Finance Area Publications
Finance Research at Rotman Insightshub
Anderson, A., A. Park, and L. Smith, 2017, Rushes in Large Timing Games, Econometrica 85, 871-913.
Björk, T., M. Khapko, and A. Murgoci, 2017, On Time-Inconsistent Stochastic Control in Continuous Time, Finance and Stochastics 21, 331-360.
Booth, L. 2017, Deconstructing Income Inequality in Canada, Rotman Magazine.
Booth, L. and J. Zhou, 2017, Additional Sources of Equity Risk Premium Data-Canada, Valuation Handbook: International Cost of Capital.
Booth, L. and J. Zhou, 2017, Dividend policy: A Selective Review of Results From Around the World, Global Finance Journal 34, 1-15
Boulland, R., and O. Dessaint, 2017, Announcing the Announcement, Journal of Banking and Finance 82, 59-79.
Bova, F., and L. Yang, 2017, Employee Bargaining Power, Inter-Firm Competition, and Equity-Based Compensation, Journal of Financial Economics, 126, 342 – 363.
Célérier, C. and B. Vallée, 2017, Catering to Investors through Security Design: Headline Rate and Complexity, Quarterly Journal of Economics 132, 1469-1508.
Cen, L., K. C. J. Wei, and L. Yang, 2017, Disagreement, Underreaction, and Stock Returns, Management Science 63, 1214-1231.
Christoffersen, P., D. Du, and R. Elkamhi, 2017, Rare Disasters, Credit and Option Market Puzzles, Management Science 63, 1341-1364.
Christoffersen, S., and H. Xu, 2017, Investor Attrition and Mutual Funds, Journal of Financial and Quantitative Analysis 52, 867-893.
Christoffersen, S., and M. Simutin, 2017, On the Demand for High Beta Stocks: Evidence from Mutual Funds, Review of Financial Studies 30, 2596-2620.
Cujean, J. and M. Hasler, 2017, Why Does Return Predictability Concentrate in Bad Times?, Journal of Finance 72, 2717-2758.
Dessaint, O, A. Golubov, and P. Volpin, 2017, Employment Protection and Takeovers, Journal of Financial Economics 125, 369-388.
Dessaint, O. and A. Matray, 2017, Do Managers Overreact to Salient Risks? Evidence from Hurricane Strikes, Journal of Financial Economics 126, 97-121.
Doidge, C., A. Karolyi, and R. Stulz, 2017, The U.S. Listing Gap, Journal of Financial Economics 123, 464-487.
Goldstein, I., and L. Yang, 2017, Information Disclosure in Financial Markets, Annual Review of Financial Economics 9, 101-125.
Jeon, Y., and T. McCurdy, 2017, Time-Varying Window Length for Correlation Forecasts, Econometrics 5, 3-30.
Kan, R., and G. Zhou, 2017, Modeling Non-normality Using Multivariate t: Implications for Asset Pricing, China Finance Review International 7, 2-32.
Kan, R., and K. Robotti, 2017, On Moments of Folded and Truncated Multivariate Normal Distributions, Journal of Computational and Graphical Statistics 26, 930-934.
Kan, R., N. Gospodinov, and C. Robotti, 2017, Inference in Reduced-Rank Asset-Pricing Models, Econometrica 85, 1641-1656.
Kramer, L., M. Kamstra, M. Levi, and R. Wermers, 2017, Seasonal Asset Allocation: Evidence from Mutual Fund Flows, Journal of Financial and Quantitative Analysis 52, 71-109.
Kuehn, L, M. Simutin, and J. Wan, 2017, A Labor Capital Asset Pricing Model, Journal of Finance 72, 2131-2178.
Yang, L., and H. Zhu, 2017, Nonfundamental Speculation Revisited, Journal of Finance 72, 2759-2772.
Alberto, C., M. Hasler, and R. Marfè, 2016, Disaster Recovery and the Term Structure of Dividend Strips, Journal of Financial Economics 122, October, 116–134.
