional Investors and Corporate Environmental, Social, and Governance Policies: Evidence from Toxics Release Data

Published Online:

Management Science

    Abstract
    This paper studies the role of institutional investors in influencing corporate environmental, social, and governance (ESG) policies by analyzing the relation between institutional ownership and toxic release from facilities to which institutions are ...
Cash Hedging in a Supply Chain

Published Online:

Management Science

    Abstract
    We study hedging cash-flow risks in a supply chain where firms invest internal funds to improve production efficiencies. We offer a decomposition framework to capture the cost-reduction and flexibility effect of hedging. It allows us to understand how a ...
The Cost of Financing Education: Can Student Debt Hinder Entrepreneurship?

Published Online:

Management Science

    Abstract
    We find that student debt is negatively related to the propensity to start a firm, particularly larger and more successful ventures. An exogenous change due to the Higher Education Amendments of 1998, which made student debt completely nondischargeable ...
Lobbying on Regulatory Enforcement Actions: Evidence from U.S. Commercial and Savings Banks

Published Online:

Management Science

    Abstract
    This paper analyzes the relationship between bank lobbying and supervisory decisions of regulators and documents its moral hazard implications. Exploiting bank-level information on the universe of commercial and savings banks in the United States, I find ...
Macroeconomic Risks and Asset Pricing: Evidence from a Dynamic Stochastic General Equilibrium Model

Published Online:

Management Science

    Abstract
    We study the relation between macroeconomic fundamentals and asset pricing through the lens of a dynamic stochastic general equilibrium (DSGE) model. We provide full-information Bayesian estimation of the DSGE model using macroeconomic variables and ...
Does Change in the Information Environment Affect Financing Choices?

Published Online:

Management Science

    Abstract
    Using brokerage mergers and closures as natural experiments, we examine how exogenous changes in the information environment affect a firm’s financing choice. Our difference-in-differences approach shows that exogenous increases in information asymmetry ...
Technology Conglomeration, Strategic Alliances, and Corporate Innovation

Published Online:

Management Science

    Abstract
    We examine the organizational choice and innovative activity of technology conglomerates—firms that explore different technology fields with heated inventive activity. We develop a measure of firm-to-economy technological proximity to capture the extent ...
Product Market Threats and Stock Crash Risk

Published Online:

Management Science

    Abstract
    This paper examines the effect of product market threats on firms’ stock crash risk. Competitive pressure from the product market aggravates managers’ incentive to withhold negative information. When negative information is accumulated to a tipping point, ...
Asset Pricing Implications of Short-Sale Constraints in Imperfectly Competitive Markets

Published Online:

Management Science

    Abstract
    We study the impact of short-sale constraints on market prices and liquidity in imperfectly competitive markets in which market makers have market power. In contrast to the existing literature, we show that because competition is imperfect, short-sale ...
Portfolio Manager Ownership and Mutual Fund Risk Taking

Published Online:

Management Science

    Abstract
    This paper studies the effect of portfolio manager ownership (i.e., “skin in the game”) on mutual fund risk taking. Using holdings-based risk change measures that capture managers’ ex ante risk choices, we find that portfolio manager ownership reduces ...
Partial Deregulation and Competition: Effects on Risky Mortgage Origination

Published Online:

Management Science

    Abstract
    We exploit the preemption of national banks from state laws against predatory lending by the Office of the Comptroller of the Currency (OCC) as a quasi-experiment to study the effect of deregulation and its interaction with competition on the supply of ...
The Flash Crash: A Cautionary Tale About Highly Fragmented Markets

Published Online:

Management Science

    Abstract
    A breakdown of cross-market arbitrage activity could make markets more fragile and result in price crashes. We provide suggestive evidence for this novel channel based on a high-frequency analysis of the most salient crash in recent history: The Flash ...
Final Demand for Structured Finance Securities

Published Online:

Management Science

    Abstract
    Structured finance boomed during the run-up to the 2008 financial crisis. Highly rated, structured securities offered higher yield than other similarly rated bonds because of their concentration of systematic risk, but regulatory capital requirements did ...
State-Run Banks, Money Growth, and the Real Economy

Published Online:

Management Science

    Abstract
    Within countries, individual state-run banks’ lending correlates with prior money growth; similar private-sector banks’ lending does not. Aggregate credit and investment growth correlate with prior money growth more where banking systems are more state-...
Sex Matters: Gender Bias in the Mutual Fund Industry

Published Online:

Management Science

    Abstract
    We document significantly lower inflows in female-managed funds than in male-managed funds. This result is obtained with field data and with data from a laboratory experiment. We find no gender differences in performance. Thus, rational statistical ...
Option Prices in a Model with Stochastic Disaster Risk

Published Online:

Management Science

    Abstract
    Contrary to well-known asset pricing models, volatilities implied by equity index options exceed realized stock market volatility and exhibit a pattern known as the volatility skew. We explain both facts using a model that can also account for the mean ...
Sell-Side Analysts and Stock Mispricing: Evidence from Mutual Fund Flow-Driven Trading Pressure

Published Online:

Management Science

    Abstract
    Using the setting of extreme mutual fund flow-driven trading pressure, this paper examines sell-side analysts’ role in stabilizing capital markets. We find that a select group of analysts persistently issue price-correcting recommendation changes for ...
Regulation and Market Liquidity

Published Online:

Management Science

    Abstract
    We examine the effects of postcrisis financial regulation, encompassing the Dodd–Frank Act and Basel III, on market liquidity of the U.S. fixed-income market. We estimate structural breaks in a large panel of liquidity measures of corporate and Treasury ...
Dynamic Portfolio Execution

Published Online:

Management Science

    Abstract
    We analyze the optimal execution problem of a portfolio manager trading multiple assets. In addition to the liquidity and risk of each individual asset, we consider cross asset interactions in these two dimensions, which substantially enriches the nature ...
Bank Interest Rate Risk Management

Published Online:

Management Science

    Abstract
    Empirically, bank equity value is decreasing in the interest rate. Yet (i) many banks do not hedge interest rate risk, and (ii) more than 50% of hedging banks use derivatives to increase exposure. I model a bank’s capital structure and show that these ...
To Build or to Buy? The Role of Local Information in Credit Market Development

Published Online:

Management Science

    Abstract
    Exploiting the heterogeneity in legal constraints on local bank employees’ mobility, I show that access to local information influences banks’ modes of expansion. As restrictions on interbank labor mobility are relaxed, banks entering a new market ...
Dynamic Agency and Endogenous Risk-Taking

Published Online:

Management Science

    Abstract
    I study a continuous-time principal–agent model in which a multitasking agent engages in unobserved risk-taking. Risk-taking creates short-term profits but also increases the chance of large losses. The optimal contract incentivizes excessive risk-taking ...

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2018

Investor Overconfidence, Firm Valuation, and Corporate Decisions

Published Online:

Management Science

Board Structure Mandates: Consequences for Director Location and Financial Reporting

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Management Science

Individual Reaction to Past Performance Sequences: Evidence from a Real Marketplace

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Management Science

Do Stock Returns Really Decrease with Default Risk? New International Evidence

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Management Science

What Calls to ARMs? International Evidence on Interest Rates and the Choice of Adjustable-Rate Mortgages

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Management Science

Unusual News Flow and the Cross Section of Stock Returns

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Management Science

The Costs and Beliefs Implied by Direct Stock Ownership

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Management Science

Foreigners vs. Natives: Bank Lending Technologies and Loan Pricing

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Management Science

Did Government Regulations Lead to Inflated Credit Ratings?

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Management Science

Targeting Target Shareholders

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Management Science

Do Superstitious Traders Lose Money?

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Management Science

Two-Sided Reputation in Certification Markets

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Management Science

Portfolio Selection with Capital Gains Tax, Recursive Utility, and Regime Switching

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Management Science

Millennial-Style Learning: Search Intensity, Decision Making, and Information Sharing

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Management Science

Managing Performance Signals Through Delay: Evidence from Venture Capital

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Management Science

The Dynamics of Borrower Reputation Following Financial Misreporting

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Management Science

A Theory of Corporate Boards and Forced CEO Turnover

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Management Science

Maxing Out Globally: Individualism, Investor Attention, and the Cross Section of Expected Stock Returns

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Management Science

Foreign Risk, Domestic Problem: Capital Allocation and Firm Performance Under Political Instability

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Management Science

Shareholder Litigation and Ownership Structure: Evidence from a Natural Experiment

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Management Science

A Reinterpretation of the Optimal Demand for Risky Assets in Fund Separation Theorems

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Management Science

Contagion in Financial Networks: A Threat Index

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Management Science

Indicators of Collateral Misreporting

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Management Science

Uncertainty, Capital Investment, and Risk Management

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Management Science

Financial Regulatory Reform After the Crisis: An Assessment

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Management Science

Portfolio Tax Trading with Carryover Losses

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Management Science

Investor–Stock Decoupling in Mutual Funds

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Management Science

Bond Risk Premia and Gaussian Term Structure Models

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Management Science

Competition and Credit Ratings After the Fall

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Management Science

Institutional Trading and Hedge Fund Activism

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Management Science

Corporate Cash Hoarding: The Role of Just-in-Time Adoption

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Management Science

The Hot-Hand Fallacy: Cognitive Mistakes or Equilibrium Adjustments? Evidence from Major League Baseball

