Department of Finance
Research

Research

The department prides itself in providing a vibrant research atmosphere characterized by extensive collaboration and a shared goal of excelling through the production of cutting-edge research. For complete information on publications and impact, please refer to each faculty member’s profile.

Research Highlights

  • Forthcoming Papers

    2020

    Ben-David, I., Bos, M. (2020). Impulsive Consumption and Financial Wellbeing: Evidence from an Increase in the Availability of Alcohol. To appear in Review of Financial Studies.

    Ge, S., Weisbach, M. S. (2020). The Role of Financial Conditions in Portfolio Management: The Case of Insurers. To appear in Journal of Financial Economics.

    Wittry, M. D. (2020). (Debt) Overhang: Evidence from Resource Extraction. To appear in Review of Financial Studies.

    Stulz, R. M., Fahlenbrach, R., Rageth (2020). How valuable is Financial Flexibility when Revenue Stops? Evidence from the COVID-19 Crisis. To appear in Review of Financial Studies.

    Kamiya, S., Kim, J., Milidonis, A., Stulz, R. M. (2020). Risk Management, Firm Reputation, and the Impact of Successful Cyber attacks on Target Firms. To appear in Journal of Financial Economics.

    Stulz, R. M., Fahlenbrach, R., Taillard, J. P., Fahlenbrach, R. (2020). Why Are Firms with More Managerial Ownership Worth Less?. To appear in Journal of Financial Economics.

    Stulz, R. M., Kahle, K. (2020). Why Are Payouts So High in the 2000s?. To appear in Journal of Financial Economics.

    Stulz, R. M., Shin, H., Lee, D. (2020). Why Does Equity Capital Flow Out of High Tobin’s q Industries. To appear in Review of Financial Studies.

    Zhang, S. (2020). Limited Risk Sharing and International Equity Returns. To appear in Journal of Finance.

    Nguyen, T. T., Croce, M. M., Raymond, S. (2020). Persistent Government Debt and Aggregate Risk Distribution. To appear in Journal of Financial Economics.

    Li, Y., Denbee, E., Julliard, C., Yuan, K. (2020). Network Risk and Key Players: A Structural Analysis of Interbank Liquidity. To appear in Journal of Financial Economics.

    Li, Y., Cong, L., Wang, N. (2020). Tokenomics: Dynamic Adoption and Valuation. To appear in Review of Financial Studies.

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  • Recent Publications

    2020

    Griffin, J. M., Shams, A. (2020). Is Bitcoin Really Untethered?. Journal of Finance, 75(4), 1913-1964.

    Hou, K., Xue, C., Zhang, L. (2020). Replicating Anomalies. Review of Financial Studies, 33(5), 2019-2133.

    Goncalves, A., Xue, C., Zhang, L. (2020). Aggregation, Heterogeneity, and the Investment CAPM. Review of Financial Studies.

    Bennett, B., Stulz, R. M., Wang, Z. (2020). Does the Stock Market Make Firms More Productive?. Journal of Financial Economics, 136(2), 281-306.

                         

    2019

    Ben-David, I., Birru, J., Rossi, A. (2019). Industry familiarity and trading: Evidence from the personal portfolios of industry insiders. Journal of Financial Economics, 132(1), 49-75.

    Ben-David, I., Franzoni, F., Moussawi, R. (2018). Do ETFs Increase Volatility?. Journal of Finance, 73(6), 2471-2535.

    Agarwal, S., Amromin, G., Ben-David, I., Dinc, S. (2018). The Politics of Foreclosures. Journal of Finance, 73(6), 2677-2717.

    Hou, K., Van Dijik, M. (2019). Resurrecting the Size Effect: Firm Size, Profitability Shocks, and Expected Stock Returns. Review of Financial Studies, 32(7), 2850-2889.

    Bai, H., Hou, K., Kung, H., Li, E.X.N., Zhang, L. (2019). The CAPM Strikes Back? An Equilibrium Model with Disasters. Journal of Financial Economics, 131(2), 269-298

    Cavagnaro, D., Sensoy, B. A., Wang, Y., Weisbach, M. S. (2019). Measuring Institutional Investors' Skill at Making Private Equity Investments. Journal of Finance, 74(6), 3089-3134.

    Nadauld, T., Sensoy, B. A., Vorkink, K., Weisbach, M. S. (2019). The Liquidity Cost of Private Equity Investments:  Evidence from Secondary Market Transactions. Journal of Financial Economics, 132(3), 158-181.

    Minton, B. A., Stulz, R. M., Taboada, A. (2019). Are the Largest Banks Valued more Highly?. Review of Financial Studies, 32(12), 4604-4652

    Hanselaar, R.M., Stulz, R. M., Van Dijk, M.A. (2019). Do firms issue more equity when markets become more liquid?. Journal of Financial Economics, 133(1), 64-82.

    Croce, M.M., Nguyen, T. T., Raymond, S., Schmid, L. (2019). Government Debt and the Returns to Innovation. Journal of Financial Economics, 132(3), 205-225.

     

    2018

    Griffin, J. M., Shams, A. (2018). Manipulation in the VIX?. Review of Financial Studies, 31(4), 1377-1417.

    Bruggeman, U., Kaul, A., Leuz, C., Werner, I. M. (2018). The Twilight Zone: OTC Regulatory Regimes and Market Quality. Review of Financial Studies, 31(3), 898-942.

    Agarwal, S., Ben-David, I. (2018). Loan Prospecting and the Loss of Soft Information. Journal of Financial Economics, 129(3), 608-628.

    Baugh, B. K., Ben-David, I., Park, H. (2018). Can Taxes Shape an Industry? Evidence from the Implementation of the “Amazon Tax”. Journal of Finance, 73(4), 1819-1855.

    Birru, J. (2018). Day of the Week and the Cross-Section of Returns. Journal of Financial Economics, 130(1), 182-214.

    Pan, Y., Yue Wang, T., Weisbach, M. S. (2018). How Management Risk affects Corporate Debt. Review of Financial Studies, 31(9), 3491-3531.

    Wittry, M. D., Karpoff, J. (2018). Institutional and Legal Context in Natural Experiments:  The Case of State Antitakeover Laws. Journal of Finance, 73(2), 657-714.

    DeAngelo, H., Goncalves, A., Stulz, R. M. (2018). Corporate Deleveraging and Financial Flexibility. Review of Financial Studies, 31(8), 3122-3174.

    Loh, R.K., Stulz, R. M. (2018). Is Sell-Side Research More Valuable in Bad Times?. Journal of Finance, 73(3), 959-1013.

    Fahlenbrach, R., Prilmeier, R., Stulz, R. M. (2018). Why Does Fast Loan Growth Predict Poor Performance for Banks?. Review of Financial Studies, 31(3), 1014-1063.

     

  • Working Papers

    Working papers and their respective abstracts can be viewed and downloaded from the Dice Center's working papers area:

    Working Papers