Boguth, O., M. Simutin, M. Carlson, and A. Fisher, 2016, Horizon Effects in Average Returns: The Role of Slow Information Diffusion, Review of Financial Studies 29, 2241-2281.
Brean, D., and C. Kobrak, 2016, Financial Crises and Global Regulation, Risk and EU Law, H. Micklitz and T. Tridmas, eds., Cheltenham, UK: Edward Elgar.
Broda, S., and R., Kan, 2016, On Distributions of Ratios, Biometrika 103, 205-218.
Cen, L., S. Dasgupta, and R. Sen, 2016, Discipline or Disruption? Stakeholder Relationships and the Effect of Takeover Threat, Management Science 62, 2820-2841.
Cen, L., S. Dasgupta, R. Elkamhi, and R. Pungaliya, 2016, Reputation and Loan Contract Terms: the Role of Principal Customers, Review of Finance 20, 501-533.
Christoffersen, P., K. Jacobs, and B. Li, 2016, Dynamic Jump Intensities and Risk Premiums in Crude Oil Futures and Options Markets, Journal of Derivatives, 24, 8-30.
Easley D., M. O'Hara, and L. Yang, 2016, Differential Access to Price Information in Financial Markets, Journal of Financial and Quantitative Analysis 51, 1071–1110.
Golubov, A., D. Petmezas, N.G. Travlos, 2016, Do Stock-Financed Acquisitions Destroy Value? New Methods and Evidence, Review of Finance 20, 161-200.
Gospodinov, N., R. Kan, and C. Robotti, 2016, On the Properties of the Constrained Hansen-Jagannathan Distance, Journal of Empirical Finance, 36, 121-150.
Han B., L. Yang and Y. Tang, 2016, Public Information and Uninformed Trading: Implications for Market Liquidity and Price Efficiency, Journal of Economic Theory 163, 604-643.
Han B., and J. Cao, 2016, Idiosyncratic Risk, Costly Arbitrage, and the Cross-Section of Stock Returns. Journal of Banking and Finance 73, 1-15.
Kan, R., C. Robotti, 2016, The Exact Distribution of the Hansen-Jagannathan Bound, Management Science 62, 1915-1943.
Kobrak, C., 2016, From Multinational to Transnational Banking, The Oxford Handbook of Banking and Financial History, Y. Cassis, et al. eds., Oxford: Oxford University.
Kobrak, C., 2016, International Strategies and Bank Longevity. Deutsche Bank and the North American Experience, Immortal Banks: Strategies, Structures and Performances of Major Banks, M. Lescure, ed., Paris: Droz.
Liao, C., and L. Kramer, 2016, The Spillover Effects of Management Overconfidence on Analyst Forecasts, Journal of Behavioral and Experimental Finance 12, 79-92.
R. Kieschnick and W. Rotenberg, 2016, Working Capital Management, the Credit Crisis, and Hedging Strategies: Canadian Evidence, Journal of International Financial Management and Accounting 27, 208-232.
Akey, P., 2015, Valuing Changes in Political Networks: Evidence from Campaign Contributions to Close Congressional Elections, Review of Financial Studies 28, 3188-3223.
Aivazian V., J. Qiu, and M. Rahaman, 2015, Bank Loan Contracting and Corporate Diversification: Does Organizational Structure Matter to Lenders?, Journal of Financial Intermediation 24, 252-282.
Alexandroff, A., and D. Brean, 2015, Global Summitry: Its Meaning and Scope, Global Summitry: Politics, Economics and Law in Global Governance, Oxford University Press.
Amaya, D., P. Christoffersen, K. Jacobs, and A. Vasquez, 2015, Does Realized Skewness Predict the Cross-Section of Equity Returns?, Journal of Financial Economics 118, 135-167.
Andrei, D., and M. Hassler, 2015, Investor Attention and Stock Market Volatility, Review of Financial Studies 28, 33-72.