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Management Science

Speculative Equilibrium with Differences in Higher-Order Beliefs

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Management Science

A Theory of Disclosure in Speculative Markets

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Management Science

Superstition and Financial Decision Making

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Management Science

Conglomerate Industry Choice and Product Language

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Management Science

Analysts’ Reputational Concerns, Self-Censoring, and the International Dispersion Effect

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Management Science

Residual Inflation Risk

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Management Science

Get in Line: Chapter 11 Restructuring in Crowded Bankruptcy Courts

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Management Science

Liquidity Provision and the Cross Section of Hedge Fund Returns

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Management Science

Spillover Effects Within Business Groups: The Case of Korean Chaebols

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Management Science

A Simple Multimarket Measure of Information Asymmetry

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Management Science

Can Unspanned Stochastic Volatility Models Explain the Cross Section of Bond Volatilities?

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Management Science

Explaining Momentum and Value Simultaneously

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Management Science

Risk Targeting and Policy Illusions—Evidence from the Announcement of the Volcker Rule

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Management Science

Executive Suite Independence: Is It Related to Board Independence?

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Management Science

CEO Confidence and Unreported R&D

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Management Science

Asset Pricing with Spatial Interaction

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Management Science

The Adverse Effect of Information on Governance and Leverage

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Management Science

Corporate Governance and Costs of Equity: Theory and Evidence

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Management Science

Initiative, Incentives, and Soft Information

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Management Science

Forecasting Corporate Bond Returns with a Large Set of Predictors: An Iterated Combination Approach

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Management Science

Valuing Thinly Traded Assets

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Management Science

Do Underwriters Compete in IPO Pricing?

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Management Science

The Informational Role of Corporate Hedging

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Management Science

Global Economic Growth and Expected Returns Around the World: The End-of-the-Year Effect

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Management Science

The Product Market Impact of Minority Stake Acquisitions

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Management Science

Marking to Market and Inefficient Investment Decisions

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Management Science

Financial Consumer Protection and the Cost of Financial Intermediation: Evidence from Advanced and Developing Economies

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Management Science

Return to Invested Capital and the Performance of Mergers and Acquisitions

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Management Science

Outsourcing Corporate Governance: Conflicts of Interest Within the Proxy Advisory Industry

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Management Science

Cross-Sided Liquidity Externalities

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Management Science

Callable Contingent Capital: Valuation and Default Risk

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Management Science

Measuring Agency Costs over the Business Cycle

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Management Science

Assessing Fair Lending Risks Using Race/Ethnicity Proxies

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Management Science

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2017

Optimal and Naive Diversification in Currency Markets

Published Online:

Management Science

Stature, Obesity, and Portfolio Choice

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Management Science

Economic Implications of Nonlinear Pricing Kernels

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Management Science

Fire Sales and House Prices: Evidence from Estate Sales Due to Sudden Death

Published Online:

Management Science

Asset Pricing with Downside Liquidity Risks

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Management Science

Dynamic Conditional Beta Is Alive and Well in the Cross Section of Daily Stock Returns

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Management Science

Legal-System Arbitrage and Parent–Subsidiary Capital Structures

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Management Science

Investor Horizon and the Life Cycle of Innovative Firms: Evidence from Venture Capital

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Management Science

Corporate Postretirement Benefit Plans and Real Investment

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Management Science

Internationalization and Bank Risk

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Management Science

Private Equity and Industry Performance

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Management Science

FORE! An Analysis of CEO Shirking

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Management Science

What’s Your Identification Strategy? Innovation in Corporate Finance Research

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Management Science

Do Unions Affect Innovation?

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Management Science

Understanding Bank-Run Contagion

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Management Science

Optimal Time-Inconsistent Beliefs: Misplanning, Procrastination, and Commitment

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Management Science

Do Local Capital Market Conditions Affect Consumers’ Borrowing Decisions?

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Management Science

Return Smoothing, Liquidity Costs, and Investor Flows: Evidence from a Separate Account Platform

Published Online:

Management Science

Disagreement, Underreaction, and Stock Returns

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Management Science

The Behavior of Investor Flows in Corporate Bond Mutual Funds

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Management Science

Product Market Competition and Internal Governance: Evidence from the Sarbanes–Oxley Act

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Management Science

Rare Disasters, Credit, and Option Market Puzzles

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Management Science

Catching Falling Knives: Speculating on Liquidity Shocks

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Management Science

Moral Hazard in Dynamic Risk Management

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Management Science

Do Empty Creditors Matter? Evidence from Distressed Exchange Offers

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Management Science

The Effect of Board Directors from Countries with Different Genetic Diversity Levels on Corporate Performance

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Management Science

Formal Enforcement Actions and Bank Behavior

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Management Science

Backtesting Expected Shortfall: Accounting for Tail Risk

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Management Science

Correlations

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Management Science

A Bayesian Methodology for Systemic Risk Assessment in Financial Networks

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Management Science

Old Age and the Decline in Financial Literacy

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Management Science

The Disciplinary Effects of Proxy Contests

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Management Science

Corporate Finance Policies and Social Networks

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Management Science

Employment Nondiscrimination Acts and Corporate Innovation

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Management Science

Can Investment Shocks Explain the Cross Section of Equity Returns?

