University of California at Los Angeles, Anderson Graduate School of Management

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2002: Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities

Francis A. Longstaff

2002: Financial Market Runs

Antonio E. Bernardo and Ivo Welch

2002: Do Industries Lead the Stock Market? Gradual Diffusion of Information and Cross-Asset Return Predictability

Harrison Hong, Walter Torous and Rossen Valkanov

2002: Debt Policy, Corporate Taxes, and Discount Rates

Mark Grinblatt and Jun Liu

2002: Patents and R& D as Real Options

Eduardo S. Schwartz

2002: Corporate Earnings and the Equity Premium

Francis Longstaff and Monika Piazzesi

2002: Relative Pricing of Options with Stochastic Volatility

Olivier Ledoit, Pedro Santa-Clara and Shu Yan

2002: Electricity Forward Prices: A High-Frequency Empirical Analysis

Francis Longstaff and Ashley Wang

2002: ELECTRICITY FORWARD PRICES: A High-Frequency Empirical Analysis

Francis A Longstaff and Ashley Wang

2002: Extracting Inflation from Stock Returns to test Purchasing Power Parity

Bhagwan Chowdhry, Richard Roll and Yihong Xia

2002: Feedback and the Success of Irrational Investors

David Hirshleifer, Avanidhar Subrahmanyam and Sheridan Titman

2002: The End of Class Warfare: An Examination of Income Disparity

Richard Roll and John Talbott

2002: Compensation and Recruiting: Private Universities versus Private Corporations

Bradford Cornell

2002: Does the term structure forecast

Andrea Berardi and Walter Torous

2002: Capital Budgeting in Multi-Division Firms: Information, Agency, and Incentives

Antonio E. Bernardo, Hongbin Cai and Jiang Luo

2002: Chicanery, Intelligence, and Financial Market Equilibrium

Avanidhar Subrahmanyam

2002: East Asia and Europe During the 1997 Asian Collapse: A Clinical Study of a Financial Crisis

Rajesh Chakrabarti and Richard Roll

2001: The Components of Corporate Credit Spreads: Default, Recovery, Tax, Jumps, Liquidity, and Market Factors

Gordon Delianedis and Robert Geske

2001: Evidence on the Speed of Convergence to Market Efficiency, forthcoming: Journal of Financial Economics

Tarun Chordia, Richard Roll and Avanidhar Subrahmanyam

2001: The Disposition Effect and Momentum

Mark Grinblatt and Bing Han

2001: Financial Distress as a Selection Mechanism: Evidence from the United States

Matthias Kahl

2001: Market Response to European Regulation

Nihat Atkas, Eric de Bodt and Richard Roll

2001: Paper Millionaires: How Valuable is Stock to a Stockholder Who is Restricted from Selling it?

Matthias Kahl, Jun Liu and Francis A Longstaff

2001: Dynamic Asset Allocation with Event Risk

Jun Liu, Francis Longstaff and Jun Pan

2001: Dynamic Choice and Risk Aversion

Jun Liu

2001: The Scarcity of Effective Monitors and Its Implications For Corporate Takeovers and Ownership Structures

Gary Gorton and Matthias Kahl

2001: International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth!

Michael Brandt, John Cochrane and Pedro Santa-Clara

2001: Brand Perceptions and the Market for Common Stock, forthcoming, Journal of Financial and Quantitative

Laura Frieder and Avanidhar Subrahmanyam

2001: Conditioning Information and Variance on Pricing Kernals

Geert Bekaert and Jun Liu

2001: Valuing American Options by Simulation: A Simple Least-Squares Approach

Francis A Longstaff and Eduardo S Schwartz

2001: An Empirical Analysis of Stock and Bond Market Liquidity: Forthcoming in the Review of Financial Studies

Tarun Chordia, Asani Sarkar and Avanidhar Subrahmanyam

2001: The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices

Francis A. Longstaff

2001: Portfolio Optimization with Many Assets: The Importance of Short-Selling

Moshe Levy and Yaacov Ritov

2001: An Econometric Model of the Yield Curve With Macroeconomic Jump Effects

Monika Piazzesi

2001: Non-Secular Regularities in Stock Returns: The Impact of the High Holy Days on the U.S. Equity Market, Forthcoming in the Financial Analysts Journal

Laura Frieder and Avanidhar Subrahmanyam

2001: Order Imbalances and Market Efficiency: Evidence from the Taiwan Stock Exchange, Forthcoming in the Journal of Financial and Quantitative Analysis

Yi-Tsung Lee, Yu-Jane Liu, Richard Roll and Avanidhar Subrahmanyam

2000: Demographics and the Equity Premium

Jiang Luo

2000: Predictive Regressions Revisited

Walter Torous and Shu Yan

2000: Boundaries of Predictability: Noisy Predictive Regressions

Walter Torous and Rossen Valkanov

2000: Valuation of Information Technology Investments as Real Options

Eduardo S. Schwartz and Carlos Zozaya-Gorostiza

2000: International IPOs, Market Segmentation, and Investor Recognition

Padma Kadiyala and Avanidhar Subrahmanyam

2000: Generalized Numeraire Portfolios

Giorgio De Santis, Bruno Gerard and Fulvio Ortu

2000: Transactions Costs in the Foreign Exchange Market

Robert Z. Aliber, Bhagwan Chowdhry and Shu Yan

2000: Valuing Intel: A Strange Tale of Analysts and Announcements

Bradford Cornell

2000: Order Imbalance and Individual Stock Returns

Tarun Chordia and Avanidhar Subrahmanyam

2000: The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads

Jun Liu, Francis A. Longstaff and Ravit E. Mandell

2000: The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence

Francis A Longstaff, Pedro Santa-Clara and Eduardo S Schwartz

2000: Liquidity Dynamics Across Small and Large Firms

Tarun Chordia, L Shivakumar and Avanidhar Subrahmanyam

2000: The Parent Company Puzzle: When is the Whole Worth Less Than One of its Parts?" forthcoming, Journal of Corporate Finance

Bradfor Cornell and Quiao Liu

2000: Does Diversification Cause the “Diversification Discount”?

Belen Villalonga

2000: Stochastic Correlation Across International Stock Markets

Clifford A. Ball and Walter N. Torous

2000: Pay at the Executive Suite: How do U.S. Banks Compensate their Top Management Teams?

James Ang, Beni Lauterbach and Ben Schreiber

2000: Losing Money on Arbitrages: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities

Jun Liu and Francis A Longstaff

2000: Political Cycles and the Stock Market

Pedro Santa-Clara and Rossen Valkanov

2000: Learning About Predictability: The Effects of Parameter Uncertainty on Dynamic Asset Allocation

Yihong Xia

2000: The Fed's Effect on Excess Returns and Inflation is Much Bigger Than You Think

Shingo Goto

2000: Order Imbalance, Liquidity, and Market Returns

Tarun Chordia, Richard Roll and Avanidhar Subrahmanyam

2000: The Value of Voting Rights to Majority Shareholders: Evidence from Dual Class Stock Unifications

Shmuel Hauser and Beni Lauterbach

2000: Tax Loss Trading and Wash Sales

Mark Grinblatt and Matti Keloharju

2000: Electricity prices and power derivatives: Evidence from the Nordic Power Exchange

Julio J. Lucia and Eduardo Schwartz

2000: The Risk and Return of Venture Capital

John Cochrane

2000: Dynamic Asset Allocation under Inflation

Michael Brennan and Yihong Xia

2000: The Problem of Optimal Asset Allocation with Stable Distributed Returns

Sergio Ortobelli, Svetlozar Rachev and Eduardo Schwartz