Billett, M., R. Elkamhi, and I. Floros, 2015, The Influence of Investor Identity and Contract Terms on Firm Value: Evidence from PIPEs, Journal of Financial Intermediation 24, 264-589.
Booth, L., 2015, Estimating Discount Rates, School of Public Policy Research Papers, University of Calgary 8, 1-39.
Booth L., and J. Zhou, 2015, Market power and dividend policy, Managerial Finance 41, 145-163.
Booth, L., C. Ntantamis, and J. Zhou, 2015, Financial Constraints, R&D Investment and the Value of Cash Holdings, Quarterly Journal of Finance 5.
Brean, D., and C. Kobrak, 2015, Financial Crisis and Global Financial Regulation, Risk and EU Law, Takis Tridimas, ed., Cheltenham, U.K., Edward Edgar, 220-248.
Brean, D., and C. Kobrak, 2015, Financial Crisis and Global Financial Regulation: The State of Play in the Year of the Snake, in Hans Micklitz and Takis Tridimas, Risk and the Law.
Christoffersen, P., B. Feunou, and Y. Jeon, 2015, Option Valuation with Observable Volatility and Jump Dynamics, Journal of Banking and Finance 61, S101-S120.
Doidge, C., and A. Dyck, 2015, Taxes and Corporate Policies: Evidence From a Quasi Natural Experiment, Journal of Finance 70, 45-89.
Doshi, H., R. Elkamhi, and M. Simutin, 2015, Managerial Activeness and Mutual Fund Performance, Review of Asset Pricing Studies 5, 156-184.
Dyck, A., and L. Pomorski, 2015, Investor Scale and Performance in Private Equity Investments, Review of Finance 20, 1-26.
Easley, D., and L. Yang, 2015, Loss Aversion, Survival, and Asset Prices, Journal of Economic Theory 160, 494–516.
Elkamhi, R., and D. Stefanova, 2015, Dynamic Correlation or Tail Dependence Hedging for Portfolio Selection, Review of Financial Studies 28, 743-790.
Goldstein, I., and L. Yang, 2015, Information Diversity and Complementarities in Trading and Information Acquisition, Journal of Finance 70, 1723-1765.
Golubov A., A. Yawson, and H. Zhang, 2015, Extraordinary Acquirers, Journal of Financial Economics 116, 314-330.
Han, B., and Y. Zhou, 2015, Understanding the Term Structure of Credit Default Swap Spreads, Journal of Empirical Finance 31, 18-35.
Hull, J., 2015, Risk Management and Financial Institutions, 4th Ed., Wiley
Hull, J., How Are the New Rules for OTC Derivatives Working? Invited editorial, Journal of Risk Management and Financial Institutions, Autumn/Fall 2015.
Hull, J., and A. White, 2015, A Generalized Procedure for Building Trees for the Short Rate and its Application to Determining Market Implied Volatility Functions, Quantitative Finance 15, 443-454.
Hull, J., and A. White, 2015, OIS Discounting, Interest Rate Derivatives, and the Modeling of Stochastic Interest Rate Spreads, Journal of Investment Management 13, 64-83
Kobrak, C., and M. Troege, 2015, From Basel to Bailouts: Forty Years of International Attempts to Bolster Bank Safety, The Journal of Financial History 22, 133-156.
Kramer, L., M. Kamstra, and M. Levi, 2015, Seasonal Variation in Treasury Returns, Critical Finance Review 4, 45-115.
Newton, D., and M. Simutin, 2015, Of Age, Sex, and Money: Insights from Corporate Officer Compensation on the Wage Inequality between Genders, Management Science 61, 2355-2375.
Park, A., and K. Malinova, 2015, Subsidizing Liquidity: The Impact of Make/Take Fees on Market Quality, Journal of Finance 70, 509-536.
Wang, K., and W. Xu, 2015, Market Volatility and Momentum, Journal of Empirical Finance 30, 79-91.
White, A., 2015, A Generalized Procedure for Building Trees for the Short Rate and its Application to Determining Market Implied Volatility Functions, Quantitative Finance 15, 443-454.