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Management Science

New Investors and Bubbles: An Analysis of the Baosteel Call Warrant Bubble

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Management Science

A Corporate Beauty Contest

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Management Science

Incompatible European Partners? Cultural Predispositions and Household Financial Behavior

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Management Science

Debt Covenants and Cross-Sectional Equity Returns

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Management Science

Do Stock Options Overcome Managerial Risk Aversion? Evidence from Exercises of Executive Stock Options

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Management Science

Adverse Incentives in Crowdfunding

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Management Science

Credit Ratings and Credit Risk: Is One Measure Enough?

Published Online:

Management Science

Does Corporate Governance Matter More for High Financial Slack Firms?

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Management Science

Superreplication of Financial Derivatives via Convex Programming

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Management Science

Elasticity of Intertemporal Substitution in Consumption in the Presence of Inertia: Empirical Evidence from a Natural Experiment

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Management Science

Do Earnings Estimates Add Value to Sell-Side Analysts’ Investment Recommendations?

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Management Science

Frenemies: How Do Financial Firms Vote on Their Own Kind?

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Management Science

Herd Behavior and Mutual Fund Performance

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Management Science

Herd Behavior and Mutual Fund Performance

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Management Science

Jumps in Equity Index Returns Before and During the Recent Financial Crisis: A Bayesian Analysis

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Management Science

Do Investors Value Dividend-Smoothing Stocks Differently?

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Management Science

Investment Decisions Under Ambiguity: Evidence from Mutual Fund Investor Behavior

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Management Science

Are Professional Investment Managers Skilled? Evidence from Syndicated Loan Portfolios

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Management Science

Short- and Long-Run Business Conditions and Expected Returns

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Management Science

Firm Rigidities and the Decline in Growth Opportunities

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Management Science

Robustly Strategic Consumption–Portfolio Rules with Informational Frictions

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Management Science

Tail Risk Dynamics in Stock Returns: Links to the Macroeconomy and Global Markets Connectedness

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Management Science

Do Brokers of Insiders Tip Other Clients?

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Management Science

Financing Risk and Innovation

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Management Science

The Determinants and Impact of Executive-Firm Matches

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Management Science

Risk Aversion and Wealth: Evidence from Person-to-Person Lending Portfolios

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Management Science

Portfolio Choice Based on Third-Degree Stochastic Dominance

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Management Science

The International Diversification of Banks and the Value of Their Cross-Border M&A Advice

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Management Science

Opacity, Credit Rating Shopping, and Bias

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Management Science

What Does Risk-Neutral Skewness Tell Us About Future Stock Returns?

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Management Science

Quantitative Easing and Volatility Spillovers Across Countries and Asset Classes

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Management Science

Geography and the Market for CEOs

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Management Science

Does Information Intensity Matter for Stock Returns? Evidence from Form 8-K Filings

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Management Science

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2016

The Information Value of Credit Rating Action Reports: A Textual Analysis

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Management Science

Under One Roof: A Study of Simultaneously Managed Hedge Funds and Funds of Hedge Funds

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Management Science

Why Do Borrowers Make Mortgage Refinancing Mistakes?

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Management Science

Volatility Risks and Growth Options

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Management Science

The Determinants of Bank Mergers: A Revealed Preference Analysis

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Management Science

Competing with Superstars

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Management Science

Make-Take Structure and Market Quality: Evidence from the U.S. Options Markets

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Management Science

Investor Sentiment, Beta, and the Cost of Equity Capital

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Management Science

Arm’s Length Financing and Innovation: Evidence from Publicly Traded Firms

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Management Science

Do Nonexecutive Employees Have Valuable Information? Evidence from Employee Stock Purchase Plans

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Management Science

Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News

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Management Science

The Marginal Cost of Risk, Risk Measures, and Capital Allocation

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Management Science

Asymmetric Effects of Informed Trading on the Cost of Equity Capital

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Management Science

Does Regulatory Certification Affect the Information Content of Credit Ratings?

