Faculty Research and Publications: 2000 - present

Forthcoming Publications

“Measuring abnormal bond performance,” Hendrik Bessimbinder, Kathleen Kale, William Maxwell and Danielle Xu; Review of Financial Studies, forthcoming.

"Testing for Jumps When Asset Prices are Observed with Noise -- A "Swap Variance" Approach," George J Jiang and Roel Oomen, Journal of Econometrics, forthcoming.

"Transparency and the Corporate Bond Market," William Maxwell and H. Bessembinder, Journal of Economic Perspectives, 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.

"The Information Content of Idiosyncratic Volatility", George J. Jiang, Danielle Xu and Tong Yao, Journal of Financial and Quantitative Analysis, forthcoming.

“Board classification and managerial entrenchment: Evidence from the market for corporate control,” Thomas W. Bates, David Becher and Michael Lemmon, Journal of Financial Economics, forthcoming.

“Reassessing the information content of insider trades: an examination of company loan financed insider purchases,” Kathleen Kahle, Jon Garfinkel and Kuldeep Shastri, Financial Management, forthcoming.

"Dynamic Factors and the Source of Momentum Profits," Tong Yao, Journal of Business and Economic Statistics, forthcoming.

"Prudent Man or Agency Problems? On the Performance of Insurance Mutual Funds," Tong Yao, Tong Yu and Xuanjuan Chen, Journal of Financial Intermediation, forthcoming.

"Testing Heterogeneous-agent Kernels: An Alternative Aggregation Approach," Pierluigi Balduzzi and Tong Yao, Journal of Monetary Economics, forthcoming.

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2008 Publications

"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, 37 (1), Spring, 2008.

“Valuing Illiquid Common Stock,” Edward A. Dyl and George J. Jiang, Financial Analysts Journal, 64 (4), July/August, 2008.

"Corporate Governance and a Firm's Cash Holdings," William Maxwell, Jarrad Harford and Sattar Mansi, Journal of Financial Economics, 2008, v87n3, 535-555.

"A Reexamination of the Tradeoff Between the Future Benefit and Riskiness of R&D Increases," William Maxwell, A. Eberhart and A. Siddique, Journal of Accounting Research, 2008, v46n1, 27-52.

2007 Publications

"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

“Market Transparency, Liquidity Externalities, and Institutional Trading Costs in Corporate Bonds,” William Maxwell, Hendrik Bessembinder and Kumar Venkataraman, Journal of Financial Economics, 2006, Vol. 82, No. 2, 251-288.

"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

"Does Corporate Governance Matter to Bondholders?" William Maxwell, Mark Klock and Sattar Mansi, Journal of Financial and Quantitative Analysis, 2005, Vol. 40 ,No. 4, 693-719, [Lead Article].

"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.

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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.

"Does Auditor Quality and Tenure Matter to Investors? Evidence from the Bond Market," William Maxwell, Sattar Mansi and Darius Miller, Journal of Accounting Research, 2004, v42n4, 755-793.

"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.

"An Examination of Long-Term Abnormal Stock Returns and Operating Performance Following R&D Increases," William Maxwell, Allan Eberhart and Akhtar Siddique, Journal of Finance, 2004, v59n2, 623-650.

"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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2003 Publications

"Breaking up is Hard to Do? An Analysis of Termination Fee Provisions and Merger Outcomes,” Thomas W. Bates and Michael Lemmon, Journal of Financial Economics, 2003, v.69, pp. 469-504.

Do Spin-offs Expropriate Wealth from Bondholders?" William Maxwell and Ramesh Rao, Journal of Finance, 2003, v58n5, 2087-2108.

"The Wealth Effects of Repurchases on Bondholders," William Maxwell and Clifford Stephens, Journal of Finance, 2003, v58n2, 895-919.

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2002 Publications

"Estimation of Continuous-time Processes via Empirical Characteristic Function," George Jiang and John Knight, Journal of Business and Economic Statistics, 20(2), 198-212, 2002.

"An Evaluation of Contingent Claims Analysis as Applied in Credit Risk Modeling," William Maxwell, Anne Anderson and Theodore Barnhill, Journal of Fixed Income, 2002, December, 24-31.

"Tick Sizes, Stock Prices, and Share Turnover: International Evidence," E. Dyl, D. Witte and L. Gorman, Studies in Economics and Finance 21, Autumn 2002.

"What could also cause or aggravate the implicit 'smile' and 'asymmetry'?" George Jiang, Applied Economics Letters, 75-80, 2002 (9).

"Modeling Correlated Market and Credit Risk in Fixed Income Portfolios," William Maxwell and Theodore Barnhill, Journal of Banking and Finance, 2002, v26n3, 347-374.

"Do Share Prices Matter?" Edward A. Dyl, William B. Elliott and John C. Handley, Accounting and Finance 42, July 2002.

"Empirical Analysis of the Yield Curve: The Information in the Data viewed through the Window of Cox, Ingersoll and Ross," Christopher Lamoureux and Doug Witte, The Journal of Finance, Vol. 57, No. 3, 1479-1520, June 2002.

"When a buyback isn't a buyback: Open-market repurchases and employee options," Kathleen Kahle, Journal of Financial Economics 63, January 2002, 235-261.

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2001 Publications

"Women Key Executives, Management Succession, and the Impact on Stock Performance," S. Garrison, K. Eastwood and G. Filbeck, Journal of Business and Economic Perspectives XXVII, Number 2, Fall/Winter 2001.

"Long-run performance and insider trading in completed vs. canceled seasoned equity offerings," Kathleen Kahle, Craig Dunbar and Jonathan Clarke, Journal of Financial and Quantitative Analysis 36, no. 4, December 2001 (winner of 2001 William F. Sharpe Award for Scholarship in Financial Research, Best Paper in Journal of Financial and Quantitative Analysis).

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2000 Publications

"Pricing of Stock Index Options under Stochastic Volatility and Stochastic Interest Rates with Efficient Method of Moments Estimation," George Jiang and Pieter van der Sluis, European Finance Review, 273-310, 2000 (3).

"Governance and Funds Allocation in United States Medical Research Charities," Edward Dyl, Howard Frant and Craig Stephenson, Financial Accountability and Management 16, November 2000.

"Corporate Governance and Firm Diversification," Thomas W. Bates, Ronald Anderson, John Bizjak, and Michael Lemmon, Financial Management, Spring 2000, v.29, no. 1, pp. 5-22.

"Insider trading and the long-run performance of new security issues," Kathleen Kahle, Journal of Corporate Finance 6, March 2000, 25-53.

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