Fisher College of Business logo

Working Papers

In support of our mission to promote excellence in financial economics research, the following is an aggregation of the working research being conducted and investigated:

Bullet 2014

2014-1:
2014-2:
2014-3:
2014-4:
2014-5:
2014-6:
2014-7:
2014-8:
2014-9:
2014-10:
2014-11:
2014-12:
2014-13:
2014-14:

 

Bullet 2013

2013-1:
  • Limited Partner Performance and the Maturing of the Private Equity Industry
    Berk A. Sensoy, Yingdi Wang, and Michael S. Weisbach
2013-2:
  • Why Did Financial Institutions Sell RMBS at Fire Sale Prices During the Financial Crisis?"
    Craig Merrill, Taylor Nadauld, René M. Stulz,and Shane M. Sherlund
2013-3:
  • Do Acquisitions Relieve Target Firms' Financial Constraints?
    Isil Erel, Yeejin Jang, and Michael S. Weisbach
2013-4:
  • Brand Capital and Firm Value
    Frederico Belo, Xiaoji Lin, and Maria Ana Vitorino
2013-5:
  • Learning About CEO Ability and Stock Return Volatility
    Yihui Pan, Tracy Yue Wang , and Michael S. Weisbach
2013-6:
  • Indirect Incentives of Hedge Fund Managers
    Jongha Lim, Berk A. Sensoy, and Michael S. Weisbach
2013-7:
  • Is there a U.S. high cash holdings puzzle after the financial crisis?
    Lee Pinkowitz, René M. Stulz, and Rohan Williamson
2013-8:
  • Why High Leverage is Optimal for Banks
    Harry DeAngelo and René M. Stulz
2013-9:
  • The Twilight Zone: OTC Regulatory Regimes and Market Quality
    Ulf Brüggemann, Aditya Kaul, Christian Leuz, and Ingrid M. Werner
2013-10:
  • Do firms issue more equity when markets are more liquid?
    René M. Stulz, Dimitrios Vagias, and Mathijs A. van Dijk
2013-11:
  • Comovement of Corporate Bonds and Equities
    Jack Bao and Kewei Hou
2013-12:
  • CEO Investment Cycles
    Yihui Pan, Tracy Yue Wang, and Michael S. Weisbach
2013-13:
  • Limited Managerial Attention and Corporate Aging
    Claudio Loderer, René Stulz, and Urs Waelchli
2013-14:
  • Tick Size Regulations and Sub-Penny Trading
    Sabrina Buti, Barbara Rindi, Yuanji Wen, and Ingrid Werner
2013-15:
  • Corporate Liquidity Management: A Conceptual Framework and Survey
    Heitor Almeida, Murillo Campello, Igor Cunha,and Michael Weisbach
2013-16:
  • External Habit in a Production Economy
    Andrew Chen
2013-17:
  • The Term Structures of Co-Entropy in International Financial Markets
    Fousseni Chabi-Yo and Riccardo Colacito
2013-18:
  • Sub-Penny and Queue-Jumping
    Sabrina Buti, Francesco Consonni, Barbara Rindi, and Ingrid Werner
2013-19:
  • Is sell-side research more valuable in bad times?
    Roger K. Loh and René Stulz
2013-20:
  • Disentangling Financial Constraints, Precautionary Savings, and Myopia: Household Behavior Surrounding Federal Tax Returns
    Brian Baugh, Itzhak Ben-David, and Hoonsuk Park