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Management Science

Discipline or Disruption? Stakeholder Relationships and the Effect of Takeover Threat

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Management Science

Household Production and Asset Prices

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Management Science

Portfolio Choice with Market Closure and Implications for Liquidity Premia

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Management Science

On the Nonexclusivity of Loan Contracts: An Empirical Investigation

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Management Science

Reading the Fine Print: Information Disclosure in the Brazilian Credit Card Market

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Management Science

The Persistence of Long-Run Abnormal Returns Following Stock Repurchases and Offerings

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Management Science

Speculative Investors and Transactions Tax: Evidence from the Housing Market

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Management Science

Project Characteristics, Incentives, and Team Production

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Management Science

Comparing Securitized and Balance Sheet Loans: Size Matters

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Management Science

IQ and Mutual Fund Choice

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Management Science

Debt and Creative Destruction: Why Could Subsidizing Corporate Debt Be Optimal?

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Management Science

The Financial Implications of Supply Chain Changes

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Management Science

Screening Peers Softly: Inferring the Quality of Small Borrowers

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Management Science

The Consumption and Wealth Effects of an Unanticipated Change in Lifetime Resources

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Management Science

Stock Ownership and Political Behavior: Evidence from Demutualizations

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Management Science

Does Diversification Create Value in the Presence of External Financing Constraints? Evidence from the 2007–2009 Financial Crisis

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Management Science

The Benefits of Relationship Lending in a Cross-Country Context: A Meta-Analysis

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Management Science

Aging Population, Retirement, and Risk Taking

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Management Science

Collateral and the Choice Between Bank Debt and Public Debt

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Management Science

A Characterization of the SSD-Efficient Frontier of Portfolio Weights by Means of a Set of Mixed-Integer Linear Constraints

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Management Science

Cash-Flow News and the Investment Effect in the Cross Section of Stock Returns

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Management Science

Does Capital Structure Affect the Behavior of Nonfinancial Stakeholders? An Empirical Investigation into Leverage and Union Strikes

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Management Science

Evaluating Hedge Funds with Pooled Benchmarks

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Management Science

Constituencies and Legislation: The Fight Over the McFadden Act of 1927

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Management Science

Spillover Effects in Mutual Fund Companies

Published Online:

Management Science

Hedge Fund Crowds and Mispricing

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Management Science

Skewness and the Relation Between Risk and Return

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Management Science

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2015

Collateral Valuation and Borrower Financial Constraints: Evidence from the Residential Real Estate Market

Published Online:

Management Science

The Value of Funds of Hedge Funds: Evidence from Their Holdings

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Management Science

Shopping for Information? Diversification and the Network of Industries

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Management Science

Can Noise Create the Size and Value Effects?

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Management Science

Competition in Portfolio Management: Theory and Experiment

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Management Science

Real Options and American Derivatives: The Double Continuation Region

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Management Science

A Theory of Market Pioneers, Dynamic Capabilities, and Industry Evolution

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Management Science

Risk Attitude, Beliefs Updating, and the Information Content of Trades: An Experiment

Published Online:

Management Science

The Risk Preferences of U.S. Executives

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Management Science

The Asset-Pricing Implications of Government Economic Policy Uncertainty

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Management Science

The Reaction of Stock Returns to News About Fundamentals

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Management Science

Asset Pricing in a Monetary Economy with Heterogeneous Beliefs

Published Online:

Management Science

Long-Term Strategic Asset Allocation: An Out-of-Sample Evaluation

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Management Science

Trading as Gambling

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Management Science

Which Skills Matter in the Market for CEOs? Evidence from Pay for CEO Credentials

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Management Science

Corporate Transparency and the Impact of Investor Sentiment on Stock Prices

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Management Science

Does Corporate Social Responsibility Lead to Superior Financial Performance? A Regression Discontinuity Approach

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Management Science

Contractual vs. Actual Separation Pay Following CEO Turnover

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Management Science

Political Values, Culture, and Corporate Litigation

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Management Science

Changes in the Composition of Publicly Traded Firms: Implications for the Dividend-Price Ratio and Return Predictability

Published Online:

Management Science

Management Earnings Forecasts and Value of Analyst Forecast Revisions

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Management Science

Hedge Funds and Stock Market Efficiency

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Management Science

Short-Selling Attacks and Creditor Runs

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Management Science

Speculation Spillovers

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Management Science

Rational Speculators, Contrarians, and Excess Volatility

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Management Science

Repurchasing Debt

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Management Science

Financing Investment: The Choice Between Bonds and Bank Loans

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Management Science

Hedging with Futures: Does Anything Beat the Naïve Hedging Strategy?

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Management Science

Uncommon Value: The Characteristics and Investment Performance of Contrarian Funds

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Management Science

Macroeconomic Volatilities and Long-Run Risks of Asset Prices

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Management Science

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2014

Gender Interactions Within the Family Firm

Published Online:

Management Science

From the Horse's Mouth: Economic Conditions and Investor Expectations of Risk and Return

Published Online:

Management Science

Inside Debt and the Design of Corporate Debt Contracts

Published Online:

Management Science

Portfolio Choice with Illiquid Assets

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Management Science

Onshore and Offshore Hedge Funds: Are They Twins?

