This section features published papers that have come from the Jacobs Levy Center’s working paper series, as well as noteworthy publications by Jacobs Levy Center advisory board members, corporate members, and others involved with the Center. Explore recent working papers by Wharton and Penn faculty and students here.
2024
Financial information and diverging beliefs
Christopher S. Armstrong, Mirko S. Heinle, and Irina Luneva, Review of Accounting Studies (September 2024)
Journal of Portfolio Management, Special Issue Dedicated to Harry Markowitz
Edited by Frank J. Fabozzi, Bruce I. Jacobs, and Kenneth N. Levy (July 2024)
Editors’ Introduction: The Birth of Portfolio Theory
Frank J. Fabozzi, Bruce I. Jacobs, and Kenneth N. Levy, Journal of Portfolio Management, Special Issue Dedicated to Harry Markowitz (July 2024)
Portfolio Insurance, Portfolio Theory, Market Simulation, and Risks of Portfolio Leverage
Bruce I. Jacobs and Kenneth N. Levy, Journal of Portfolio Management, Special Issue Dedicated to Harry Markowitz (July 2024)
Measuring “Dark Matter” in Asset Pricing Models
Hui Chen, Winston Wei Dou, and Leonid Kogan, Journal of Finance (April 2024)
2023
CLO Performance
Larry Cordell, Michael Roberts, and Michael Schwert, Journal of Finance (June 2023)
Common ownership and innovation efficiency
Xuelin Li, Tong Liu, and Lucian A. Taylor, Journal of Financial Economics (March 2023)
Financial Reporting and Employee Job Search
Ed deHaan, Nan Li, and Frank Zhou, Journal of Accounting Research (January 2023)
2022
Credit cycles with market-based household leverage
William Diamond and Tim Landvoigt, Journal of Financial Economics (November 2022)
Dissecting green returns
Lubos Pastor, Robert Stambaugh, and Lucian Taylor, Journal of Financial Economics (November 2022)
Executive stock options and systemic risk
Christopher Armstrong, Allison Nicoletti, and Frank Zhou, Journal of Financial Economics (October 2022)
Mutual Fund Liquidity Transformation and Reverse Flight to Liquidity
Yiming Ma, Kairong Xiao, and Yao Zeng, Review of Financial Studies (October 2022)
Synergizing ventures
Ufuk Akcigit, Emin Dinlersoz, Jeremy Greenwood, and Veronika Penciakova, Journal of Economic Dynamics and Control (October 2022)
The Dark Side of Investor Conferences: Evidence of Managerial Opportunism
Brian Bushee, Daniel J. Taylor, and Christina Zhu, The Accounting Review (October 2022)
Countercyclical Labor Income Risk and Portfolio Choices over the Life Cycle
Sylvain Catherine, Review of Financial Studies (September 2022)
Asymmetric Information and Sovereign Debt: Theory Meets Mexican Data
Harold Cole, Daniel Neuhann, and Guillermo Ordoñez, Journal of Political Economy (August 2022)
To pool or not to pool? Security design in OTC markets
Vincent Glode, Christian C. Opp, and Ruslan Sverchkov, Journal of Financial Economics (August 2022)
Audit process, private information, and insider trading
Salman Arif, John D. Kepler, Joseph Schroeder, and Daniel Taylor, Review of Accounting Studies (July 2022)
The Challenge of Disparities in ESG Ratings
Bruce I. Jacobs and Kenneth N. Levy, Journal of Impact and ESG Investing (Spring 2022)
A Model of Two Days: Discrete News and Asset Prices
Jessica A Wachter and Yicheng Zhu, Review of Financial Studies (May 2022)
Volatility Risk Pass-Through
Riccardo Colacito, Mariano M Croce, Yang Liu, and Ivan Shaliastovich, Review of Financial Studies (May 2022)
Can the covid bailouts save the economy?
Vadim Elenev, Tim Landvoigt, and Stijn Van Nieuwerburgh, Economic Policy (April 2022)
Macro-Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models
Xu Cheng, Winston Wei Dou, and Zhipeng Liao, Econometrica (March 2022)
Risk-free interest rates
Jules van Binsbergen, William Diamond, and Marco Grotteria, Journal of Financial Economics (January 2022)
2021
Countercyclical Labor Income Risk and Portfolio Choices over the Life Cycle
Sylvain Catherine, Review of Financial Studies (December 2021)
Dissecting bankruptcy frictions
Winston Wei Dou, Lucian Taylor, Wei Wang, and Wenyu Wang, Journal of Financial Economics (December 2021)
The term structure of equity risk premia
Ravi Bansal, Shane Miller, Dongho Song, and Amir Yaron, Journal of Financial Economics (December 2021)
Contracts with (Social) benefits: The implementation of impact investing
Christopher Geczy, Jessica Jeffers, David Musto, and Anne Tucker, Journal of Financial Economics (November 2021)
Sustainable investing in equilibrium
Lubos Pastor, Robert Stambaugh, and Lucian Taylor, Journal of Financial Economics (November 2021)
Financial fragility in the COVID-19 crisis: The case of investment funds in corporate bond markets
Antonio Falato, Itay Goldstein, and Ali Hortaçsu, Journal of Monetary Economics (October 2021)
Marketing Mutual Funds
Nikolai Roussanov, Hongxun Ruan, and Yanhao Wei, Review of Financial Studies (June 2021)
Undisclosed SEC Investigations
Terrence Blackburne, John Kepler, Phillip Quinn, and Daniel Taylor, Management Science (June 2021)
Competition, profitability, and discount rates
Winston Wei Dou, Yan Ji, and Wei Wu, Journal of Financial Economics (May 2021)
