Research

Work in the area of Corporate Finance includes work undertaken by the following faculty members:-

Dr. Gary Emery
Dr. Chitru Fernando (http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=21888)
Dr. Evgenia Golubeva (http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=333720)
Dr. Scott Linn (http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=260122)
Dr. William Megginson (http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=145311)
Dr. Pradeep Yadav (http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=141758)

Selected Working papers:

Price Dispersion in a Model with Middlemen and Oligopolistic Market Makers Scott Linn, J.D. Ju and Zhen Zhu. (Under revision for the Journal of Economics and Management Strategy).
Operating Performance Changes Associated With Corporate Mergers and the Role of Corporate Governance Scott Linn, Nicholas Carline and Pradeep Yadav. (Under revision for the Journal of Banking and Finance).
Institutional ownership, analyst following and share prices: Theory and evidence. Chitru Fernando, Vladimir Gatchev and Paul Spindt. Invited for presentation at the 2008 FIRS conference, 2007 FMA European meetings and the 2007 FMA meetings.
Governance Matching in Corporate Acquisitions and the Effect of Antitakeover Provisions Chitru Fernando, Vladimir Gatchev and Vahap Uysal.
Do Privatization IPO Firms Outperform in the Long-Run? William Megginson, Seung-Doo Choi and Inmoo Lee, March 2008. Being revised for third review at Financial Management.
Extreme Underpricing: Determinants of Chinese IPO Initial Returns,William Megginson, Lihui Tian, April 2007. Being revised for resubmission to Journal of Empirical Finance.
Seeking safety in bad times: Dividend initiation returns and the economy,, Evgenia Golubeva and Vahap Uysal, Working paper, 2008
Governance Structures and Real Gains in Corporate Mergers and Acquisitions by N. Carline, S.C. Linn and P.K. Yadav.

Work in the area of Asset Pricing, Capital Markets & Microstructure includes work undertaken by the following faculty members:-

Selected Working papers:

What Moves US Interest Rates, Louis Ederington and Duong Le.
How Asymmetric is US Stock Market Volatility, Louis Ederington and Wei Guan
Robbing Peter to Pay Paul: Trading by Insiders with Liquidity Needs. Chitru Fernando and Vladimir Gatchev
Pricing Individual Stock Options on Firms with LeverageS Yi Zhou
The Effect of Corporate Break-ups on Information Asymmetry: A Market Microstructure Analysis by F. Bardong, S.M. Bartram and P.K. Yadav.
Opening call auctions in a specialist market, Evgenia Golubeva, Ekkehart Boehmer, Avner Kalay and Avi Wohl, Working paper, 2008
Tick size and adverse selection: spurious effects arising from serial correlation, Evgenia Golubeva, Lynn Doran, Michael Goldstein and Eric Hughson, Working paper, 2008
The Early Exercise Premium in American Option Prices: Direct Empirical Evidence by S. Unni and P. K. Yadav.
Informed Trading, Information Asymmetry, and Pricing of Information Risk: Empirical Evidence from the NYSE by F. Bardong, S.M. Bartram and P.K. Yadav.
Resiliency, a Dynamic View of Liquidity: Empirical Evidence from a Limit Order Book Market by D. Mayston, A. Kempf and P.K. Yadav.

Work in the area of Derivatives & Risk Management includes work undertaken by the following faculty members:-

Selected Working papers:

Time Series Volatility Forecasts for Option Valuation, Louis Ederington and Wei Guan
Why Do Firms Hedge Selectively? Evidence from the Gold Mining Industry. Chitru Fernando, Tim Adam and Jesus Salas. Invited for presentation at the 2007 FMA European meetings, 2007 EFA meetings, the 2007 FMA meetings and the 2008 German Finance Association meeting
A New Methodology for Measuring and Using the Market Value of Aggregate Corporate Debt in Asset Pricing: Evidence from S&P 500 Index Put Option Prices Yi Zhou and Robert Geske (Submitted to Journal of Financial Economics)
Managerial biases and corporate risk management, Evgenia Golubeva, Tim Adam and Chitru Fernando, Working paper, 2008

Work in the area of Fixed Income Securities includes work undertaken by the following faculty members:-

Selected Working papers:

The Distribution of the Value of the Firm and Stochastic Interest Rates, Duane Stock, S. Lakshmivarahan and Shengguang Qian
Explaining the Hump in Credit Spreads: First Passage Default, Covenants, and Term Structures of Default Risky Rates and Credit Spreads, Duane Stock, S. Lakshmivarahan and Shengguang Qian
"The Effects of Leverage on the Pricing of S&P 500 Index Call Options Yi Zhou and Robert Geske

Work in the area of Information and Market Efficiency includes work undertaken by the following faculty members:-

Selected Working papers:

What Attracts Bidders to Online Auctions and What is Their Incremental Price Impact Louis Ederington and Michael DeWally
Robbing Peter to Pay Paul: Trading by Insiders with Liquidity Needs.Chitru Fernando and Vladimir Gatchev

Finance Research Highlights