{"id":140,"date":"2018-11-02T20:31:17","date_gmt":"2018-11-02T20:31:17","guid":{"rendered":"https:\/\/research.wpcarey.asu.edu\/investment-engineering\/?page_id=140"},"modified":"2020-05-01T17:00:03","modified_gmt":"2020-05-01T17:00:03","slug":"recent-research","status":"publish","type":"page","link":"https:\/\/research.wpcarey.asu.edu\/investment-engineering\/recent-research\/","title":{"rendered":"Recent Research"},"content":{"rendered":"<h2>Sunil Wahal<\/h2>\n<ul>\n<li class=\"rrLi\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2891491\" target=\"_blank\" rel=\"noopener noreferrer\">\u201cThe profitability and investment premium: Pre-1963 evidence\u201d<\/a>&nbsp;<em>forthcoming in Journal of Financial Economics<\/em>&nbsp; &nbsp;&nbsp;<\/li>\n<li class=\"rrLi\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2837111\" target=\"_blank\" rel=\"noopener noreferrer\">\u201cThe term structure of liquidity provision\u201d<\/a>&nbsp;with Jennifer Conrad.<\/li>\n<li class=\"rrLi\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=3171036\" target=\"_blank\" rel=\"noopener noreferrer\">\u201cDo properly anticipated prices fluctuate randomly? Evidence from VIX futures markets\u201d<\/a>&nbsp;with George Aragon and Rajnish Mehra.<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n<h2>Hank Bessembinder<\/h2>\n<ul>\n<li class=\"rrLi\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2752610\" target=\"_blank\" rel=\"noopener noreferrer\">\u201cCapital Commitment and Illiquidity in Corporate Bonds\u201d<\/a> <em>forthcoming in<\/em>&nbsp;<em>Journal of Finance<\/em>. (with William Maxwell, Stacey Jacobsen and Kumar Venkataraman)<\/li>\n<li class=\"rrLi\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2900447\" target=\"_blank\" rel=\"noopener noreferrer\">\u201cDo Stocks Outperform Treasury Bills?\u201d&nbsp;<\/a><em>forthcoming in&nbsp;Journal of Financial Economics<\/em>.<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n<h2>George Aragon<\/h2>\n<ul>\n<li class=\"rrLi\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2574963\" target=\"_blank\" rel=\"noopener noreferrer\">\u201cLiquidity transformation and financial fragility: evidence from funds of hedge funds\u201d<\/a>&nbsp;&nbsp;<em>forthcoming in Journal of Financial and Quantitative Analysis<\/em>, 2018. (with Vikas Agarwal and Zhen Shi)<\/li>\n<li class=\"rrLi\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=3033053\" target=\"_blank\" rel=\"noopener noreferrer\">\u201cThe use of credit default swaps by bond mutual funds: liquidity provision and counterparty risk\u201d<\/a>&nbsp;&nbsp;<em>forthcoming in Journal of Financial Economics<\/em>, 2017. (with Lei Li and Jun Qian)<\/li>\n<li class=\"rrLi\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2880794\" target=\"_blank\" rel=\"noopener noreferrer\">\u201cWho benefits in a crisis? Evidence from hedge fund stock and option holdings\u201d<\/a>&nbsp;<em>forthcoming in Journal of Financial Economics<\/em>, 2017. (with J. Spencer Martin and Zhen Shi)<\/li>\n<li class=\"rrLi\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=3033930\" target=\"_blank\" rel=\"noopener noreferrer\">\u201cHedge Fund Liquidity Management\u201d<\/a>&nbsp;with Tolga Ergun, Mila Getmansky, and Giulio Girardi.