Factor Modeling: The Benefits of Disentangling Cross-Sectionally for Explaining Stock Returns
Bruce I. Jacobs and Kenneth N. Levy, Journal of Portfolio Management (May 2021)
Equilibrium Asset Pricing with Leverage and Default
Joao Gomes and Lukas Schmid, Journal of Finance (April 2021)
Inalienable Customer Capital, Corporate Liquidity, and Stock Returns
Winston Wei Dou, Yan Ji, David Riebstein, and Wei Wu, Journal of Finance (February 2021)
Information Inertia
Philipp Illeditsch, Jayant Ganguli, and Scott Condie, Journal of Finance (February 2021)
2020
Fund tradeoffs
Lubos Pastor, Robert Stambaugh, and Lucian Taylor, Journal of Financial Economics (December 2020)
Political Connections and the Informativeness of Insider Trades
Alan Jagolinzer, David Larcker, Gaizka Ormazabal, and Daniel Taylor, Journal of Finance (August 2020)
Houses as ATMs: Mortgage Refinancing and Macroeconomic Uncertainty
Hui Chen, Michael Michaux, and Nikolai Roussanov, Journal of Finance (February 2020)
2019
The Bernstein Fabozzi/Jacobs Levy Awards: Five Years of Award-Winning Articles from The Journal of Portfolio Management, Volume Four
Edited by Frank J. Fabozzi, Bruce I. Jacobs, and Kenneth N. Levy (November 2019, Pageant Media)
Venture Capital and the Macroeconomy
Christian Opp, Review of Financial Studies (November 2019)
Size and value in China
Jianan Lu, Robert Stambaugh, and Yu Yuan, Journal of Financial Economics (October 2019)
Real Anomalies
Jules van Binsbergen and Christian Opp, Journal of Finance (August 2019)
Financing Through Asset Sales
Alex Edmans and William Mann, Management Science (July 2019)
Soft Shareholder Activism
Doron Levit, Review of Financial Studies (July 2019)
Dynamic Portfolio Execution
Gerry Tsoukalas, Jiang Wang, and Kay Giesecke, Management Science (May 2019)
Cyclical Dispersion in Expected Defaults
Joao Gomes, Marco Grotteria, and Jessica Wachter, Review of Financial Studies (April 2019)
2018
Too Smart for Our Own Good: Ingenious Investment Strategies, Illusions of Safety, and Market Crashes
Bruce I. Jacobs (McGraw Hill, 2018)
The existence and persistence of financial anomalies: What have you done for me lately?
John Guerard and Harry Markowitz, Financial Planning Review (December 2018)
Two Centuries of Price-Return Momentum
Christopher Geczy and Mikhail Samonov, Financial Analysts Journal (December 2018)
Inefficiencies and externalities from opportunistic acquirers
Di Li, Lucian Taylor, and Wenyu Wang, Journal of Financial Economics (November 2018)
Strategic News Releases in Equity Vesting Months
Alex Edmans, Luis Goncalves-Pinto, Moqi Groen-Xu, and Yanbo Wang, Review of Financial Studies (November 2018)
Do Rare Events Explain CDX Tranche Spreads?
Sang Byung Seo and Jessica Wachter, Journal of Finance (October 2018)
Absolving beta of volatility’s effects
Jianan Lu, Robert Stambaugh, and Yu Yuan, Journal of Financial Economics (April 2018)
Myopic Agency
John Zhu, Review of Economic Studies (April 2018)
2017
Authority, Consensus, and Governance
Archishman Chakraborty and Bilge Yilmaz, Review of Financial Studies (December 2017)
Commodity Trade and the Carry Trade: A Tale of Two Countries
Robert Ready, Nikolai Roussanov, and Colin Ward, Journal of Finance (December 2017)
Do Funds Make More When They Trade More?
Lubos Pastor, Robert Stambaugh, and Lucian Taylor, Journal of Finance (August 2017)
Equity Vesting and Investment
Alex Edmans, Vivian Fang, and Katharina Lewellen, Review of Financial Studies (July 2017)
Mispricing Factors
Robert Stambaugh and Yu Yuan, Review of Financial Studies (April 2017)
2016
Compensating Financial Experts
Vincent Glode and Richard Lowery, Journal of Finance (December 2016)
The Labor Market for Directors and Externalities in Corporate Governance
Doron Levit and Nadya Malenko, Journal of Finance (April 2016)
Durable Goods, Inflation Risk, and Equilibrium Asset Prices
Bjørn Eraker, Ivan Shaliastovich, and Wenyu Wang, Review of Financial Studies (January 2016)
2015
Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle
Robert Stambaugh, Jianfeng Yu, and Yu Yuan, Journal of Finance (October 2015)
Earnings forecasting in a global stock selection model and efficient portfolio construction and management
John Guerard, Harry Markowitz, and GanLinXu, International Journal of Forecasting (April–June 2015)
2014
Volatility, the Macroeconomy, and Asset Prices
Ravi Bansal, Dana Kiku, Ivan Shaliastovich, and Amir Yaron, Journal of Finance (December 2014)
Dynamic debt runs and financial fragility: Evidence from the 2007 ABCP crisis
Enrique Schroth, Gustavo Suarez, and Lucian Taylor, Journal of Financial Economics (May 2014)
Countercyclical currency risk premia
Hanno Lustig, Nikolai Roussanov, and Adrien Verdelhan, Journal of Financial Economics (March 2014)
Common Errors: How to (and Not to) Control for Unobserved Heterogeneity
Todd Gormley and David Matsa, Review of Financial Studies (February 2014)
2013
CEO wage dynamics: Estimates from a learning model
Lucian Taylor, Journal of Financial Economics (April 2013)
Rating agencies in the face of regulation
Christian Opp, Marcus Opp, and Milton Harris, Journal of Financial Economics (April 2013)