Bullet 2012

2012-1:
  • An Equilibrium Asset Pricing Model with Labor Market Search
    Lars-Alexander Kuehn, Nicolas Petrosky-Nadeau and Lu Zhang
2012-2:
  • Access to Capital, Investment, and the Financial Crisis
    Kathleen M. Kahle and René M. Stulz
2012-3:
  • Globalization, Country Governance, and Corporate Investment Decisions: An Analysis of Cross-Border Acquisitions
    Jesse Ellis, Sara B. Moeller, Frederik P. Schlingemann and René M. Stulz
2012-4:
  • The Quiet Run of 2011: Money Market Funds and the European Debt Crisis
    Sergey Chernenko and Adi Sunderam
2012-5:
  • Equity-Holding Institutional Lenders: Do They Receive Better Terms?
    Jongha Lim, Bernadette A. Minton and Mike Weisbach
2012-6:
  • Financing-Motivated Acquisitions
    Isil Erel, Yeejin Jang and Mike Weisbach
2012-7:
  • Do Loan Officers' Incentives Lead to Lax Lending Standards?
    Sumit Agarwal and Itzhak Ben-David
2012-8:
  • Predatory Lending and the Subprime Crisis
    Sumit Agarwal, Gene Amromin, Izthak Ben-David, Souphala Chomsisengphet, and Douglas D. Evanoff
2012-9:
  • Does Aggregate Riskiness Predict Future Economic Downturns
    Turan G. Bali, Nusret Cakici, and Fousseni Chabi-Yo
2012-10:
  • Multinationals and the High Cash Holding Puzzle
    Lee Pinkowitz, René M. Stulz, and Rohan Williamson
2012-11:
2012-12:
  • Did Capital Requirements and Fair Value Accounting Spark Fire Sales in Distressed Mortgage-Backed Securities?
    Craig B. Merrill, Taylor D. Nadauld, René M. Stulz, and Shane M. Sherlund
2012-13:
  • Financial globalization and the rise of IPOs outside the U.S.
    Craig Doidge, G. Andrew Karolyi, and René M. Stulz
2012-14:
  • Long Run Productivity Risk and Aggregate Investment
    Jack Favilukis and Xiaoji Lin
2012-15:
  • Syndicated Loan Spreads and the Composition of the Syndicate
    Jongha Lim, Bernadette A. Minton, and Michael S. Weisbach
2012-16:
  • Wage Rigidity: A Solution to Several Asset Pricing Puzzles
    Jack Favilukis and Xiaoji Lin
2012-17:
  • Labor Hiring, Investment, and Stock Return Predictability in the Cross Section
    Santiago Bazdresch, Frederico Belo, and Xiaoji Lin
2012-18:
  • Reverse Mergers: The Chinese Experiences
    Jan Jindra, Torben Voetmann,and Ralph Walking
2012-19:
  • Does Wage Rigidly Make Firms Riskier? Evidence From Long-Horizon Return Predictability.
    Jack Favilukis and Xiaoji Lin
2012-20:
  • Policy Intervention in Debt Renegotiation: Evidence from the Home Affordable Modification Program
    Sumit Agarwala, Gene Amromina, Itzhak Ben-David,Souphala Chomsisengphetc, Tomasz Piskorskid, and Amit Serue
2012-21:
  • Digesting Anomalies: An Investment Approach
    Kewei Hou, Chen Xue, and Lu Zhang
2012-22:
  • Endogenous technological progress and the cross section of stock returns
    Xiaoji Lin
2012-23:
  • The Inventory Growth Spread
    Frederico Belo and Xiaoji Lin
2012-24:
  • Probability Weighting of Rare Events and Currency Returns
    Fousseni Chabi-Yo and Zhaogang Song
2012-25:
  • Labor Hetergeneity and Asset Prices: the Importance of Skilled Labor
    Frederico Belo and Xiaoji Lin
2012-26:
  • Does Target CEO Retention in Aquisition Involving Private Equity Acquirers Harm Target Shareholders
    Leonce L. Bargeron, Frederik P. Schlingemann, René M. Stulz, and Chad J. Zutter
2012-27:
  • Why Did Holdings of Highly-Rated Securitization Tranches Differ So Much Across Banks?
    Isil Erel, Taylor Nadauld and René M. Stulz
2012-28:
  • Have We Solved The Idiosyncratic Volatility Puzzle?
    Kewei Hou and Roger K. Loh
2012-29
  • Collateral Valuation and Borrower Financial Constraints: Evidence from the Residential Real-Estate Market
    Sumit Agarwal, Itzhak Ben-David and Vincent Yao

Bullet 2011

2011-1:
2011-2:
2011-3:
2011-4:
2011-5:
2011-6:
2011-7:
2011-8:
2011-9:
2011-10:
2011-11:
2011-12:
2011-13:
2011-14:
2011-15:
2011-16:
2011-17:
2011-18:
2011-19:
2011-20:

Bullet 2010

2010-1:
  • Profitability Shocks and the Size Effect in the Cross-Section of Expected Stock Returns
    Kewei Hou and Mathijs A. van Dijk
2010-2:
  • Hedge Fund Stock Trading in the Financial Crisis of 2007-2009 (revisied 9/11),(revised 5/11)
    Itzhak Ben-David, Francesco Franzoni and Rabih Moussawi
2010-3:
  • Pay for Performance from Future Fund Flows: The Case of Private Equity (revised 09/10)
    Ji-Woong Chung, Berk A. Sensoy, Léa H. Stern and Michael S. Weisbach
2010-4:
  • The Implied Cost of Capital:A New Approach  (revised 12/11)
    Kewei Hou, Mathijs A. van Dijk and Yinglei Zhang
2010-5:
  • The Credit Crisis Around the Globe: Why Did Some Banks Perform Better?
    Andrea Beltratti and René M. Stulz
2010-6:
  • Dark Pool Trading Strategies
    Sabrina Buti, Barbara Rindi, and Ingrid M. Werner
2010-7:
  • The Dark Side of Outside Directors: Do They Quit When They are Most Needed?
    Rüdiger Fahlenbrach, Angie Low, and René M. Stulz
2010-8:
  • Are Acquisition Premiums Lower because of Target CEOs Conflicts of Interest?
    Leonce Bargeron, Frederik Schlingemann, René M. Stulz, and Chad Zutter
2010-9:
  • Borrow Cheap, Buy High? The Determinants of Leverage and Pricing in Buyouts
    Ulf Axelson, Tim Jenkinson, Per Strömberg, and Michael S. Weisbach
2010-10:
  • Diving Into Dark Pools
    Sabrina Buti, Barbara Rindi, and Ingrid M. Werner
2010-11:
  • Are Stock Acquirers Overvalued? Evidence from Short Selling Activity
    Itzhak Ben-David, Michael S. Drake, and Darren T. Roulstone
2010-12:
  • Managerial Miscalibration
    Itzhak Ben-David, John R. Graham, and Campbell R. Harvey
2010-13:
  • Financial Policies and the Financial Crisis:How Important Was the Systemic Credit Contraction for Industrial Corporations?
    Kathleen M. Kahle and René M. Stulz
2010-14:
  • Do Independence and Financial Expertise of the Board Matter for Risk Taking and Performance?
    Bernadette Minton, Jerome P. A. Taillard, and Rohan Williamson
  • revision: 6/2011
2010-15:
  • The Value Spread: A Puzzle
    Frederico Belo, Chen Xue, and Lu Zhang
2010-16:
  • Did Securitization Affect the Cost of Corporate Debt?
    Taylor D. Nadauld and Michael S. Weisbach
2010-17:
  • Investment-Based Momentum Profits
    Laura Xiaolei Liu and Lu Zhang
2010-18:
  • Does Risk Explain Anomalies? Evidence from Expected Return Estimates
    Jin (Ginger) Wu and Lu Zhang
2010-19:
  • Market-Based Loss Mitigation Practices for Troubled Mortgages Following the Financial Crisis
    Sumit Agarwal, Gene Amromin, Itzhak Ben-David, Souphala Chomsisengphet and Douglas D. Evanoff
2010-20:
  • Excess Volatility of Corporate Bonds
    Jack Bao and Jun Pan
2010-21:
  • Cyclicality, Performance Measurement, and Cash Flow Liquidity in Private Equity
    David T. Robinson and Berk A. Sensoy
  • revision date: September 2011; revision date: July 2011

Bullet 2009

2009-1:
2009-2:
2009-3:
2009-4:
2009-5:
2009-6:
2009-7:
2009-8:
2009-10:
2009-11:
2009-12:
2009-13:
2009-14:
2009-15:
2009-16:
2009-17:
2009-18:
2009-19:
2009-20:
2009-21:
2009-22:
2009-23:
2009-24:

Bullet 2008

2008-1:
  • How much do banks use credit derivatives to hedge loans?
    Bernadette Minton, René M. Stulz, and Rohan Williamson
2008-2:
  • Investor inattention and the underreaction to stock recommendations
    Roger Loh
2008-3:
  • Diversification, Productivity, and Financial Constraints: Empirical Evidence from the US Electric Utility Industry?
    Mika Goto, Angie Low, and Anil K. Makhija
2008-4:
  • The Changing Nature of Chapter 11
    Sreedhar T. Bharath, Venky Panchapegesan, and Ingrid Werner
2008-5:
  • Shareholder Rights, Boards, and CEO Compensation
    Rüdiger Fahlenbrach
2008-6:
  • Off but Not Gone: A Study of Nasdaq Delistings
    Jeffrey H. Harris Venkatesh Panchapegesan, and Ingrid Werner
2008-7:
  • Commodity price exposure and ownership clienteles
    Phil Davies, Bernadette Minton, and Catherine Schrand
2008-8:
  • Hedge fund contagion and liquidity
    Nicole M. Boyson, Christof W. Stahel, and René M. Stulz
2008-9:
  • Estimating the Effects of Large Shareholders Using a Geographic Instrument (revised 04/09)
    Bo Becker, Henrik Cronqvist, and Rüdiger Fahlenbrach
2008-10:
  • Why do firms appoint CEOs as outside directors?
    Rüdiger Fahlenbrach, Angie Low, and René M. Stulz
2008-11:
  • What Determines the Structure of Corporate Debt Issues?
    Brandon Julio, Woojin Kim, and Michael S. Weisbach
2008-12:
  • Thriving in the midst of financial distress? An analysis of firms exposed to asbestos litigation
    Jérôme Ph. A. Taillard
2008-13:
  • Securities Laws, Disclosure, and National Capital Markets in the Age of Financial Globalization
    René M. Stulz
2008-14:
  • Why Do Foreign Firms Leave U.S. Equity Markets? An Analysis of Deregistrations Under SEC Exchange Act Rule 12h-6
    Craig Doidge, G. Andrew Karolyi, and René M. Stulz
2008-15:
  • Why are Buyouts Levered? The Financial Structure of Private Equity Funds
    Ulf Axelson, Per Strömberg, and Michael S. Weisbach
2008-16:
  • Corporate Financial and Investment Policies when Future Financing is not Frictionless
    Heitor Almeida, Murillo Campello, and Michael S. Weisbach
2008-17:
  • Information Disclosure and Corporate Governance (revised 08/09)(revised 06/10)(revised01/30/11)
    Benjamin E. Hermalin and Michael S. Weisbach
2008-18:
  • Risk Management Failures: What Are They and When Do They Happen?
    René M. Stulz
2008-19:
  • Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions (revised 05/09)(revised 07/09)
    Robert Kimmel
2008-20:
  • Does Mandatory Loan Review Affect Mortgage Contract Choice and Performance? (revised 04/2011 and 06/09)
    Sumit Agarwal, Gene Amromin, Itzhak Ben-David, Souphala Chomsisengphet, and Douglas D. Evanoff
2008-21:
  • The Role of Boards of Directors in Corporate Governance: A Conceptual Framework & Survey (revised 04/09)
    Renée Adams, Benjamin E. Hermalin and Michael S. Weisbach
2008-22:
  • Investor Demand for Industry Factor Price Exposure (revised 06/10)
    Phil Davies, Bernadette Minton, and Catherine Schrand
2008-23:
  • Discussion of ‘A Lobbying Approach to Evaluating the Sarbanes-Oxley Act of 2002’
    G. Andrew Karolyi
2008-24:
  • Changing Times: The Pricing Problem in Non-Linear Models
    Robert Kimmel
2008-25:
  • Pricing Kernels with Coskewness and Volatility Risk (revised 03/09)
    Fousseni Chabi-Yo

Bullet 2007

2007-1:
  • Does Corporate Culture Matter for Firm Policies?
    Henrik Cronqvist, Angie Low, and Mattias Nilsson
2007-2:
  • A Note on the Dai-Singleton Canonical Representation of Affine Term Structure Models (revised 09/08)
    Patrick Cheridito, Damir Filipovic, and Robert L. Kimmel
2007-3:
  • Hedge Funds: Past, Present, and Future
    René M. Stulz
2007-4:
  • Former CEO Directors: Lingering CEOs or Valuable Resources? (revised 08/10)(revised 01/10)(revised 09/08)
    Rüdiger Fahlenbrach, Bernadette A. Minton, and Carrie H. Pan
2007-5:
  • The Impact of Shareholder Power on Bondholders: Evidence from Mergers and Acquisitions
    Angie Low, Anil K. Makhija, and Anthony B. Sanders
2007-6:
  • Complex Times: Asset Pricing and Conditional Moments under Non-Affine Diffusions (revised 08/08)
    Robert L. Kimmel
2007-7:
  • Do Entrenched Managers Pay Their Workers More?
    Henrik Cronqvist, Fredrik Heyman, Mattias Nilsson, Helena Svaleryd, and Jonas Vlachos
2007-8:
  • Why do private acquirers pay so little compared to public acquirers?
    Leonce Bargeron, Frederik Schlingemann, René M. Stulz, and Chad Zutter
2007-9:
  • Has New York become less competitive in global markets? Evaluating foreign listing choices over time
    Craig Doidge, G. Andrew Karolyi, and René M. Stulz
2007-10:
  • The Impact of Competition and Corporate Structure on Productive Efficiency: The Case of the U.S. Electric Utility Industry, 1990-2004
    Mika Goto and Anil K. Makhija
2007-11:
  • Fairness Opinions in Mergers and Acquisitions
    Anil K. Makhija and Rajesh P. Narayanan
2007-12:
  • Managerial ownership dynamics and firm value (revised 01/08)
    Rüdiger Fahlenbrach and René M. Stulz
2007-13:
  • Fundamentals, Market Timing, and Seasoned Equity Offerings
    Harry DeAngelo, Linda DeAngelo, and René Stulz
2007-14:
  • Differences in Governance Practice between U.S. and Foreign Firms: Measurement, Causes, and Consequences
    Reena Aggarwal, Isil Erel, René Stulz, and Rohan Williamson
2007-15:
  • An Assessment of Terrorism-Related Investing Strategies
    G. Andrew Karolyi
2007-16:
  • Common Patterns in Commonality in Returns, Liquidity, and Turnover around the World
    G. Andrew Karolyi, Kuan-Hui Lee, and Mathijs A. van Dijk
2007-17:
  • Do Funds Need Governance? Evidence from Variable Annuity-Mutual Fund Twins
    Richard Evans and Rüdiger Fahlenbrach
2007-18:
  • Relationships, Corporate Governance, and Performance: Evidence from Private Placements of Common Stock (revised 05/08)
    Karen H. Wruck and YiLin Wu

