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.