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Publications

Forthcoming 

Murray Carlson, Engelbert J. Dockner, Adlai Fisher, and Ron Giammarino
“Leaders, Followers, and Risk Dynamics in Industry Equilibrium”
Journal of Financial Quantitative Analysis, forthcoming

Erinn B. Broshko and Kai Li
“Corporate Governance Requirements in Canada and the United States: A Legal and Empirical Comparison of the Principles-based and Rules-based Approaches”
Canadian Investment Review, forthcoming

Jan Bena and Kai Li
“Corporate Innovations and Mergers and Acquisitions”
Journal of Finance, forthcoming

Kai Li, Dale Griffin, Heng Yue and Longkai Zhao
“How Does Culture Influence Corporate Risk-Taking?” (Winner of the Best Paper Award at the 2009 Northern Finance Association Meetings)
Journal of Corporate Finance, forthcoming

Gabriela Cohen-Freue, Hernan Ortiz-Molina and Ruben Zamar
“A Natural Robustification of the Ordinary Instrumental Variables Estimator”
Biometrics, forthcoming

Laurent Calvet and Adlai Fisher
“Extreme Risk and Fractal Regularity in Finance”
Proceedings of the American Mathematical Society, forthcoming

Hernan Ortiz-Molina and Gordon Phillips
Real Asset Illiquidity and Cost of Capital
Journal of Financial and Quantitative Analysis, forthcoming

2013

Jan Bena and Hernan Ortiz-Molina
Pyramidal Ownership and the Creation of New Firms
Journal of Financial Economics, 2013, Vol.108, 798-821.

Mark Kamstra, Lisa Kramer, and Maurice Levi
Effects of Daylight-Saving Time Changes on Stock Market Returns and Stock Market Volatility: Rebuttal
Psychological Reports, 2013, Vol. 112, 89-99.

Paolo Colla, Filippo Ippolito and Kai Li
Debt Specialization
Journal of Finance, 2013, Vol.68, 1783-1807.

Huasheng Gao, Jarrad Harford and Kai Li
Determinants of Corporate Cash Policy: Insights from Private Firms
Journal of Financial Economics, 2013, Vol.109, 623-639.

Jose Montiel Olea and Carolin Pflueger
A Robust Test for Weak Instruments
Journal of Business & Economic Statistics, 2013, Vol.31, 358-369. 

Amir Barnea, Rob Heinkel, and Alan Kraus
Corporate Social Responsibility, Stock Prices and Tax Policy
Canadian Journal of Economics
, 2013, Vol.46, 798-821.

2012

Jan Bena and Peter Ondko
Financial Development and the Allocation of External Finance
Journal of Empirical Finance, 2012, Vol. 19, 1-25.

Phelim Boyle, Lorenzo Garlappi, Raman Uppal and Tan Wang
Keynes Meets Markowitz: The Trade-Off Between Familiarity and Diversification
Management Science, 2012, Vol. 58, 253-272.

Mark Kamstra, Lisa Kramer, and Maurice Levi
A careful re-examination of seasonality in international stock markets: Comment on sentiment and stock returns
Journal of Banking and Finance, 2012, Vol. 36, 934-956. 

Mark Kamstra, Lisa Kramer, and Maurice Levi
Effects of Daylight-Saving Time Changes on Stock Market Returns and Stock Market Volatility: Rebuttal
Psychological Reports, 2012, Vol. 36, 934-956.

Huafeng (Jason) Chen and Shaojun Chen
Investment-Cash Flow Sensitivity Cannot Be a Good Measure of Financial Constraints: Evidence from the Time Series
Journal of Financial Economics, 2012, Vol.103, 393-410.

Huafeng (Jason) Chen, Marcin Kacperczyk, and Hernan Ortiz-Molina
Do Non-financial Stakeholders Affect the Pricing of Risky Debt? Evidence from Unionized Workers
Review of Finance, 2012, Vol.16, 347-383.

Max Croce, Howard Kung, Thien Nguyen, and Lukas Schmid
Fiscal Policies and Asset Prices
Review of Financial Studies, 2012 (Lead Article), Vol.25, 2635-2672.