Bullet 2006

2006-1:
  • Is there hedge fund contagion?
    Nicole M. Boyson, Christof W. Stahel, and René M. Stulz
2006-2:
  • Co-Movements of Index Options and Futures Quotes (revision 2005-10)
    Rüdiger Fahlenbrach and Patrik Sandås
2006-3:
  • The Accrual Anomaly: Risk or Mispricing?
    David Hirshleifer, Kewei Hou, Siew Hong Teoh
2006-4:
  • Merton Miller
    René M. Stulz
2006-5:
  • Price and Volatility Transmission across Borders
    Louis Gagnon and G. Andrew Karolyi
2006-6:
  • The Consequences of Terrorism for Financial Markets: What Do We Know?
    G. Andrew Karolyi
2006-7:
  • How has CEO Turnover Changed? Increasingly Performance Sensitive Boards and Increasingly Uneasy CEOs
    Steven N. Kaplan and Bernadette A. Minton
2006-8:
  • Investor Overreaction, Cross-Sectional Dispersion of Firm Valuations, and Expected Stock Returns
    Danling Jiang
2006-9:
  • What Factors Drive Global Stock Returns?  (Current Version: January 2011)
    Kewei Hou, G. Andrew Karolyi, and Bong-Chan Kho
2006-10:
  • The World Price of Liquidity Risk
    Kuan-Hui Lee
2006-11:
  • Information, Trading Volume, and International Stock Return Comovements: Evidence from Cross-listed Stocks (updated 02/07)
    Louis Gagnon and G. Andrew Karolyi
2006-12:
  • Financial globalization, governance, and the evolution of the home bias
    Bong-Chan Kho, René M. Stulz, and Francis E. Warnock
2006-13:
  • It’s SHO Time! Short-Sale Price-Tests and Market Quality (updated 08/07)
    Karl B. Diether, Kuan-Hui Lee, and Ingrid M. Werner
2006-14:
  • Large Shareholders and Corporate Policies
    Henrik Cronqvist and Rüdiger Fahlenbrach
2006-15:
  • Enterprise Risk Management: Theory and Practice
    Brian Nocco and René M. Stulz
2006-16:
  • Advertising and Portfolio Choice
    Henrik Cronqvist
2006-17:
  • Why do U.S. firms hold so much more cash than they used to? (updated 03/07)
    Thomas W. Bates, Kathleen M. Kahle, and René M. Stulz
2006-18:
  • Subordinations Levels in Structured Financing
    Xudong An, Yongheng Deng, and Anthony B. Sanders
2006-19:
  • The Effect of Bank Mergers on Loan Prices: Evidence from the U.S. (updated 12/07)
    Isil Erel
2006-20:
  • Managerial Risk-Taking Behavior and Equity-Based Compensation
    Angie Low
2006-21:
  • The Economics of Conflicts of Interest in Financial Institutions
    Hamid Mehran and René M. Stulz
2006-22:
  • List Prices, Sale Prices, and Marketing Time: An Application to U.S. Housing Markets
    Donald R. Haurin, Jessica L. Haurin, Taylor Nadauld, and Anthony B. Sanders
2006-23:
  • R2 and Price Inefficiency
    Kewei Hou, Lin Peng, and Wei Xiong
2006-24:
  • Commercial Mortgage-backed Securities (CMBS) Terminations, Regional and Property-Type Risk
    Yongheng Deng, John M. Quigley, and Anthony B. Sanders
2006-25:
  • Do U.S. Firms Have the Best Corporate Governance? A Cross-Country Examination of the Relation between Corporate Governance and Shareholder Wealth
    Reena Aggarwal, Isil Erel, René Stulz, and Rohan Williamson