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TOPICS: INFORMATION & PRICES / FINANCIAL (& OTHER) CRISES / GOVERNMENT INTERVENTION
INFORMATION & PRICES: Agency Costs and Strategic Speculation in the U.S. Stock Market Review of Corporate Finance Studies (2024), 13, pp. 147-190. PDF version (internet appendix) Non-Standard Errors With many coauthors. Journal of Finance (2023), Forthcoming. PDF version Speculation with Information Disclosure With Yifei Wang. Journal of Financial and Quantitative Analysis (2022), Forthcoming. PDF version (internet appendix) Strategic Cross-Trading in the U.S. Stock Market With Clara Vega. Review of Finance (2015), 19, pp. 229-282. PDF version Prospect Theory and Market Quality Journal of Economic Theory (2014), 149, pp. 276-310. PDF version (typos) This paper previously circulated under the title "Prospect Theory and Market liquidity." The On-The-Run Liquidity Phenomenon With Clara Vega. Journal of Financial Economics (2009), 92, pp. 1-24 (Lead Article). PDF version This paper previously circulated under the title "Strategic Order Flow in the On-The-Run and Off-The-Run Bond Markets." You can read more about this paper on the Fall 2006 NBER Reporter Does Asymmetric Information Drive Capital Structure Decisions? With Sreedhar Bharath and Guojun Wu. Review of Financial Studies (2009), 22, pp. 3211-3243. PDF version Further details on the construction of the ASY index can be found in a previous version available at SSRN You can read more about this paper on the Summer 2006 NBER Reporter and on the Ross Thought in Action On the Volatility and Comovement of U.S. Financial Markets Around Macroeconomic News Announcements With Menachem Brenner and Marti Subrahmanyam. Journal of Financial and Quantitative Analysis (2009), 44, pp. 1265-1289 (Lead Article). PDF version This paper previously circulated under the title "Financial Markets and the Macro Economy." Informed and Strategic Order Flow in the Bond Markets With Clara Vega. Review of Financial Studies (2007), 20, pp. 1975-2019. PDF version Updating Expectations: An Analysis of Post-9/11 Returns With Jarl Kallberg and Crocker Liu. Journal of Financial Markets (2008), 11, pp. 400-432. PDF version You can read more about this paper on financialrounds.blogspot.com Uncertainty of Trading Rules in Currency Markets: An Application of Nonparametric Bootstrapping Journal of Multinational Financial Management (2002), 12, pp. 107-133. PDF version Views: Use and Abuse With Arun Muralidhar. Journal of Asset Management (2001), 2, pp. 47-55. PDF version Decomposing and Understanding Risk With Arun Muralidhar and Kemal Asad-Syed. In Arun Muralidhar ed., Innovations in Pension Fund Management (2002), Chapter 8, pp. 163-182. PDF version FINANCIAL (& OTHER) CRISES: Excess Mortality from COVID-19: A Commentary on the Italian Experience With Saverio Stranges. International Journal of Public Health (2020), 65, pp. 529-531, https://doi.org/10.1007/s00038-020-01399-y PDF version Financial Market Dislocations Review of Financial Studies (2014), 27, pp. 1868-1914 (Michael J. Brennan RFS Best Paper Runner-Up Award). PDF version The MDI series over 1973-2009 is available on request; more detailed information on and analysis of the ADR subsample are in Pasquariello (2018) On the Price Comovement of U.S. Residential Real Estate Markets With Jarl Kallberg and Crocker Liu. Real Estate Economics (2014), 42, pp. 71-108. PDF version The Anatomy of Financial Crises: Evidence from the Emerging ADR Market Journal of International Economics (2008), 76, pp. 193-207. PDF version This paper previously circulated under the title "Are Financial Crises Indeed "Crises?" Evidence from the Emerging ADR Market." You can read more about this paper on financeprofessor.com Time-Series and Cross-Sectional Excess Comovement in Stock Indexes With Jarl Kallberg. Journal of Empirical Finance (2008), 15, pp. 481-502. PDF version Imperfect Competition, Information Heterogeneity, and Financial Contagion Review of Financial Studies (2007), 20, pp. 391-426. PDF version Further discussion and analysis of the notion of information heterogeneity in the paper can be found here An Examination of the Asian Crisis: Regime Shifts in Currency and Equity Markets With Jarl Kallberg and Crocker Liu. Journal of Business (2005), 78, pp. 169-211. PDF version Regime Shifts in Asian Equity and Real Estate Markets With Jarl Kallberg and Crocker Liu. Real Estate Economics (2002), 30, pp. 263-291. PDF version Regime Switches in Asian Equity and Real Estate Markets With Jarl Kallberg and Crocker Liu. In Edward Altman and Irving Vanderhof eds., Proceeds of the Conference on Risk and Return Management for Insurance Companies (1999). PDF version GOVERNMENT INTERVENTION: Government Intervention and Strategic Trading in the U.S. Treasury market With Jennifer Roush and Clara Vega. Journal of Financial and Quantitative Analysis (2020), 55, pp. 117-157. PDF version (internet appendix) Government Intervention and Arbitrage Review of Financial Studies (2018), 31, pp. 3344-3408. PDF version (internet appendix) Central Bank Intervention and the Intraday Process of Price Formation in Currency Markets Journal of International Money and Finance (2010), 29, pp. 1045-1061. PDF version Informative Trading or Just Costly Noise? An Analysis of Central Bank Interventions Journal of Financial Markets (2007), 10, pp. 107-143 (Lead Article). PDF version (typos)[ WORKING PAPERS ] [ PERMANENT WORKING PAPERS ]