Qianqian Du, Huasheng Gao, and Maurice Levi
The Relative-Age Effect and Career Success: Evidence from Corporate CEOs”
Economic Letters, 2012, Vol. 117, 660-662.

Maurice Levi
Fiscal Consequences of Scrapping Cash”
Journal of Payment Systems and Strategy, 2012, Vol. 6, 283-300.

Maurice Levi, Kai Li and Feng Zhang
“Risk Homeostasis and Corporate Acquisitions”
Journal of Behavioral Finance and Economics, 2012.

Wei Jiang, Kai Li and Wei Wang
Hedge Funds and Chapter 11
Journal of Finance, 2012, Vol. 67, 513-559.

Huasheng Gao, Jarrad Harford and Kai Li
CEO Pay Cuts and Forced Turnover: Their Causes and Consequences”  (Winner of the Best Paper Award at the 4th International Conference on Asia-Pacific Financial Markets)
Journal of Corporate Finance, 2012, Vol. 6, 91-310. 


2011

Huafeng (Jason) Chen
Firm Life Expectancy and the Heterogeneity of the Book-to-Market Effect
Journal of Financial Economics, 2011, Vol.100, 402-423.

Huafeng (Jason) Chen, Marcin Kacperczyk, and Hernan Ortiz-Molina
Labor Unions, Operating Flexibility, and the Cost of Equity
Journal of Financial and Quantitative Analysis, 2011, Vol.46, 25-58.

Huafeng (Jason) Chen, Hernan Ortiz-Molina, and Siliang Zhang
Average Stock Variance and Market Returns: Evidence of Time-Varying Predictability at the Daily Frequency
Journal of Portfolio Management, 2011, Vol.37, 86-95.

Carolin Pflueger and Luis Viceira
Inflation-Indexed Bonds and the Expectations Hypothesis
Annual Review of Financial Economics, 2011, Vol.3, 139-158.

2010

Harjoat Bhamra, Lars-Alexander Kuehn, and Ilya A. Strebulaev
The Aggregate Dynamics of Capital Structrure and Macroeconomic Risk
Review of Financial Studies, 2010, Vol.23, 4187-4241.

Harjoat S. Bhamra, Lars-Alexander Kuehn, and Ilya A. Strebulaev
The Levered Equity Risk Premium and Credit Spreads: A Unified Framework
Review of Financial Studies, 2010, Vol.23, 645-703.

Mark Kamstra, Lisa Kramer, and Maurice Levi
“Effects of Daylight-Saving Time Changes on Stock Market Volatility: a Comment”
Psychological Reports, 2010, Vol. 107, 877-887.

Maurice Levi, Kai Li, and Feng Zhang
Deal or No Deal: Hormones and the Mergers and Acquisitions Game
Management Science, 2010, Vol. 56, 1462-1483.

Alan Kraus and Amir Rubin
Reducing Managers' Incentives to Cannibalize: Managerial Stock Options when Shareholders are Diversified
Journal of Financial Intermediation, 2010, Vol.19, 439-460. 


2009

Sandy Klasa, William F. Maxwell, and Hernan Ortiz-Molina
The Strategic Use of Corporate Cash Holdings in Collective Bargaining with Labor Unions
Journal of Financial Economics, 2009, Vol. 92, 421-442.

Harjoat S. Bhamra and Raman Uppal
The Effect of Introducing a Non-Redundant Deerivative on the Volatility of Stock-Market Returns When Agents Differ in Risk Aversion
Review of Financial Studies, 2009, Vol. 22, 2303-2330.


2008

Phelim Boyle, Shui Feng, Weidong Tian, and Tan Wang
Robust Stochastic Discount Factors
Review of Financial Studies, 2008, 1077-1122.

Claudia Czado and Carolin Pflueger
Modeling Dependencies between rating categories and their effects on prediction in a credit risk portfolio,
Applied Stochastic Models in Business and Industry, 2008, Vol.24, 237–259. 

Marcin Kacperczyk, Clemens Sialm, and Lu Zheng
Unobserved Actions of Mutual Funds
Review of Financial Studies, 2008, Vol. 21, 2379-2416.

M. Martin Boyer and Hernan Ortiz-Molina
Career Concerns of Top Executives, Managerial Ownership and CEO Succession
Corporate Governance: An International Review, 2008, Vol. 3, 178-193.