Bradley, D., J. Clarke, S. Lee, and C. Ornthanalai, 2014, Are Analysts’ Recommendations Informative? Intraday Evidence on the Impact of Time Stamp Delays, Journal of Finance69, 645-673.
Brean, D., C. Eun, and B. Resnick, 2014, International Financial Management: Canadian Perspectives, 3rd Ed., Toronto: McGraw-Hill.
Christoffersen, P. B. Feunou, K. Jacobs, and N. Meddahi, 2014, The Economic Value of Realized Volatility, Journal of Financial and Quantitative Analysis 49, 663-697.
Christoffersen, P., C. Dorion, K. Jacobs, and L. Karoui, 2014, Nonlinear Filtering in Affine Term Structure Models, Management Science 60, 2248-2268.
Christoffersen, P., V. Errunza, K. Jacobs, and X. Jin, 2014, Correlation Dynamics and International Diversification Benefits,International Journal of Forecasting 30, 807-824.
Christoffersen, S., D. Musto, and R. Wermers, 2014, Investor Flows to Asset Managers: Causes and Consequences, Annual Review of Financial Economics 6, 289-310.
Easley, D., M. O’Hara, and L. Yang, 2014, Opaque Trading, Disclosure, and Asset Prices: Implications for Hedge Fund Regulation,Review of Financial Studies 27, 1190-1237.
Elkamhi, R., Pungaliya, R., and A. Vijh, 2014, What Do Credit Markets Tell Us About Firm Capital Structure? Management Science 60, 2269-2290.
Goldstein, I., Y. Li, and L. Yang, 2014, Speculation and Hedging in Segmented Markets,Review of Financial Studies 27, 881-922.
Gospodinov, N., R. Kan, and C. Robotti, 2014, Misspecification-Robust Inference in Linear Asset Pricing Models with Irrelevant Risk Factors, Review of Financial Studies 27, 2139-2170.
Hillier, G., R. Kan, and X. Wang, 2014, Generating Functions and Short Recursions, with Applications to the Moments of Quadratic Forms in Noncentral Normal Vectors, Econometric Theory 30, 436-473.
Hull, J., and A. White, 2014, The Valuation of Market Leveraged Stock Units, Journal of Derivatives 21, 85-90.
Hull, J., and A. White, 2014, Valuing Derivatives: Funding Value Adjustments and Fair Value, Financial Analysts Journal 70, 46-56.
Indjejikian, R., H. Lu, and L. Yang, 2014, Rational Information Leakage,Management Science60, 2762-2775.
Kobrak, C., and P. Lang, 2014, “Reconfiguring Multinational Banking: Deutsche Bank’s Acquisition of Bankers Trust as seen after a Turbulent Decade, ”Investment Banking History, eds. Hubert Bonin and Carlo Brambilla.
Kobrak, C., 2014, “The Political Economic of the Great Recession, Global Macroeconomic and Microeconomic Governance (2000-Present)” Policy from 2000 to the Present,”Contemporary Economic Issues: Goals, Objectives, and Solutions (1980-Today), ed. Robert Wright and Thomas Zeiler, DWJ.
Kobrak, C., 2014 (First published 1966), “Introduction,” new edition of Joseph Wechsberg’sThe Merchant Bankers. Dover Press.
Kramer, L., M. Kamstra, M. Levi, and T. Wang, 2014, Seasonally Varying Preferences: Theoretical Foundations for an Empirical Regularity,Review of Asset Pricing Studies4, 39-77.
Lu, H., K. Wang, and X. Wang, 2014, Price Shocks, News Disclosures, and Asymmetric Drifts, The Accounting Review 89, 1805-1834.
Ornthanalai, C., 2014, Levy Jump Risk: Evidence from Options and Returns,Journal of Financial Economics112, 69-90.
Rotenberg, W., 2013, Mitigation of U.S. Home Bias in the Valuation of Canadian Natural Resource Firms: Choice of Reporting and Transaction Currency, Multinational Finance Journal17, 201-242.
