Finance Publications and Research

  • Alexander W. Butler and Umit Gurun. 2011. “Educational Networks, Mutual Fund Voting Patterns, and CEO Compensation” Review of Financial Studies, forthcoming.
  • Alexander W. Butler and Umit Gurun. 2011. “Don’t Believe the Hype: Local Media Slant, Local Advertising, and Firm Value” Journal of Finance, forthcoming.
  • Alexander W. Butler and Jess Cornaggia. 2011. “Does Access to External Finance Improve Productivity? Evidence from a Natural Experiment,” Journal of Financial Economics, Vol. 99, No. 1, 184-203.
  • Alexander W. Butler, Jess Cornaggia, Gustavo Grullon, and James P. Weston. 2011. “Corporate Financing Decisions, Managerial Market Timing, and Real Investment.” Journal of Financial Economics, Vol. 101, No. 3, 666-683.
  • Alan D. Crane and Jay C. Hartzell. 2011. “Is There a Disposition Effect in Corporate Investment? Evidence from Real Estate Investment Trusts.” Working Paper.
  • Alan D. Crane. 2011. “The Litigation Environment of a Firm and its Impact on Financial Policy.” Working Paper.
  • Jeff Fleming and Chris Kirby. 2011. “Long memory in volatility and trading volume.” Journal of Banking and Finance,35, forthcoming.
  • Jeff Fleming and Bradley S. Paye. 2011. “High-frequency returns, jumps and the mixture of normals hypothesis.” Journal of Econometrics, 160:1 119–128.
  • Jefferson Duarte and Douglas A. McManus, 2011, “Residential Mortgage Credit Derivatives” Real Estate Economics 39 671-700.
  • Gustavo Grullon, Evgeny Lyandres and Alexei Zhdanov. 2011. “Real Options, Volatility, and Stock Returns.” Journal of Finance, forthcoming.
  • Gustavo Grullon, Sébastien Michenaud and James Weston. 2011. "The Real Effects of Stock Prices." Working paper.
  • Gustavo Grullon, Brad Paye, Shane Underwood and James Weston. 2011. “Has the Propensity to Pay Out Declined?” Journal of Financial and Quantitative Analysis, 46, 1-24. (Lead Article)
  • Huseyin Gulen, Yuhang Xing and Lu Zhang. 2011. “Value versus Growth: Time-varying Expected Stock Returns.” Financial Management, 40, (2), 381-407.
  • George Kanatas and Jianping Qi. 2011. “Competition and Managerial Incentives: Board Independence, Information, and Predation.” The Journal of Industrial Economics, forthcoming.
  • Nishad Kapadia. 2011. “Tracking down distress risk”, Journal of Financial Economics, vol. 102, issue 1, pages 167-182.
  • Sébastien Michenaud, François Degeorge, François Derrien, and Ambrus Kecskés. 2011. “Do Analysts Influence Corporate Financial Policies?” Working paper.
  • Barbara Ostdiek and Chris Kirby. 2011. “It's All in the Timing: Simple Active Portfolio Strategies that Outperform Diversification.” Journal of Financial & Quantitative Analysis, forthcoming.
 
  • Andrew Ang, Vineer Bhansali and Yuhang Xing. 2010. “Build America Bonds.” Journal of Fixed Income, 20, (1), 67-73.
  • Andrew Ang, Vineer Bhansali and Yuhang Xing. 2010. “Taxes on Tax-exempt Bonds.” Journal of Finance, 65, (2), 565-601.
  • Alexander W. Butler and Hong Wan. 2010. “Stock Market Liquidity and the Long-Run Stock Performance of Debt Issuers.”
  • Jason Fink, Kristin Fink, Gustavo Grullon and James Weston. 2010. “What Drove the Increase in Idiosyncratic Volatility during the Internet Boom?” Journal of Financial and Quantitative Analysis, 45, 1253-1278.
  • George Kanatas and Chris Stefanadis. 2010. “Can Venture Capital Be A Curse?” The B.E. Journal of Economic Analysis & Policy, Vol. 10: Issue 1 (Contributions), Article 54.
  • Yuhang Xing, Xiaoyan Zhang and Rui Zhao. 2010. “What Does Individual Option Volatility Smirk Tell Us About Future Equity Returns?” Journal of Financial and Quantitative Analysis, 45, (3) 641-662.
 
