Research Page

Working Papers

  1. "The Volatility of a Firm's Assets," (with Jaewon Choi), Stern School of Business,
  2. "The Information in Long-Maturity Forward Rates: Implications for Exchange Rates and the Forward Premium Anomaly," (with Jacob Boudoukh and Robert F. Whitelaw), Stern School of Business,
  3. "The Economics of Asset Management,"(with Jacob Boudoukh, Richard Stanton and Robert F. Whitelaw), Stern School of Business,
  4. "The Investment Behavior of Private Equity Fund Managers," (with Alexander Ljungqvist), working paper no. 03-029, Stern School of Business,
  5. "Valuing Mutual Fund Companies," (with Jacob Boudoukh, Richard Stanton and Robert Whitelaw), working paper no. , Stern School of Business,
  6. "Regime Shifts and Bond Returns," (with Jacob Boudoukh, Tom Smith and Robert F. Whitelaw), working paper no. 99-010, Stern School of Business,
  7. "The Valuation and Hedging of Deferred Commission Asset Backed Securities," (with Jacob Boudoukh, Patrick McAllister, and Robert F. Whitelaw,
  8. "The IPO Lock-Up Period: Implications for Market Efficiency and Downward Sloping Demand Curves," working paper, (with Eli Ofek), working paper no. 99-054, Stern School of Business,
Also, check out the Finance Department Working Paper Series and the Salomon Center Working Paper Series for more Stern School working papers.
 
 

Published Papers

Copies of some of these papers can be obtained online directly from the journal. Click on the journal's name to go to the relevant website.
 