Published Online:

Management Science

Turnover: Liquidity or Uncertainty?

Published Online:

Management Science

Equilibrium Discovery and Preopening Mechanisms in an Experimental Market

Published Online:

Management Science

Do Individuals Have Preferences Used in Macro-Finance Models? An Experimental Investigation

Published Online:

Management Science

Analyst Recommendations, Mutual Fund Herding, and Overreaction in Stock Prices

Published Online:

Management Science

Economic Uncertainty, Disagreement, and Credit Markets

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Management Science

Sale of Price Information by Exchanges: Does It Promote Price Discovery?

Published Online:

Management Science

Environmental Externalities and Cost of Capital

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Management Science

Nonlinear Kalman Filtering in Affine Term Structure Models

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Management Science

A Closer Look at the Short-Term Return Reversal

Published Online:

Management Science

Do Relationships Matter? Evidence from Loan Officer Turnover

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Management Science

Forward-Looking Market Risk Premium

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Management Science

What Do Credit Markets Tell Us About the Speed of Leverage Adjustment?

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Management Science

Governance and CEO Turnover: Do Something or Do the Right Thing?

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Management Science

Corporate Risk Management: Integrating Liquidity, Hedging, and Operating Policies

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Management Science

Optimal Credit Swap Portfolios

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Management Science

Capital Structure, Product Market Dynamics, and the Boundaries of the Firm

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Management Science

Informed Bond Trading, Corporate Yield Spreads, and Corporate Default Prediction

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Management Science

Do Private Equity Returns Result from Wealth Transfers and Short-Termism? Evidence from a Comprehensive Sample of Large Buyouts

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Management Science

Uncertainty, Risk, and Incentives: Theory and Evidence

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Management Science

Timing Ability of Government Bond Fund Managers: Evidence from Portfolio Holdings

Published Online:

Management Science

Firm-Level Productivity, Risk, and Return

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Management Science

Information Aggregation and Allocative Efficiency in Smooth Markets

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Management Science

Information Content When Mutual Funds Deviate from Benchmarks

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Management Science

Differences in Trading and Pricing Between Stock and Index Options

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Management Science

Financial Product Differentiation over the State Space in the Mutual Fund Industry

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Management Science

The Long-Run Role of the Media: Evidence from Initial Public Offerings

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Management Science

Forecasting the Equity Risk Premium: The Role of Technical Indicators

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Management Science

What Death Can Tell: Are Executives Paid for Their Contributions to Firm Value?

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Management Science

Marriage and Managers' Attitudes to Risk

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Management Science

How Do Industry Peers Respond to Control Threats?

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Management Science

Investor Flows and the 2008 Boom/Bust in Oil Prices

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Management Science

Can Analysts Analyze Mergers?

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Management Science

Understanding the Effect of Advertising on Stock Returns and Firm Value: Theory and Evidence from a Structural Model

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Management Science

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2013

Inferring Reporting-Related Biases in Hedge Fund Databases from Hedge Fund Equity Holdings

Published Online:

Management Science

Are Analysts' Forecasts Informative to the General Public?

Published Online:

Management Science

Do Hedge Funds Outperform Stocks and Bonds?

Published Online:

Management Science

Solving Constrained Consumption–Investment Problems by Simulation of Artificial Market Strategies

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Management Science

Individual vs. Aggregate Preferences: The Case of a Small Fish in a Big Pond

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When the Tail Wags the Dog: Industry Leaders, Limited Attention, and Spurious Cross-Industry Information Diffusion

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Investor Sentiment, Disagreement, and the Breadth–Return Relationship

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Dynamics of Contract Design with Screening

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When Smaller Menus Are Better: Variability in Menu-Setting Ability

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Social Networks, Information Acquisition, and Asset Prices

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Investors' Heterogeneity and Implied Volatility Smiles

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No-Arbitrage Taylor Rules with Switching Regimes

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Diversity and Performance

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Asset-Pricing Implications of Dividend Volatility

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Market Crashes, Correlated Illiquidity, and Portfolio Choice

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Management Science

Intertemporal CAPM with Conditioning Variables

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Price Discovery in the U.S. Treasury Market: Automation vs. Intermediation

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Management Science

How Do Firm Financial Conditions Affect Product Quality and Pricing?