Kai Li, Hernan Ortiz-Molina, and Xinlei Zhao
Do Shareholder Rights Affect Institutional Investment Decisions? Evidence from Dual-Class Firms
Financial Management, 2008, Vol. 37, 713-745.


2007

Laurent Calvet and Adlai Fisher
Multifrequency News and Stock Returns
Journal of Financial Economics, 2007, Vol. 86, 178-212.

Murray Carlson, Zeigham Khokher, and Sheridan Titman
Equilibrium Exhaustible Resource Price Dynamics
Journal of Finance, 2007, Vol.62, 1663-1703.

Xia Chen, Jarrad Harford, and Kai Li
Monitoring: Which Institutions Matter?
Journal of Financial Economics, 2007, Vol. 86, 279-305.

Dimitri Vayanos and Tan Wang
“Search and Endogenous Concentration of Liquidity in Asset Markets”
Journal of Economic Theory, 2007, Vol. 136, 66-104. 

Lorenzo Garlappi, Raman Uppal, and Tan Wang
Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach
Review of Financial Studies, 2007, Vol. 20, 41-81.

Jarrad Harford and Kai Li
Decoupling CEO Wealth and Firm Performance: The Case of Acquiring CEOs
Journal of Finance, 2007, Vol. 62, 917-949.

Marcin Kacperczyk and Amit Seru
Fund Manager Use of Public Information: New Evidence on Managerial Skills
Journal of Finance, 2007, Vol. 62, 485-528.

Kai Li
The Growth in Equity Market Size and Trading Activity: An International Study
Journal of Empirical Finance, 2007, Vol. 14, 59-90.

Kai Li and N.R. Prabhala
Self-Selection Models in Corporate Finance
Chapter 2 in: Handbook of Corporate Finance: Empirical Corporate Finance, Handbooks in Finance Series, Elsevier/North Holland, 2007

William McNally and Kai Li
The Information Content of Canadian Open Market Share Repurchase Announcements
Managerial Finance, 2007, Vol. 33, 65-80.

Hernan Ortiz-Molina
Executive Compensation and Capital Structure: The Effects of Convertible Debt and Straight Debt
Journal of Accounting and Economics, 2007, Vol. 43, 69-93.

Hernan Ortiz-Molina and Maria F. Penas
Lending to Small Businesses: The Role of Loan Maturity in Addressing Information Problems
Small Business Economics, 2007, Vol. 4, 361-383.


2006

Laurent Calvet, Adlai Fisher, and Samuel Thompson
Volatility Comovement: A Multifrequency Approach
Journal of Econometrics, 2006, Vol.131, 179-215.

Jaksa Cvitanic, Ali Lazrak, Lionel Martellini, and Fernando Zapatero
Dynamic Portfolio Choice with Parameter Uncertainty and the Economic Value of Analysts' Recommendations
Review of Financial Studies, 2006, Vol. 19, 1113-1156.

Harjoat S. Bhamra and Raman Uppal
The Role of Risk Aversion and Intertemporal Substitution in Dynamic Consumption-Portfolio Choice with Recursive Utility
Journal of Economic Dynamics and Control, 2006, Vol. 30, 967-991.

Murray Carlson, Adlai Fisher, and Ron Giammarino
Corporate Investment and Asset Price Dynamics: Implications for SEO Event Studies and Long-Run Performance
Journal of Finance, 2006, Vol. 61,1009-1034.

Burton Hollifield and Alan Kraus
Defining Bad News: Changes in Return Distributions that Decrease Risky Asset Demand
Management Science, 2009, Vol.55, 1227-1236.

Alan Kraus and Jacob Sagi
Asset Pricing with Unforeseen Contingencies
Journal of Financial Economics, 2006, Vol.82, 417-453.

Alan Kraus and Jacob Sagi
Inter-temporal Preference for Flexibility and Risky Choice
Journal of Mathematical Economics, 2006, Vol.42, 696-709.

Hernan Ortiz-Molina
Top-Management Incentives and the Pricing of Corporate Public Debt
Journal of Financial and Quantitative Analysis, 2006, Vol. 41, 317-340.