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Mission
Recent Research
Affiliated Faculty
Sunil Wahal
George Aragon
Seth Pruitt
Hendrik Bessembinder
Student Initiatives
Data
Historical Profitability and Investment
Stocks versus Bills
Recent Research
Sunil Wahal
“The profitability and investment premium: Pre-1963 evidence”
forthcoming in Journal of Financial Economics
“The term structure of liquidity provision”
with Jennifer Conrad.
“Do properly anticipated prices fluctuate randomly? Evidence from VIX futures markets”
with George Aragon and Rajnish Mehra.
Hank Bessembinder
“Capital Commitment and Illiquidity in Corporate Bonds”
forthcoming in
Journal of Finance
. (with William Maxwell, Stacey Jacobsen and Kumar Venkataraman)
“Do Stocks Outperform Treasury Bills?”
forthcoming in Journal of Financial Economics
.
George Aragon
“Liquidity transformation and financial fragility: evidence from funds of hedge funds”
forthcoming in Journal of Financial and Quantitative Analysis
, 2018. (with Vikas Agarwal and Zhen Shi)
“The use of credit default swaps by bond mutual funds: liquidity provision and counterparty risk”
forthcoming in Journal of Financial Economics
, 2017. (with Lei Li and Jun Qian)
“Who benefits in a crisis? Evidence from hedge fund stock and option holdings”
forthcoming in Journal of Financial Economics
, 2017. (with J. Spencer Martin and Zhen Shi)
“Hedge Fund Liquidity Management”
with Tolga Ergun, Mila Getmansky, and Giulio Girardi.
Seth Pruitt
“The Liquidity Effects of Official Bond Market Intervention”
Journal of Financial and Quantitative Analysis
, Feb 2018, 53(1): 243-268. (with
M. De Pooter
and R. Martin)
“Estimating Monetary Policy Rules When Interest Rates Are Stuck at Zero”
Journal of Money, Credit and Banking
, June 2017, 49(4): 585-602. lead article (with
J. Kim
)
“Characteristics are Covariances: A Unified Model of Risk and Return”
with
B. Kelly
and Y. Su.
“Instrumented Principal Component Analysis”
with
B. Kelly
and Y. Su.