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Buying Beauty: On Prices and Returns in the Art Market

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Failure and Rescue in an Interbank Network

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Publicizing Performance

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Product Market Competition, Managerial Compensation, and Firm Size in Market Equilibrium

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Industry Structure, Executive Pay, and Short-Termism

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Credit Risk Spillovers Among Financial Institutions Around the Global Credit Crisis: Firm-Level Evidence

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2012

Pricing Kernels with Stochastic Skewness and Volatility Risk

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Dividend Smoothing and Predictability

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Hiring Cheerleaders: Board Appointments of “Independent” Directors

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Management Science

Constant Proportion Debt Obligations: A Postmortem Analysis of Rating Models

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Management Science

Do Investment Banks' Relationships with Investors Impact Pricing? The Case of Convertible Bond Issues

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Hierarchies and the Survival of Prisoners of War During World War II

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Calendar Cycles, Infrequent Decisions, and the Cross Section of Stock Returns

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Optimal Compensation and Pay-Performance Sensitivity in a Continuous-Time Principal-Agent Model

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A Market-Based Measure of Credit Portfolio Quality and Banks' Performance During the Subprime Crisis

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Execution Risk in High-Frequency Arbitrage

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Management Science

Public Opinion and Executive Compensation

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Information Environment and Equity Risk Premium Volatility Around the World

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Management Science

Streaks in Earnings Surprises and the Cross-Section of Stock Returns

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Product Market Efficiency: The Bright Side of Myopic, Uninformed, and Passive External Finance

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On the Conditional Risk and Performance of Financially Distressed Stocks

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Intermediated Blind Portfolio Auctions

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Asset Pricing Restrictions on Predictability: Frictions Matter

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An Examination of the Efficiency, Foreclosure, and Collusion Rationales for Vertical Takeovers

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Local Religious Beliefs and Mutual Fund Risk-Taking Behaviors

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2011

Hedging and Vertical Integration in Electricity Markets

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A Generalized Measure of Riskiness

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Covenants in Venture Capital Contracts

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Management Science

Evaluating Value-at-Risk Models with Desk-Level Data

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Monte Carlo Bounds for Game Options Including Convertible Bonds

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A New Goodness-of-Fit Test for Event Forecasting and Its Application to Credit Defaults

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Stochastic Capacity Investment and Flexible vs. Dedicated Technology Choice in Imperfect Capital Markets

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Risk-Neutral Models for Emission Allowance Prices and Option Valuation

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Modeling the Loss Distribution

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Management Science

Securitization and Real Investment in Incomplete Markets

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Systemic Risk: What Defaults Are Telling Us

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Valuing the Treasury's Capital Assistance Program

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Multiechelon Procurement and Distribution Policies for Traded Commodities

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Management Science

Corporate Governance, Debt, and Investment Policy During the Great Depression

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Management Science

How Do Financial Firms Manage Risk? Unraveling the Interaction of Financial and Operational Hedging

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Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment

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Fund Flows, Performance, Managerial Career Concerns, and Risk Taking

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Market Timing with Option-Implied Distributions: A Forward-Looking Approach

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Optimal Housing, Consumption, and Investment Decisions over the Life Cycle

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Intellectual Capital and Financing Decisions: Evidence from the U.S. Patent Data

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2010

The Behavior of Risk and Market Prices of Risk Over the Nasdaq Bubble Period

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Imperfect Competition in Financial Markets: An Empirical Study of Island and Nasdaq

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Management Science

Impossible Frontiers

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Optimal Portfolio Liquidation with Distress Risk

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CEO Ability, Pay, and Firm Performance

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Management Science

International Diversification with Factor Funds

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Management Science

Nested Simulation in Portfolio Risk Measurement

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Management Science

Information-Based Stock Trading, Executive Incentives, and the Principal-Agent Problem

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Deal or No Deal: Hormones and the Mergers and Acquisitions Game

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On the Number of State Variables in Options Pricing

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Prior Consequences and Subsequent Risk Taking: New Field Evidence from the Taiwan Futures Exchange

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Investor Inattention and the Market Reaction to Merger Announcements

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Is Regime Switching in Stock Returns Important in Portfolio Decisions?

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Is Noise Trading Cancelled Out by Aggregation?

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Timing of Effort and Reward: Three-Sided Moral Hazard in a Continuous-Time Model

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Conditional Coskewness in Stock and Bond Markets: Time-Series Evidence

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2009

Volatility Spreads and Expected Stock Returns

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Loss Functions in Option Valuation: A Framework for Selection

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Jackknife Estimator for Tracking Error Variance of Optimal Portfolios

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Management Science

Dynamic Programming Approach for Valuing Options in the GARCH Model

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Management Science

Searching for Google's Value: Using Prediction Markets to Forecast Market Capitalization Prior to an Initial Public Offering

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Unspanned Stochastic Volatility in Affine Models: Evidence from Eurodollar Futures and Options

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Management Science

Satisficing Measures for Analysis of Risky Positions

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Management Science

The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well

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A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms

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Trading as Entertainment?

