Faculty Publications
A full listing of faculty research articles forthcoming and published in the last five years is provided below.
Forthcoming Publications
“Volatility Spillovers and the Effect of News Announcements,” George J. Jiang, Eirini Konstantinidi and George Skiadopoulos, Journal of Banking and Finance, forthcoming.
"How Wise are Crowds? Insights from Retail Orders and Stock Returns,” Eric Kelley and Paul Tetlock, Journal of Finance, forthcoming.
"Corporate Strategy, Analyst Coverage, and the Uniqueness Paradox," Lubomir Litov, Patrick Moreton and Todd Zenger, Management Science, forthcoming.
"Noisy Prices and Inference Regarding Returns," Elena Asparouhova, Hendrik Bessembinder and Ivalina Kalcheva, The Journal of Finance, forthcoming.
“Option Pricing when Changes of the Underlying Asset Prices Are Restricted,” George J. Jiang, G. Pan and L. Shi, Journal of Mathematical Finance, forthcoming.
"Creditor Rights and Corporate Risk-Taking," Viral Acharya, Yakov Amihud and Lubomir Litov, Journal of Financial Economics, forthcoming.
2012 Publications
“A Random Walk down Options Market,” George J. Jiang and Yisong Tian, Journal of Futures Markets, 2012, 32(6), 505-535.
“Why does Financial Strength Forecast Stock Returns? Evidence from Subsequent Demand by Institutional Investors,” Nicole Choi and Richard Sias, The Review of Financial Studies, May 2012, Vol. 25, Issue 5, 1550-1587.
“Corporate suppliers and customers and accounting conservatism,” Kai Wai Hui, Sandy Klasa and Eric Yeung, Journal of Accounting and Economics, Vol. 53, No. 1, 2012, 115-135.
2011 Publications
“Portfolio Diversification,” James Bennett and Richard Sias, Journal of Investment Management, Volume 9, number 3, 2011, pp. 74-98.
“Information Shocks, Liquidity Shocks, Jumps, and Price Discovery -- Evidence from the U.S. Treasury Market,” George J. Jiang, Ingrid Lo and Adrien Verdelhan, Journal of Financial and Quantitative Analysis, 2011, 46(2), 527–551.
2010 Publications
"Can Mutual Fund Managers Pick Stocks? Evidence from Their Trades Prior to Earnings Announcements," Malcolm Baker, Lubomir Litov, Jessica Wachter and Jeffrey Wurgler, Journal of Financial and Quantitative Analysis, 2010, Vol. 45. [Winner of the William Sharpe Award for the best paper published in 2010 in the Journal of Financial and Quantitative Analysis.]
"Forecasting Volatility Using Long Memory and Comovements: An application to option valuation under SFAS 123R,” George J. Jiang and Yisong Tian, Journal of Financial and Quantitative Analysis, 2010, 45(2), 503-533.
"Misreaction or Misspecification? A re-examination of volatility anomalies,” George J. Jiang and Yisong Tian, Journal of Banking and Finance, 2010, 45(2), 503-533.
“ECF Estimation of Markov Models Where the Transition Density is Unknown”, George J. Jiang and John Knight, The Econometrics Journal, 2010, 13, 245-270.
“Insider Trades and Demand by Institutional and Individual Investors,” Richard Sias and David Whidbee, Review of Financial Studies, Volume 23, number 4, 2010, pp. 1544-1595.
“Seasoned equity offerings: the effect of inside ownership and float," Vincent Intintoli and Kathleen Kahle, Financial Management, Vol. 39, No. 4, 2010, 1575-1599.
“Style Timing with Insiders,” Richard Sias, Heather Knewtson and David Whidbee, Financial Analysts Journal, Volume 66, number 4, 2010, pp.46-66.
“Determinants of CEO pay: A comparison of ExecuComp and non-ExecuComp firms,” Brian Cadman, Sandy Klasa and Steve Matsunaga, Accounting Review, Vol. 85 No. 5, 2010, 1511-1543.
“Why Susie Owns Starbucks: The Name Letter Effect in Security Selection,” Richard Sias and Heather Knewtson, Journal of Business Research, Volume 63, number 12, 2010, pp. 1324-1327.
"Liquidity Biases in Asset Pricing Tests," Elena N. Asparouhova, Hendrik (Hank) Bessembinder and Ivalina Kalcheva, Journal of Financial Economics (JFE), 2010, v.96, pp.215-237. Notes to SAS Users.
2009 Publications
“Institutional Industry Herding,” Richard Sias and Nicole Choi, Journal of Financial Economics, Volume 94, number 3, 2009, pp. 469-491.
"Nonparametric Estimation of the Short Rate Diffusion from a Panel of Yields," Abdoul G. Sam and George J. Jiang, Journal of Financial and Quantitative Analysis, 2009, 44(5), 1197-1230.