  • Andrew Ang, Robert Hodrick, Yuhang Xing and Xiaoyan Zhang. 2009. “High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence.” Journal of Financial Economics, 91, (1), 1-23.
  • Kerry Back and D. Paulsen. 2009. “Open Loop Equilibria and Perfect Competition in Option Exercise Games.” Review of Financial Studies, 22, 4531-4552.
  • Geert Bekaert, Eric Engstrom and Yuhang Xing. 2009. “Risk, Uncertainty, and Asset Prices.” Journal of Financial Economics, 91, 59-82.
  • Alexander W. Butler, Larry Fauver, and Sandra Mortal. 2009. “Corruption, Political Connections, and Municipal Finance.” Review of Financial Studies, Vol. 22, No. 7, 2673-2705.
  • Jefferson Duarte and Lance Young. 2009. “Why is PIN Priced?” Journal of Financial Economics 91 119-138. (Fama-DFA prize for the best asset pricing paper)
  • Chris Downing, Shane Underwood and Yuhang Xing. 2009. “An Intraday Analysis of the Relative Informational Efficiency of Stocks and Bonds.” Journal of Financial and Quantitative Analysis, 44, 1081-1102.
  • Jeff Fleming and Bradley Paye. 2009. “High Frequency Returns, Jumps and the Mixture of Normals Hypothesis.” Journal of Econometrics, forthcoming.
  • Gustavo Grullon, Bradley Paye, Shane Underwood and James Weston. 2009. “Has the Propensity to Pay Out Declined?” Journal of Financial and Quantitative Analysis, forthcoming.
 
  • George Alayannis, Brian Rountree and James P. Weston. 2008. “Do Investors Value Smooth Performance?” Journal of Financial Economics 90, 237-251.
  • Alexander W. Butler. 2008. “Distance Still Matters: Evidence from Municipal Bond Underwriting.” Review of Financial Studies, Vol. 21, No. 2 (April), 763-784.
  • Jefferson Duarte. 2008. “The Causal Effect of Mortgage Refinancing on Interest Rate Volatility: Empirical Evidence and Theoretical Implications.” Review of Financial Studies 21 1689-1731.
  • Jefferson Duarte, Xi Han, Jarrad Harford and Lance Young. 2008. “Information Asymmetry, Information Dissemination and the Effect of Regulation FD on the Cost of Capital.” Journal of Financial Economics 8(1) 24-44.
  • Jeff Fleming, Chris Kirby and Barbara Ostdiek. “The Specification of GARCH Models with Exogenous Covariates.” Journal of Futures Markets, 28:10, 911-934.
  • Sébastien Michenaud and Bruno Solnik. 2008. “Applying Regret Theory to Investment Choices: Currency Hedging Decisions.” Journal of International Money and Finance 27:5, 677-694.
  • James Weston, Brian Rountree and George Allayannis. 2008. “Do Investors Value Smooth Performance.” Journal of Financial Economics, 90, 237-251.
  • Yuhang Xing. 2008. “Interpreting the Value Effect Through the Q-theory: An Empirical Investigation” (previously circulated under the title of “Firm Investments and Expected Equity Returns”). Review of Financial Studies, 21, (4), 1767-1795.
     
 
  • Kerry Back and S. Baruch. 2007. “Working Orders in Limit Order Markets and Floor Exchanges." Journal of Finance, 61, 1589-1621.
  • Sohnke Bartram, Greg Brown and John Hund. 2007 “Estimating Systemic Risk in the International Banking System.” Journal of Financial Economics.
  • Geert Bekaert, Min Wei and Yuhang Xing. 2007. “Uncovered Interest Rate Parity and Term Structure.” International Money and Finance, 26,1038-1069.
  • Gregory W. Brown and Nishad Kapadia. 2007. “Firm-specific risk and equity market development.” Journal of Financial Economics 358-388.
  • Jefferson Duarte, Francis A. Longstaff and Fan Yu. 2007. “Risk and Return in Fixed-Income Arbitrage: Nickels in Front of a Steamroller?” Review of Financial Studies 20(3) 769-811.
 