Simutin, M., 2014, Cash Holdings and Mutual Fund Performance, Review of Finance 18, 1425-1464.
Bao, Y., and R. Kan, 2013, On the Moments of Ratios in Quadratic Forms in Normal Random Variables,Journal of Multivariate Analysis116, 229-245.
Brean, D., and C. Kobrak, 2013, A Comparative History of Canadian and American Banking and Bank Performance, History and Financial Crises, C.P. Kobrak and M. Wilkens eds., New York: Routledge
Brean, D., and C. Kobrak, 2013, Canada, the United States, and the European Union: Neglected Lessons in Building a Currency Zone, in Bankhistorisches Archiv
Brean, D., C. Kobrack, and J. Martin, 2013, Canada, the United States and the European Union: Neglected Lessons in Building a Currency Zone out of Separate States, Historische Archiv 39, 139-152.
Buti, S., and B. Rindi, 2013, Undisclosed Orders and Optimal Submission Strategies in a Limit Order Market,Journal of Financial Economics109, 797-812.
Cao, J., and B. Han, 2013, Cross-section of Option Returns and Idiosyncratic Stock Volatility,Journal of Financial Economics108, 231-249.
Cen, L., G. Hilary, and K.C. John Wei, 2013, The Role of Anchoring Bias in the Equity Market: Evidence from Analysts' Earnings Forecasts and Stock Returns, Journal of Financial and Quantitative Analysis 48, 47-76.
Cen, L., K. Chan, S. Dasgupta, and N. Gao, 2013, When Tail Wag the Dog: Industry Leaders and Cross-industry Information Diffusion, Management Science 59, 2566-2585.
Cen. L., H. Lu, and L. Yang, 2013, Investor Sentiment, Disagreement and Breadth-Return Relationship,Management Science59, 1079-1091.
Chang, B., P. Christoffersen, and K. Jacobs, 2013, Market Skewness Risk and the Cross Section of Stock Returns,Journal of Financial Economics107,46-68.
Christoffersen, P., S. Heston, and K. Jacobs, 2013, Capturing Option Anomalies with a Variance-Dependent Pricing Kernel,Review of Financial Studies26, 1963-2006.
Christoffersen, S., D. Musto, and R. Evans, 2013, What Do Consumers’ Fund Flows Maximize? Evidence from Their Brokers’ Incentives, Journal of Finance 68, 201-235.
Doidge, C., A. Karolyi, and R. Stulz, 2013, The U.S. Left Behind? Financial Globalization and the Rise of IPOs Outside the U.S., Journal of Financial Economics 110, 546-573.
Dyck, A., D. Moss, and L. Zingales, 2013, Media Versus Special Interests,Journal of Law and Economics56, 521-553.
Dyck, A., K. Lins, and L. Pomorski, 2013, The Value of Active Management: International Evidence,Review of Asset Pricing Studies3, 200-228.
Eiling, E., 2013, Industry-Specific Human Capital, Idiosyncratic Risk, and the Cross-Section of Expected Stock Returns,Journal of Finance 68, 43-84.
Goldreich, D. and H. Halaburda, 2013, When Smaller Menus are Better: Variability in Menu-Setting Ability,Management Science59,2013.
Gospodinov, N., R. Kan, and C. Robotti, 2013, Chi-Squared Tests for Evaluation and Comparison of Asset Pricing Models,Journal of Econometrics173, 108-125.
Han, B., and A. Kumar, 2013, Speculative Retail Trading and Asset Prices,Journal of Financial and Quantitative Analysis48, 377-404.
Han, B., and L. Yang, 2013, Social Networks, Information Acquisition, and Asset Prices,Management Science59, 1444-1457.
Hull, J., 2013,Fundamentals of Futures and Options Markets, 8thEd.Pearson.
Hull, J., 2013, My Research Philosophy,Eminent Economists – Their Life and Work Philosophies,M. Szenberg and L. Ramrattan, eds., Cambridge.