“Why Do U.S. Firms Hold so Much More Cash than They Used to?” Thomas W. Bates, Kathleen Kahle and Rene Stulz, Journal of Finance, Vol. 64, no. 5, October 2009, 1985-2022. [Lead Article]
“The limitations of industry concentration measures constructed with Compustat data: Implications for finance research,” Ashiq Ali, Sandy Klasa and Eric Yeung, Review of Financial Studies, Vol. 22 No. 10, 2009, 3839-3871. [Lead Article – October Issue]
“Measuring abnormal bond performance,” Hendrik Bessimbinder, Kathleen Kahle, William Maxwell and Danielle Xu, Review of Financial Studies, Vol. 22, no. 10, October 2009, 4219-4258.
"Institutional Investors and the Informational Efficiency of Prices,” Ekkehart Boehmer and Eric Kelley, Review of Financial Studies, 2009, 22 (9), 3563-3594.
"Socially-oriented ventures and traditional entrepreneurship education models: A case review," M.M. Mars and Sharon Garrison, Journal of Education for Business, Volume 84, Issue 5, May 2009, pages 290-296. [Forthcoming in a collection of papers, Social Enterprise.]
"Linear-Quadratic Term Structure Models – Toward the understanding of jumps in interest rate,” George J. Jiang and Shu Yan, Journal of Banking and Finance, 2009, 33(3), 473-485.
"The Information Content of Idiosyncratic Volatility", George J. Jiang, Danielle Xu and Tong Yao, Journal of Financial and Quantitative Analysis, 2009, 44(1), 1-28.
"Do firms have leverage targets? Evidence from acquisitions,” Jarrad Harford, Sandy Klasa and Nathan Walcott, Journal of Financial Economics, Vol. 93, No. 1, 2009, 1-14. [Lead Article – July Issue]
"The strategic use of corporate cash holdings in collective bargaining with labor unions,” Sandy Klasa, William Maxwell and Hernan Ortiz-Molina, Journal of Financial Economics, Vol. 92, No. 3, 2009, 421-442.
“Fund of Funds, Portable Alpha, and Portfolio Optimization,” Peng Chen, George J. Jiang and Kevin X. Zhu, Journal of Portfolio Management, 2009, Spring, 79-93.
2008 Publications
"Testing for Jumps When Asset Prices are Observed with Noise -- A "Swap Variance" Approach," George J Jiang and Roel Oomen, Journal of Econometrics, 2008, 144(2), 352-370.
"Institutional stakeholdings and better-informed traders at earnings announcements,” Ashiq Ali, Sandy Klasa and Oliver Zhen Li, Journal of Accounting and Economics, Vol. 46, No. 1, 2008, 47-61.
“Errors in Estimating Share Repurchases,” Monica Banyi, Ed Dyl and Kathleen Kahle; Journal of Corporate Finance, Vol. 14, no. 4, September 2008, 460-474.
"The Long-Lasting Momentum in Weekly Returns,” Eric Kelley and Ro Gutierrez, Journal of Finance, 2008, Vol. 61-1, 415-447.
“IPO Listings: Where and Why?” Anne M. Anderson and Edward A. Dyl, Financial Management, 2008, 37 (1), Spring.
“Valuing Illiquid Common Stock,” Edward A. Dyl and George J. Jiang, Financial Analysts Journal, 64 (4), July/August, 2008.
2007 Publications
“Reconcilable Differences: Momentum Trading by Institutions,” Richard Sias, Financial Review, Volume 42, number 1, 2007, pp. 1-22 (lead article).
“Reassessing the information content of insider trades: an examination of company loan financed insider purchases,” Kathleen Kahle, Jon Garfinkel and Kuldeep Shastri, Financial Management, 36, no. 4, Winter 2007, 67-88.
“Window-dressing, Tax-loss Selling and Momentum Profit Seasonality,” Richard Sias, Financial Analysts Journal, Volume 63, number 2, 2007, pp. 48-54.
"Estimating the Latent Variable and Jump Diffusion Models using High-Frequency Data," George J. Jiang and Roel Oomen, Journal of Financial Econometrics, 2007 (5), 1-30.
"Extracting Model-Free Volatility from Option Prices: An Examination of the VIX Index," George J. Jiang and Yisong Tian, Journal of Derivatives, 2007, Spring, 1-26.
"Do Mutual Funds Time the Market? Evidence from Portfolio Holdings," George J. Jiang, Tong Yao and Tong Yu, Journal of Financial Economics, 2007, v.86, 724-758.
"International Evidence on Cash Holdings and Expected Managerial Agency Problems," Ivalina Kalcheva and Karl V. Lins, Review of Financial Studies, 2007, v.20, pp. 1087-1112.
"The Influence of Product Market Dynamics on the Firm's Cash Holdings and Hedging Behavior," David Haushalter, Sandy Klasa, and William Maxwell, Journal of Financial Economics, Vol. 84 No. 3, 2007, 797-825.
"Why do controlling families of public firms sell their remaining ownership stake?" Sandy Klasa, Journal of Financial and Quantitative Analysis, Vol. 42 No. 2, 2007, 339-368.
"Takeover activity as a response to time-varying changes in investment opportunity sets: Evidence from takeover sequences," Sandy Klasa and Mike Stegemoller, Financial Management, Vol. 36 No. 2, 2007, 19-43.
“Trading Volume: NASDAQ and the NYSE,” Edward A. Dyl and Anne-Marie Anderson, Financial Analysts Journal, Vol. 63, No. 3, pp. 79-86, 2007.