  • Andrew Ang, Robert Hodrick and Yuhang Xing. 2006. “The Cross-Section of Volatility and Expected Returns.” Journal of Finance, 51, (1), 259-299.
  • Andrew Ang, Joe Chen and Yuhang Xing. 2006. “Downside Risk.” Review of Financial Studies, 19, 1191-1239.
  • Alexander W. Butler and Larry Fauver. 2006. “Institutional Environment and Sovereign Credit Ratings.” Financial Management, Vol. 35, No. 3 (Autumn), 53-79.
  • Alex Butler, Gustavo Grullon and James Weston. 2006. “Can Managers successfully time the maturity structure of their debt?” Journal of Finance, 61, 1731-1758. (Finalist for the Brattle Prize)
  • Jason Fink, Kristin Fink and James P. Weston. 2006. “Competition on the NASDAQ and the Growth of Electronic Communication Networks.” Journal of Banking and Finance 2537-2559.
  • Jeff Fleming Chris Kirby and Barbara Ostdiek. 2006. “Bootstrap Tests of Multiple Inequality Restrictions on Variance Ratios.” Economics Letters, 91:3, 343–348.
  • Jeff Fleming, Chris Kirby and Barbara Ostdiek. 2006. “Information, Trading, and Volatility: Evidence from Weather Sensitive Markets.” Journal of Finance, 61:6, 2899–2930.
  • Jeff Fleming, Chris Kirby and Barbara Ostdiek. 2006. “Stochastic Volatility, Trading Volume, and the Daily Flow of Information.” Journal of Business, 79:3, 1551–1590.
  • Jeff Fleming and Bradley S. Paye. 2006. “The impact of microstructure noise on the distributional properties of daily stock returns standardized by realized volatility.” Proceedings of the American Statistical Association, 997–1004.
  • Gustavo Grullon, George Kanatas and Piyush Kumar. 2006. “The Impact of Capital Structure on Advertising Competition: An Empirical Study.” Journal of Business, 79, 3101-3124.
  • Qing Li, Maria Vassalou and Yuhang Xing. 2006. “Sector Investment Growth Rates and The Cross-Section of Equity Returns.” Journal of Business, 79, (3), 1637-1665.
  • Bradley Paye and Allan Timmermann. 2006. “Instability of Return Prediction Models.” The Journal of Empirical Finance 13 (3), 274-315.
     
 
  • Tom Arnold, Alexander W. Butler, Timothy Falcon Crack, and Yan Zhang. 2005. “The Information Content of Short Interest: A Natural Experiment.” Journal of Business, Vol. 78, No. 4 (July), 1307-1335.
  • Z. Ayca Altintig and Alexander W. Butler. 2005. “Are They Still Called Late? The Effect of Notice Period on Calls of Convertible Bonds.” Journal of Corporate Finance, Vol. 11, No. 1-2, (March) 337-350.
  • Alex Butler, Gustavo Grullon and James Weston. 2005. “Can Managers Forecast Aggregate Market Returns?” Journal of Finance, 60, 963-986.
  • Alex Butler, Gustavo Grullon and James Weston. 2005. “Stock Market Liquidity and the Cost of Issuing Equity.” Journal of Financial and Quantitative Analysis, 40, 331-348.
  • Shlomo Benartzi, Gustavo Grullon, Roni Michaely and Richard Thaler. 2005. “Dividend Changes Do Not Signal Changes in Future Profitability.” Journal of Business, 78, 1659-1682.
     
 
  • Kerry Back and Schmuel Baruch. 2004. “Information in Securities Markets: Kyle Meets Glosten and Milgrom." Econometrica 72, 433-465.
  • Jefferson Duarte. 2004. “Evaluating an Alternative Risk Preference in Affine Term Structure Models.” Review of Financial Studies 17(2) 370-404.
  • Gustavo Grullon, George Kanatas and James Weston. 2004. “Advertising, Breadth of Ownership, and Liquidity.” Review of Financial Studies, 17, 439-461.
  • Gustavo Grullon and Roni Michaely. 2004. “The Information Content of Share Repurchase Programs.” Journal of Finance, 59, 651-680.
  • George Kanatas and Jianping Qi. 2004. "Dividends and Debt with Managerial Agency and Lender Holdup" Management Science, 50, 1249-1260.
  • George Kanatas and Jianping Qi. 2004. “Imperfect Competition, Debt, and Exit.” Financial Management, 33, 29-49.
  • Maria Vassalou and Yuhang Xing. 2004. “Default Risk and Equity Returns.” Journal of Finance, LIX(2): 831-868.