Hull, J. 2013, The Credit Crisis of 2007 and Its Implications for Risk Management, Chapter 4,Global Asset Management: Strategies, Risks, Processes, and Technologies,M. Pinedo and I Walter, eds. Pallgrave MacMillan.
Hull., J., and A. White, 2013, LIBOR vs. OIS: The Derivative Discounting Dilemma,Journal of Investment Management11, 14-27.
Hull, J., and A. White, 2013, Should Derivatives Dealers Make a Funding Value Adjustment? Counterparty Credit Risk,E. Canabarro and M. Pykhtin, eds., Risk Books.
Kan, R., C. Robotti, and J. Shanken, 2013, Pricing Model Performance and the Two-Pass Cross Sectional Regression Methodology,Journal of Finance68, 2617-2649.
Kobrak, C., and M. Troege, 2013, “Nous pouvons simplifier la régulation financière!” Revue Banque.
Kobrak, C., and M. Wilkins, eds, 2013, Concluding Thoughts on the Use and Abuse of Financial History: Panics and Public Policy,History and Financial Crisis: Lessons from the 20thCentury,Oxon: Routledge.
Kobrak, C., and P. Bunkanwanicha, 2013, Finance and Family-Ness: An Historical Assessment,The Endurance of Family Business,P. Fernandez Perez and A. Colli, eds., Cambridge: Cambridge UP.
Kobrak, C., and R. Rowena, eds., 2013, The Concept of Reputation in Business History, Special Issue,Business History Review,87.
Li, Y., and L. Yang, 2013, Prospect Theory, the Disposition Effect, and Asset Prices,Journal of Financial Economics107, 715-739.
Li, Y. and L. Yang, 2013, The Asset Pricing Implications of Dividend Volatility,Management Science59, 2036-2055.
Maheu, J., T. McCurdy, and X. Zhao, 2013, Do Jumps Contribute to the Dynamics of the Equity Premium?Journal of Financial Economics110, 457-477.
Acharya, V., S. Davydenko, I. Strebulaev, 2012, Cash Holdings and Credit Risk, Review of Financial Studies25, 3572-3609.
Chang, B., P. Christoffersen, K. Jacobs, and G. Vainberg, 2012, Option-Implied Measures of Equity Risk, Review of Finance16, 385-428.
Chang, B., K. Jacobs, and P. Christoffersen, 2012, Market Skewness Risk and the Cross Section of Stock Returns, Journal of Financial Economics 107, 46-68.
Choy, S.K., and J. Wei, 2012, Option Trading: Information or Differences of Opinion? Journal of Banking and Finance 36, 2299-2322.
Christoffersen, P., 2012,Elements of Financial Risk Management, Amsterdam; Boston, MA: Academic Press, 2012.
Christoffersen, P., K. Jacobs, H. Langlois, and V. Errunza, 2012, Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach,Review of Financial Studies 25, 3711-3751.
Christoffersen, P., K. Jacobs, and C. Ornthanalai, 2012, Dynamic Jump Intensities and Risk Premiums: Evidence from S&P500 Returns and Options, Journal of Financial Economics 106, 447–472.
Cohen, L., C. Malloy, and L. Pomorski, 2012, Decoding Inside Information,Journal of Finance 67, 1009-1043.
Davydenko, S., I. Strebulaev, and X. Zhao, 2012, A Market-Based Study of the Cost of Default, Review of Financial Studies 25, 2959-2999.
Eiling, E., B. Gerard, and F. A. de Roon, 2012, Euro-Zone Equity Returns: Country versus Industry Effects, Review of Finance 16, 755-798.
Eiling, E., B. Gerard, P. Hillion, and F. A. de Roon, 2012, International Portfolio Diversification: Currency, Industry and Country Effects Revisited, Journal of International Money and Finance 31, 1249-1278.
Elkamhi, R., J. Ericsson, and C. Parsons, 2012, The Cost and Timing of Financial Distress, Journal of Financial Economics 105, 62-81.