  1. "A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility," (with Jacob Boudoukh, Chris Downing, Richard Stanton and Robert F. Whitelaw), forthcoming Festschrift in Honor of Robert Engle, 2009.
  2. "The Myth of Long Horizon Predictability," (with Jacob Boudoukh and Robert Whitelaw), Review of Financial Studies, forthcoming.
  3. "On the Importance of Measuring Dividend Yields: Implications for Empirical Asset Pricing," (with Jacob Boudoukh, Roni Michaely and Michael Roberts), Journal of Finance, forthcoming.
  4. "Do Asset Prices Reflect Fundamentals?: Freshly Squeezed Evidence from the FCOJ Market," (with Jacob Boudoukh, YuQing Shen and Robert F. Whitelaw),2004, Journal of Financial Economics, forthcoming.
  5. "Limited Arbitrage and Short-sales Restrictions: Evidence from the Options Markets,” (with Eli Ofek and Robert Whitelaw), 2004, Journal of Financial Economics, vol. 74, 305-342.
  6. "MaxVaR:Long Horizon Value at Risk in a Mark-to-Market Environment,"(with Jacob Boudoukh, Richard Stanton and Robert Whitelaw), 2004, Journal of Investment Management, vol. 2, No. 3, pp. 14-19.
  7. "DotCom Mania: The rise and fall of internet stock prices,"(with Eli Ofek),  Journal of Finance. 2003, Vol. 58, 1113-1138 .
  8. "On the Asymptotic Power of the Variance Ratio Test" (with Rohit Deo),  Econometric Theory, 2003, Vol. 19, .
  9. “The Valuation and Market Rationality of Internet Stock Prices,” Oxford Review of Economic Policy,  2002, Vol. 18, pp. 265-287.
  10. "Stale Prices and Strategies for Trading Mutual Funds,” (with Jacob Boudoukh, Marti Subrahmanyam and Robert Whitelaw), 2002, Financial Analysts Journal, July/August 2002, Vol 58, no. 4, pp. 53-71.
  11. "Partial Adjustment or Stale Prices? Implications from Stock Index and Futures Return Autocorrelations" (with Dong-Hyun Ahn, Jacob Boudoukh, and Robert Whitelaw), Review of Financial Studies,  2002, Vol. 15: 655-689.
  12. Discussion of "Expectations Hypotheses Tests (by Geert Bekaert and Robert Hodrick)",  Journal of Finance, August 2001, Vol 56, No. 4, pp. 1394-1399.
  13. "Ex Ante Bond Returns and the Liquidity Preference Hypothesis" (with Jacob Boudoukh, Tom Smith and Robert Whitelaw),  Journal of Finance., Vol. 54, No. 3, pp. 1153-1167.
  14. "Optimal Risk Management Using Options" (with Dong-Hyun Ahn, Jacob Boudoukh, and Robert Whitelaw),  Journal of Finance, 1999, Vol. 54, No. 1, pp. 359-375.
  15. "The Best of Both Worlds: A Hybrid Approach to Calculating Value at Risk" (with Jacob Boudoukh and Robert Whitelaw), Risk, May 1998.
  16. "Why Do Stock Prices Move? A Transactions-Based Analysis of NYSE Stocks," Review of Financial Studies, Winter 1997, Vol. 10, pp. 1035-1064, (with Ananth Madhavan and Mark Roomans).
  17. "Pricing Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A Multivariate Density Estimation Approach" (with Jacob Boudoukh, Richard Stanton, and Robert Whitelaw), 1997,  Review of Financial Studies, Vol. 10, No. 2, pp. 405-446.
  18. "Investigation of a Class of Volatility Estimators" (with Jacob Boudoukh and Robert Whitelaw), 1997, Journal of Derivatives, Vol. 4, No. 3, pp. 63-71.
  19. "Nonlinearities in the Relation Between the Equity Risk Premium and the Term Structure" (with Jacob Boudoukh and Robert Whitelaw), 1997, Management Science, Vol. 43, No. 3, pp. 371-385.
  20. "Market Efficiency Around the Clock: Some Supporting Evidence from Foreign-Based Derivatives," Journal of Financial Economics, October 1995, Vol. 39, pp. 161-180, (with Alastair Craig and Ajay Dravid).
  21. "Expect the Worst," Risk, September 1995, Vol 8. No. 9, pp. 100-101, (with Jacob Boudoukh and Robert F. Whitelaw).
  22. "A New Strategy for Dynamically Hedging Mortgage-Backed Securities" (with Jacob Boudoukh, Richard Stanton, and Robert Whitelaw), 1995, Journal of Derivatives, Vol. 2, No. 4, pp. 60-77.
  23. "Industry Returns and the Fisher Effect" (with Jacob Boudoukh and Robert Whitelaw), 1994, Journal of Finance, Vol. 49, No. 5, pp. 1595-1615.
  24. "A Tale of Three Schools: Insights on Autocorrelations of Short-Horizon Stock Returns" (with Jacob Boudoukh and Robert Whitelaw), 1994, Review of Financial Studies, Vol. 7, No. 3, pp. 539-573.
  25. "The Pricing of Dollar-Demoninated Yen/DM Warrants," Journal of International Money and Finance, 1994, Vol. 13, No. 5, pp. 517-536, (with Ajay Dravid and Tong-Shen Sun).
  26. "A Unified Approach to testing for Serial Correlation in Stock Returns," Journal of Business, July 1994, pp. 371-399, (with Tom Smith).
  27. "The Statistics of long-Horizon Regressions Revisited," Mathematical Finance, April 1994, pp. 103-119, (with Jacob Boudoukh).
  28. "A Direct test of the Mixture of Distributions Hypothesis: Measuring the Daily Flow of Information," Journal of Financial and Quantitative Analysis, March 1994, pp. 101-116, (with Tom Smith).
  29. "Stock Returns and Inflation: A Long-Horizion Perspective," American Economic Review, December 1993, pp. 1346-1355, (with Jacob Boudoukh).
  30. "Is the Ex-Ante Risk Premium Always Positive? A New Approach to testing Conditional Asset Pricing Models," Journal of Financial Economics, December 1993, pp. 387-409, (with Jacob Boudoukh and Tom Smith).
  31. "Pricing Foreign Index Contingent Claims: An Application to Nikkei Index Warrants," The Journal of Derivatives, Fall 1993, pp.33-51, (with Ajay Dravid and Tong-Shen Sun).
  32. "Temporary Components of Stock Prices: A Skeptic's View," Journal of Business and Economics Statistics, April 1993, pp. 199-207.
  33. "A Test of Multivariate Normality of Stock Returns," Journal of Business, April 1993, pp. 295-321, (with Tom Smith).
  34. "The Monotonicity of the Term Premium: Another Look," Journal of Financial Economics, February 1992, pp. 97-106, (with Paul Richardson and Tom Smith).
  35. "Measuring Aggregate Economic Fundamentals from Short-Term Premia," Journal of Fixed Income, December 1991, pp. 75-86, (with Paul Richardson and Tom Smith).
  36. "Test of Financial models in the Presence of Overlapping Observations," Review of Financial Studies, June 1991, pp. 227-254, (with Tom Smith).
  37. "Using generalized Method of Moments to test Mean-Variance Efficiency," Journal of Finance, June 1991, pp. 511-527, (with Craig Mackinlay).
  38. "Drawing Inferences from Statistics Based on Multi-Year Asset Returns," Journal of Financial Economics, November 1989, pp. 323-348, (with Jim Stock). Published Papers.

    39. Book, Short Articles and Interviews on the Crisis of 2007-2009


    Restoring Financial Stability: How to Repair a Failed System
    Viral Acharya and Matthew Richardson, editors, New York University Stern School of Business, (c) John Wiley & Sons, March 2009
    Book reviews by Charles Goodhart (voxeu.org), Economist, Franklin Allen (Lombard Street, UK), Rajesh Chakrabarti (Financial Express, India), Costas Chrysostomou (The Investment Professional)

    Government Guarantees: Why the Genie Needs to Be Put Back in the Bottle (with Viral Acharya)
    The Economists' Voice, November 2009: Vol. 6 : Iss. 11, Article 2.

    State of Corporate Finance: It's Not Over Yet
    Financial Executive, September 2009