Faculty Publications
A full listing of faculty research articles forthcoming and published in the last five years is provided below.
Forthcoming Publications
“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, forthcoming.
"Liquidity Biases in Asset Pricing Tests," Elena N. Asparouhova, Hendrik (Hank) Bessembinder and Ivalina Kalcheva, Journal of Financial Economics (JFE), forthcoming.
"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, forthcoming.
“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, forthcoming.
“Measuring abnormal bond performance,” Hendrik Bessimbinder, Kathleen Kahle, William Maxwell and Danielle Xu, Review of Financial Studies, forthcoming.
“Errors in Estimating Share Repurchases,” Monica Banyi, Ed Dyl and Kathleen Kahle; Journal of Corporate Finance, forthcoming.
"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, forthcoming.
"Socially-oriented ventures and traditional entrepreneurship education models: A case review," M.M. Mars and Sharon Garrison, Journal of Education for Business, forthcoming.
2009 Publications
“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]
"Institutional Investors and the Informational Efficiency of Prices,” Ekkehart Boehmer and Eric Kelley, Review of Financial Studies, 2009, 22 (9), 3563-3594.
"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.
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.
“Board classification and managerial entrenchment: Evidence from the market for corporate control,” Thomas W. Bates, David Becher and Michael Lemmon, Journal of Financial Economics, 2008, 87, 656–677.
"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
“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.
"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.
2006 Publications
"Investor Protection and Real Investment by U.S. Multinationals,” Eric Kelley and Tracie Woidtke, Journal of Financial and Quantitative Analysis, 2006, Vol. 41, No. 3, 541-572.
"The Share Price Puzzle," Edward A. Dyl and William B. Elliott, Journal of Business, 2006, Vol. 79, No. 5.
"Shareholder wealth effects and bid negotiation in freeze-out deals: are minority shareholders left out in the cold?" Thomas W. Bates, Mike Lemmon and James Linck, Journal of Financial Economics, 2006, Vol. 81, 681–708.
2005 Publications
"The Model-Free Implied Volatility and Its Information Content," George Jiang and Yisong S. Tian, Review of Financial Studies, 2005, 18(4), 1305-1342.
"Asset Sales, Investment Opportunities, and the Use of Proceeds,” Thomas W. Bates, Journal of Finance, 2005, Vol. 60, 105-135.
"Market Structure and Trading Volume," Edward A. Dyl and Anne-Marie Anderson, Journal of Financial Research 28, Spring 2005, 115-131.
"Firm performance, capital structure, and the tax benefits of employee stock options," Kathleen Kahle and Kuldeep Shastri, forthcoming, Journal of Financial and Quantitative Analysis, Vol. 40, No. 1, March 2005, 135-160.
2004 Publications
"Estimating and Testing Affine Option Pricing Models with Stochastic Volatility, Random Jump and Stochastic Interest Rate," George Jiang, International Review of Finance. 2004, 3, 233-272.
"Executive loans," Kathleen Kahle and Kuldeep Shastri, Journal of Financial and Quantitative Analysis, 39, No. 4, December 2004.
"Long-run performance of secondary equity issues: A direct test of the windows of opportunity hypothesis," Kathleen Kahle, Craig Dunbar and Jonathan Clarke, Journal of Business 77, no. 3, July 2004.
"Determinants of Premiums on Self-Tender Offers," Edward A. Dyl and Anne-Marie Anderson, Financial Management 33, Spring 2004.
"Stochastic Conditional Duration Models with 'Leverage Effect' for Financial Transaction Data," George Jiang and D. Feng and Peter Song, Journal of Financial Econometrics, No. 3, 390-421, 2004 (3).
"Microstructure with multiple assets: An experimental investigation into direct and indirect dealer competition," Christopher Lamoureux and Chuck Schnitzlein, Journal of Financial Markets, Vol. 7, No. 2, 117-143, February 2004.
"Faculty Perceptions of Resource Constraints in Business Academic Research," S. Garrison and D. Dotterweich, Journal of College Teaching and Learning, January, 2004.
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