Gospodinov, N., R. Kan, and C. Robotti, 2012, Further Results on the Limiting Distribution of GMM Sample Moment Conditions, Journal of Business and Economic Statistics 30, 494-504.
Hull, J., Risk Management and Financial institutions, 3rd edition, Wiley, 2012.
Hull, J., 2012, CCPs: Their Risks and How They Can Be Reduced, Journal of Derivatives 20, 26-29.
Hull, J., and A. White, 2012, Ratings Arbitrage and Structured Products,Journal of Derivatives 20, 80-86.
Hull, J., and A. White, 2012, CVA and Wrong Way Risk, Financial Analysts Journal 68, 58-69.
Hull, J. and A. White, 2012, Credit Derivatives, Chapter 22,Handbook of Economics and Finance, Volume 2, G. Constantinides, M. Harris, and R. Stulz, eds., Elsevier.
Hull, J. and A. White, 2012, Ratings, Mortgage Securitizations, and the Apparent Creation of Value, Chapter 7,Rethinking the Financial System,A. Blinder, B. Solow, and A. Lo, eds., Russell Sage/Century Foundation.
Kan, R., and G. Zhou, 2012, Tests of Mean-Variance Spanning, Annals of Economics and Finance 13, 145-193.
Kramer, L., 2012, Seasonal Variation in Depression and in Markets, Canadian Securities Institute Research Foundation Journal, Anniversary Edition 1, 1-2.
Kramer, L., and J. Weber, 2012, This is Your Portfolio on Winter: Seasonal Affective Disorder and Risk Aversion in Financial Decision Making; Social Psychological and Personality Science 3, 193-199.
Kramer, L., M. Kamstra, and M. Levi, 2012, A Careful Re-Examination of Seasonality in International Stock Markets: Comment on Sentiment and Stock Returns, Journal of Banking and Finance 36, 934-956.
Maheu, J., T. McCurdy, and Y. Song, 2012, Components of Bull and Bear Markets: Bull Corrections and Bear Rallies, Journal of Business & Economic Statistics 30, 391-403.
White, A., 2012, Is the Derivatives Business Too Big?Journal of Derivatives20, 11-14.
Boguth, O., M. Carlson, A. Fisher, and M. Simutin, 2011, Conditional Risk and Performance Evaluation: Volatility Timing, Overconditioning, and New Estimates of Momentum Alphas, Journal of Financial Economics 102, 363-389.
Booth, L., 2011, Target Date Funds: Good News and Bad News, Journal of Risk13, 55-82.
Booth, L., and B. Chang, 2011, Information Asymmetry, Dividend Status and SEO Announcement Day Returns, Journal of Financial Research 34, 155-177.
Brean, D., 2011, Middle Kingdom: China’s Newfound Place on the World Stage, Chinese Economy 44, 7-18.
Brean, D., 2011, Provincial Taxation in China in China’s Local Public Finance in Transition, J. Man and Y.H. Hong, eds., Lincoln Institute of Land Policy, Cambridge, Mass.
Brean, D., G. Roberts, and L. Kryzanowski, 2011, Different Roots, Different Routes: A Comparative History of Canadian and American Banking and Bank Performance, Business History, Special Volume on Financial Sector Development 53, 249-69.
Christoffersen P., J. Berkowitz, and D. Pelletier, 2011, Evaluating Value-at-Risk Models with Desk-Level Data, Management Science 57, 2213-2227.
Christoffersen, S., and S. Sarkissian, 2011, The Demographics of Fund Turnover, Journal of Financial Intermediation 20, 414-440.
Elkamhi, R., J. Ericsson, and H. Wang, 2011, What Risks Do Corporate Bond Put Features Insure Against? Journal of Futures Markets 32, 1060-1090.
Goldreich, D., and L. Pomorski, 2011, Initiating Bargaining, Review of Economic Studies 78, 1299-1328.
Hull, J., Options, Futures, and Other Derivatives, 8th edition, Prentice Hall, 2011.
