FBE Faculty Current Research

Harry DeAngelo

• Dividend Policy and the Earned/Contributed Capital Mix: A Test of the Lifecycle Theory (with Linda DeAngelo and Rene M. Stulz)
• The Irrelevance of the MM Dividend Irrelevance Theorem (with Linda DeAngelo)
• Are Dividends Disappearing? Dividend Concentration and the Consolidation of Earnings (with Linda DeAngelo and Douglas J. Skinner) - Jensen Prize for the best corporate finance article in the Journal of Financial Economics for 2004.
• Asset Liquidity, Debt Contracts, and the Evaporation of Growth Opportunities: The Collapse of L.A. Gear (with Linda DeAngelo and Karen H. Wruck)
• Special Dividends and the Evolution of Dividend Signaling (with Linda DeAngelo and Douglas J. Skinner)

J. Kimball Dietrich

• Capital Requirements and the Supply of Liquidity
• Second Board Markets in APEC Economies: Report to ABAC
• Venture Capital in APEC Economies: Report to APEC
• Benefits of Financial Market Liberalization: Report to ABAC

Yasushi Hamao

• "Stock Repurchases in Japan"
• Idiosyncratic Risk and Creative Destruction in Japan (with Jianping Mei and Yexiao Xu)
• Tick Size Change and Liquidity Provision on the Tokyo Stock Exchange (with Hee-Joon Ahn, Jun Cai and Kalok Chan)
• Bank Underwriting of Corporate Bonds: Evidence from Japan after the Financial System Reform of 1993 (with Takeo Hoshi)
• Minimum Trading Unit and the Liquidity (with Hee-Joon Ahn and Jun Cai)

Lawrence Harris

• The Information-Content of the Limit Order Book: Evidence from NYSE Specialist Trading Decisions (with Venkatesh Panchapagesan)
• A Maximum Likelihood Approach for Stochastic Volatility Models (with Moshe Fridman)
• Market Versus Limit Orders: The SuperDOT Evidence on Order Submission Strategy (with Joel Hasbrouck)
• Program Trading and Intraday Volatility (with George Sofianos and Jim Shapiro)
• Minimum Price Variations, Discrete Bid/Ask Spreads and Quotation Sizes

Ayse Imrohoroglu

• Computational Models of Social Security: A Survey (with Selahattin Imrohoroglu and Douglas Joines)
• Time Inconsistent Preferences and Social Security (with Selahattin Imrohoroglu and Douglas Joines)
• A Welfare Analysis of Social Security in a Dynastic Framework (with Luisa Fuster and Selahattin Imrohoroglu)
• What Accounts for the Decline in Crime? (with Antonio Merlo and Peter Rupert)
• Intermediation Costs and Capital Flows", (with Krishna Kumar). RED, Volume 7, Number 3, July 2004.

Selo Imrohoroglu

• A Note on the McGrattan and Prescott (2003) Adjustments and the Equity Premium Puzzle
• "Japanese Saving Rate", (with Kaiji Chen and Ayse Imrohoroglu)
• Consumption over the Life Cycle: The Role of Annuities (with Gary Hansen)
• Elimination of Social Security in a Dynastic Framework (with Luisa Fuster and Ayse Imrohoroglu)
• Personal Security Accounts and Mandatory Annuitization in a Dynastic Framework (with Luisa Fuster and Ayse Imrohoroglu)

Christopher Jones

• Can Interest Rate Volatility be Extracted from the Cross Section of Bond Yields? An Investigation of Unspanned Stochastic Volatility (with Pierre Collin-Dufresne and Bob Goldstein)
• Investing in Disappearing Anomalies (with Lukasz Pomorski)
• Bayesian Estimation of Continuous-Time Finance Models
• Estimating yield curves from asynchronous LIBOR and swap quotes

Anthony Marino

• Decision Processes, Agency Problems, and Information: An Economic Analysis of Budget Procedures (with John Matsusaka).
• Synergistic Mergers in an Agency Context: An Example Illustrating the Interaction of the Observability Problem and Synergistic Merger (with T. Campbell).
• Internal Competition for Corporate Resources and Incentives in Teams (with J. Zabojnik)
• Merger, Ease of Entry and Entry Deterrence in a Dynamic Model (with J. Zabojnik).
• Delegation versus an Approval Process and the Demand for Talent