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Valuing Modularity as a Real Option

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Investor Competence, Trading Frequency, and Home Bias

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Forecast Accuracy Uncertainty and Momentum

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Management Science

What Fraction of Stock Option Grants to Top Executives Have Been Backdated or Manipulated?

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Defining Bad News: Changes in Return Distributions That Decrease Risky Asset Demand

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Volume and Price Patterns Around a Stock's 52-Week Highs and Lows: Theory and Evidence

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Momentum and Mean Reversion in Strategic Asset Allocation

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Experimentation in Financial Markets

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Poker Player Behavior After Big Wins and Big Losses

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Testing the APT with the Maximum Sharpe Ratio of Extracted Factors

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2008

Foreign Investments of U.S. Individual Investors: Causes and Consequences

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Corporate Venturing, Allocation of Talent, and Competition for Star Managers

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Are Overconfident CEOs Born or Made? Evidence of Self-Attribution Bias from Frequent Acquirers

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Pricing an Option on Revenue from an Innovation: An Application to Movie Box Office Revenue

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Management Science

Affine General Equilibrium Models

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Management Science

Modeling the Dynamics of Credit Spreads with Stochastic Volatility

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Management Science

The Distribution of the Sample Minimum-Variance Frontier

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Management Science

Optimal Patenting and Licensing of Financial Innovations

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A No-Arbitrage Analysis of Macroeconomic Determinants of the Credit Spread Term Structure

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Natural Selection in Financial Markets: Does It Work?

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2007

An Extreme Value Approach to Estimating Interest-Rate Volatility: Pricing Implications for Interest-Rate Options
  • Turan G. Bali

    Turan G. Bali

    Department of Economics and Finance, Zicklin School of Business, Baruch College, City University of New York, One Bernard Baruch Way, Box 10-225, New York, New York 10010 and Department of Finance, College of Administrative Sciences and Economics, Koç University, Fener Yolu Caddesi, Sariyer 80910, Istanbul, Turkey

    Search for more papers by this author

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Management Science

Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach

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Management Science

Convertible Bond Underpricing: Renegotiable Covenants, Seasoning, and Convergence

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Management Science

Generalized Cox-Ross-Rubinstein Binomial Models

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Management Science

Credit Risk in a Network Economy

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Management Science

Optimal Risk Taking with Flexible Income

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Management Science

Yahoo! for Amazon: Sentiment Extraction from Small Talk on the Web

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Management Science

An Integrated Model for Hybrid Securities

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Management Science

Proper Conditioning for Coherent VaR in Portfolio Management

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Management Science

Emergent Properties of a New Financial Market: American Venture Capital Syndication, 1960–2005

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Complexity and the Character of Stock Returns: Empirical Evidence and a Model of Asset Prices Based on Complex Investor Learning

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Performance of Portfolios Optimized with Estimation Error

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2006

A Theory of Volatility Spreads

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Risk Management with Benchmarking

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Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics

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Management Science

Risk Assessment for Banking Systems

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Management Science

Downside Loss Aversion and Portfolio Management

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Management Science

Impact of Licensing on Investment and Financing of Technology Development

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Management Science

Pricing American-Style Derivatives with European Call Options

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Management Science

Personal Taxes, Endogenous Default, and Corporate Bond Yield Spreads

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Management Science

Static Mean-Variance Analysis with Uncertain Time Horizon

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A Theory of Banks' Industry Expertise, Market Power, and Credit Risk

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Market Valuation and Employee Stock Options

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2005

Option Pricing with Downward-Sloping Demand Curves: The Case of Supply Chain Options

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Portfolio Investment with the Exact Tax Basis via Nonlinear Programming

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Asymptotic Properties of Monte Carlo Estimators of Derivatives

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Weak-Form and Semi-Strong-Form Stock Return Predictability Revisited

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Soybean Inventory and Forward Curve Dynamics

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Diversification and the Optimal Construction of Basis Portfolios

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Management Science

On the Timing of CEO Stock Option Awards

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Generating Volatility Forecasts from Value at Risk Estimates

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2004

A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model

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Management Science

Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options

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Management Science

ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications

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Management Science

Industry Risk and Market Integration

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Management Science

Which GARCH Model for Option Valuation?

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Management Science

Dividends and Debt with Managerial Agency and Lender Holdup

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Management Science

Pricing Path-Dependent Securities by the Extended Tree Method

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Management Science

Option Pricing Under a Double Exponential Jump Diffusion Model

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Management Science

Efficient Diversification According to Stochastic Dominance Criteria

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Management Science

Suckers Are Born but Markets Are Made: Individual Rationality, Arbitrage, and Market Efficiency on an Electronic Futures Market

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Convergence of the Least Squares Monte Carlo Approach to American Option Valuation

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