Kan, R., and C. Robotti, 2011, On the Estimation of Asset Pricing Models Using Univariate Betas, Economics Letters 110, 117-121.
Li, Y., and L. Yang, 2011, Testing Conditional Factor Models: A Nonparametric Approach, Journal of Empirical Finance 18, 972-992.
Maheu, J., and T. McCurdy, 2011, Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions?Journal of Econometrics 160, 69-76.
Ayyargari, M., and C. Doidge, 2010, Does Cross-listing Facilitate Changes in Corporate Ownership and Control? Journal of Banking and Finance 34, 208-223.
Booth, L., and S. Cleary, 2010, Introduction to Corporate Finance. Etobicoke, Ont.: J. Wiley & Sons Canada.
Brean, D., and D. Burgess,2010, Risk Adjusted Discount Rates for Public Investments in Discount Rates for the Evaluation of Public Private Partnerships, G. Jenkins and D. Burgess, eds. , Montreal & Kingston: McGill-Queen’s University Press.
Cao, M., and J. Wei, 2010, Option Market Liquidity: Commonality and Other Characteristics, Journal of Financial Markets 13, 20-48.
Cao, M., and J. Wei, 2010, Valuation of Housing Index Derivatives, Journal of Futures Markets 30, 660-688.
Christoffersen, P., C. Dorion, K. Jacobs, and Y. Wang, 2010, Volatility Components: Affine Restrictions and Non-normal Innovations, Journal of Business and Economic Statistics 28, 483-502.
Christoffersen, P., R. Elkamhi, B. Feunou, and K. Jacobs, 2010, Option Valuation with Conditional Heteroskedasticity and Non-Normality, Review of Financial Studies 23, 2139-2183.
Christoffersen, P., K. Jacobs, and K. Mimouni, 2010, Volatility Dynamics for the S&P500: Evidence From Realized Volatility, Daily Returns, and Option Prices, The Review of Financial Studies 23, 3141-3189.
Degeorge, F., F. Derrien, and K. Womack, 2010, Auctioned IPOs: The US Evidence, Journal of Financial Economics 98, 177-194.
Doidge, C., A. Karolyi, and R. Stulz, 2010, Why Do Foreign Firms Leave U.S. Equity Markets? Journal of Finance 65, 1507–1553.
Donaldson, G., L. Kramer, and M. Kamstra, 2010, Estimating the Equity Premium, Journal of Financial and Quantitative Analysis 45, 813-846.
Dyck, Alexander, A. Morse, and L. Zingales, 2010, Who Blows the Whistle on Corporate Fraud, Journal of Finance 65, 2213-2254.
Hull, J., Fundamentals of Futures and Options Markets, 7th edition, Prentice Hall, 2010.
Hull, J., 2010, OTC Derivatives and Central Clearing: Can All Transactions Be Handled, Financial Stability Review 14, 71-80.
Hull, J., and A. White, 2010, The Risk of Tranches Created from Residential Mortgages, Financial Analysts Journal 66, 54-67.
Hull, J. and A. White, 2010, An Improved Implied Copula Model and its Application to the Valuation of Bespoke CDO Tranches, Journal of Investment Management 8, 11-31.
Hull, J., A. White, and M. Predesu, 2010, The Valuation of Correlation-Dependent Credit Derivatives Using a Structural Model, Journal of Credit Risk 6, 99-132.
Kan, R. and X. Wang, 2010, On the Distribution of the Sample Autocorrelation Coefficients; Journal of Econometrics 154, 101-121.
Kramer, L., M. Kamstra, and M. Levi, 2010, Effects of Daylight-Saving Time Changes on Stock Market Volatility: a Comment, Psychological Reports 107, 877-887.
Simutin, M., 2010, Excess Cash and Stock Returns, Financial Management 39, 1197-1222.
Wei, J., and J. Zheng, 2010, Trading Activity and Bid-Ask Spreads of Individual Equity Options, Journal of Banking and Finance 34, 2897-2916.