<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n<h2>Seth Pruitt<\/h2>\n<ul>\n<li class=\"rrLi\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2143326\" target=\"_blank\" rel=\"noopener noreferrer\">\u201cThe Liquidity Effects of Official Bond Market Intervention\u201d<\/a>&nbsp;<em>Journal of Financial and Quantitative Analysis<\/em>, Feb 2018, 53(1): 243-268. (with<a href=\"https:\/\/www.federalreserve.gov\/econres\/michiel-de-pooter.htm\" target=\"_blank\" rel=\"noopener noreferrer\">&nbsp;M. De Pooter<\/a>&nbsp;and R. Martin)<\/li>\n<li class=\"rrLi\"><a href=\"https:\/\/onlinelibrary.wiley.com\/doi\/full\/10.1111\/jmcb.12391\" target=\"_blank\" rel=\"noopener noreferrer\">\u201cEstimating Monetary Policy Rules When Interest Rates Are Stuck at Zero\u201d<\/a>&nbsp;<em>Journal of Money, Credit and Banking<\/em>, June 2017, 49(4): 585-602. lead article (with<a href=\"http:\/\/econ.korea.ac.kr\/?page=prof&amp;profid=jikim\">&nbsp;J. Kim<\/a>)<\/li>\n<li class=\"rrLi\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=3032013\" target=\"_blank\" rel=\"noopener noreferrer\">\u201cCharacteristics are Covariances: A Unified Model of Risk and Return\u201d<\/a>&nbsp;with<a href=\"https:\/\/www.bryankellyacademic.org\/\" target=\"_blank\" rel=\"noopener noreferrer\">&nbsp;B. Kelly<\/a>&nbsp;and Y. Su.<\/li>\n<li class=\"rrLi\"><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=2983919\" target=\"_blank\" rel=\"noopener noreferrer\">\u201cInstrumented Principal Component Analysis\u201d<\/a>&nbsp;with<a href=\"https:\/\/www.bryankellyacademic.org\/\" target=\"_blank\" rel=\"noopener noreferrer\">&nbsp;B. Kelly<\/a>&nbsp;and Y. Su.<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Sunil Wahal \u201cThe profitability and investment premium: Pre-1963 evidence\u201d&nbsp;forthcoming in Journal of Financial Economics&nbsp; &nbsp;&nbsp; \u201cThe term structure of liquidity provision\u201d&nbsp;with Jennifer Conrad. \u201cDo properly anticipated prices fluctuate randomly? Evidence from VIX futures markets\u201d&nbsp;with George Aragon and Rajnish Mehra. &nbsp; Hank Bessembinder \u201cCapital Commitment and Illiquidity in Corporate Bonds\u201d forthcoming in&nbsp;Journal of Finance. (with William &hellip; <a href=\"https:\/\/research.wpcarey.asu.edu\/investment-engineering\/recent-research\/\"><\/a><\/p>\n","protected":false},"author":3,"featured_media":0,"parent":0,"menu_order":0,"comment_status":"closed","ping_status":"closed","template":"template-custom.php","meta":{"spay_email":""},"jetpack_sharing_enabled":true,"jetpack_shortlink":"https:\/\/wp.me\/PapNBq-2g","_links":{"self":[{"href":"https:\/\/research.wpcarey.asu.edu\/investment-engineering\/wp-json\/wp\/v2\/pages\/140"}],"collection":[{"href":"https:\/\/research.wpcarey.asu.edu\/investment-engineering\/wp-json\/wp\/v2\/pages"}],"about":[{"href":"https:\/\/research.wpcarey.asu.edu\/investment-engineering\/wp-json\/wp\/v2\/types\/page"}],"author":[{"embeddable":true,"href":"https:\/\/research.wpcarey.asu.edu\/investment-engineering\/wp-json\/wp\/v2\/users\/3"}],"replies":[{"embeddable":true,"href":"https:\/\/research.wpcarey.asu.edu\/investment-engineering\/wp-json\/wp\/v2\/comments?post=140"}],"version-history":[{"count":21,"href":"https:\/\/research.wpcarey.asu.edu\/investment-engineering\/wp-json\/wp\/v2\/pages\/140\/revisions"}],"predecessor-version":[{"id":9218,"href":"https:\/\/research.wpcarey.asu.edu\/investment-engineering\/wp-json\/wp\/v2\/pages\/140\/revisions\/9218"}],"wp:attachment":[{"href":"https:\/\/research.wpcarey.asu.edu\/investment-engineering\/wp-json\/wp\/v2\/media?parent=140"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}