Pedro Matos

• Favoritism in Mutual Fund Families? Evidence on Strategic Cross-Fund Subsidization (with José-Miguel Gaspar and Massimo Massa)
• Shareholder Investment Horizon and the Market for Corporate Control (with José-Miguel Gaspar and Massimo Massa)
• Can Buybacks Be a Product of Shorter Shareholder Horizons? (with Jose-Miguel Gaspar, Massimo Massa, Rajdeep Pargiri and Zahid Rehman)
• Beyond Grid? How Style Categorization Affects Mutual Fund Behavior

John Matsusaka

• Public Choice Principles of Redistricting (with Thomas W. Gilligan)
• The Waning of Corporate Diversification (with Mehmet Akbulut)
• The Eclipse of Legislatures: Direct Democracy in the 21st Century
• Village versus Market Social Capital: An Approach to Economic Development ( with Krishna B. Kumar)
• 50 Years of Diversification Announcements (with Mehmet Akbulut)

Kevin Murphy

• Remuneration: Where we've been, how we got to here, what are the problems, and how to fix them (with Michael C. Jensen and Eric Wruck)
• Managerial Capital and the Market for CEOs (with Jan Zabojnik)
• Strategic Alliances: Bridges Between 'Islands of Conscious Power' (with George Baker and Robert Gibbons)
• Discretion in Executive Incentive Contracts (with Paul Oyer)
• Governance, Behavior, and Performance or State and Corporate Pension Plans (with Karen Van Nuys)

Oguzhan Ozbas

• Organizational Scope and Allocation of Resources: Evidence on Rigid Capital Budgets (with Zekiye Selvili)
• Cross-Industry Momentum (with Lior Menzly)
• Corporate Fraud and Real Investment (with Fanghui Song)
• Capital Rationing: Evidence from Diversified Oil Companies

Vincenzo Quadrini

• Financial Markets and Wages (with Claudio Michelacci)
• Uninsurable Investment Risks (with Cesaire Meh)
• Stock Market Boom and The Productivity Gains of The 1990s (with Urban Jermann)
• Optimal financial contracts and the dynamics of insider ownership (with Charles Himmelberg)
• Optimal Time-Consistent Taxation with International Mobility of Capital (with Paul Klain and Victor Rios-Rull)

Mark Weinstein

• The Appraisal Remedy and Merger Premiums (with Paul Mahoney)
• Profit Sharing Contracts in Hollywood: Evolution and Analysis
• An Empirical Investigation of IPO Underpricing and Subsequent Equity Offerings (with N. Jagadeesh and I. Welch)
• Bid-Ask Spread, and Market Structure (with Y-S Chan)
• The Estimation of Models Arising in the Pricing of Differential Contingent Claims (with R. Klaba, T. Langefeg and N. Zubi)

Mark Westerfield

• Heterogeneous Beliefs and the Principal-Agent Problem (with Tobias Adrian)
• A Solution to the Principal-Agent Moral Hazard Problem in Continuous Time
• High Water Marks: High Risk Appetites? Convex Compensation, Long Horizons, and Portfolio Choice (with Stavros Panageas)
• Market Composition and Equity Market Formation

Fernando Zapatero

• Dynamic Portfolio Choice with Parameter Uncertainty and the Economic Value of Analysts' Recommendations (with Jaksa Cvitanic, Ali Lazrak and Lionel Martellini)
• An International CAPM with Consumption Externalities and Non-financial Wealth (with Juan-Pedro Gomez and Richard Priestley)
• Dynamic Principal-Agent Problems with Perfect Information (with Abel Cadenillas and Jaksa Cvitanic)
• Analytic Pricing of Employee Stock Options (with Jaksa Cvitanic and Zvi Wiener)
• Optimal Portfolio Allocation with Higher Moments (with Jaksa Cvitanic and Vassilis Polimenis)