This section features recent working papers by Wharton and Penn faculty and students on topics related to quantitative finance. A selection of new and noteworthy publications may be viewed here.
2018-2019
Skill and Fees in Active Management
Robert Stambaugh*
Risk Factors that Matter: Textual Analysis of Risk Disclosures for the Cross-Section of Returns
Alejandro Lopez-Lira
Executive Stock Options and Bank Risk-Taking
Chris Armstrong*, Allison Nicoletti* and Frank Zhou*
Fund Tradeoffs
Lubos Pastor, Robert Stambaugh* and Lucian Taylor*
Countercyclical Labor Income Risk and Portfolio Choices over the Life-Cycle
Sylvain Catherine*
Shareholders Expected Recovery Rate and Underleverage Puzzle
Daniel Kim
Why Trade Over-the-Counter? When Investors Want Price Discrimination
Tomy Lee and Chaojun Wang*
Parallax and Tax
Etan Green*, Haksoo Lee and David Rothschild
Good Booms, Bad Booms
Gary Gorton and Guillermo Ordonez*
Comovement in Arbitrage Limits
Jianan Liu
Endogenous Price War Risks
Winston Wei Dou*, Yan Ji and Wei Wu
Risk Free Interest Rates
Jules van Binsbergen*, William Diamond* and Marco Grotteria
The Macroeconomic Announcement Premium
Jessica Wachter* and Yicheng Zhu*
Customer Capital, Financial Constraints, and Stock Returns
Winston Wei Dou*, Yan Ji, David Reibstein* and Wei Wu
Do Risk Disclosures Matter When It Counts? Evidence from the Swiss Franc Shock
Luzi Hail*, Maximilian Muhn and David Oesch
Size and Value in China
Jianan Liu*, Robert Stambaugh* and Yu Yuan
Stochastic Impatience and the Separation of Time and Risk Preferences
David Dillenberger*, Daniel Gottlieb and Pietro Ortolevax
Mind the Gap: Disentangling Credit and Liquidity in Risk Spreads
Krista Schwarz*
Audit Process, Private Information, and Insider Trading
Salman Arif, John Kepler, Joseph Schroeder and Daniel Taylor*
2017-2018
The Favorite-Longshot Midas
Etan Green*, Haksoo Lee and David Rothschild
Shareholders Expected Recovery Rate and Underleverage Puzzle
Daniel Kim*
Pricing long-lived securities in dynamic endowment economies
Jerry Tsai and Jessica Wachter*
Good Booms, Bad Booms
Gary Gorton and Guillermo Ordonez*
Tight Money-Tight Credit: Coordination Failure in the Conduct of Monetary and Financial Policies
Julio Carrillo, Enrique Mendoza*, Victoria Nuguer and Jessica Roldan-Pena
The Macroeconomic Announcement Premium
Jessica Wachter* and Yicheng Zhu*
Cyclical Dispersion in Expected Defaults
Joao Gomes*, Marco Grotteria* and Jessica Wachter*
Customer Capital, Financial Constraints, and Stock Returns
Winston Wei Dou*, Yan Ji, David Reibstein* and Wei Wu
Anomalies Abroad
Xiaomeng Lu, Robert Stambaugh* and Yu Yuan
Venture Capital and the Macroeconomy
Christian Opp*
Real Anomalies
Jules van Binsbergen* and Christian Opp*
Financial markets with trade on risk and return
Kevin Smith
Political Connections and the Informativeness of Insider Trades
Alan Jagolinzer, David Larcker, Gaizka Ormazabal and Daniel Taylor*
2016-2017
Noisy Active Management
Robert Stambaugh*
Marketing Mutual Funds
Nikolai Roussanov*, Hongxun Ruan and Yanhao We
Cyclical Dispersion in Expected Defaults
Joao Gomes*, Marco Grotteria and Jessica Wachter*
Commodity Connectedness
Francis Diebold*, Laura Liu and Kamil Yilmaz
Inefficiences and Externalities from Opportunistic Acquirers
Di Li, Lucian Taylor* and Wenyu Wang
Measuring the “Dark Matter” in Asset Pricing Models
Hui Chen, Winston Wei Dou* and Leonid Kogan
Using Stocks or Portfolios in Tests of Factor Models
Andrew Ang, Jun Liu and Krista Schwarz*
Can Decentralized Markets Be More Efficient?
Vincent Glode* and Christian Opp*
Do rare events explain CDX tranche spreads?
Sang Byung Seo and Jessica Wachter*
Absolving Beta of Volatility’s Effects
Jianan Liu, Robert Stambaugh* and Yu Yuan
Political Connections and the Informativeness of Insider Trades
Alan Jagolinzer, David Larcker, Gaizka Ormazabal and Daniel Taylor*
Volatility Risk Pass-Through
Riccardo Colacito, Mariano Croce, Yang Liu and Ivan Shaliastovich*
Sensitivity and Computational Complexity in Financial Networks
Brett Hemenway* and Sanjeev Khanna*
2016-2015
Estimating Global Bank Network Connectedness
Mert Demirer, Francis Diebold*, Laura Liu and Kamil Yilmaz
Mispricing Factors
Robert Stambaugh* and Yu Yuan
Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004-2014
Francis Diebold* and Kamil Yilmaz
Risk, Unemployment, and the Stock Market
Mete Kilic and Jessica Wachter*
Two Centuries of Price Return Momentum
Christopher Geczy* and Mikhail Samonov
Disagreement about Inflation and the Yield Curve
Paul Ehling, Michael Gallmeyer, Christian Heyerdahl-Larsen and Philipp Illeditsch*
Large-Scale Loan Portfolio Selection
Justin Sirignano, Gerry Tsoukalas* and Kay Giesecke
Equilibrium Asset Pricing with Leverage and Default
Joao Gomes* and Lukas Schmid
Good and Bad Variance Premia and Expected Returns
Mete Kilic and Ivan Shaliastovich*
Fracking, Drilling, and Asset Pricing
Erik Gilje*, Robert Ready and Nikolai Roussanov*
Subjective Dynamic Information Constraints
David Dillenberger*, R. Vijay Krishna and Philipp Sadowski
Volatility Risk Pass-Through
Riccardo Colacito, Mariano Croce, Yang Liu* and Ivan Shaliastovich*
Do Funds Make More When They Trade More
Lubos Pastor, Robert Stambaugh* and Lucian Taylor*
Identifying Long-Run Risks – A Bayesian Mixed-Frequency Approach
Frank Schorfheide*, Dongho Song and Amir Yaron*
2014-2015
Understanding the Behavior of Distressed Stocks
Yasser Boualam, Joao F. Gomes* and Colin Ward
Measuring Skill in the Mutual Fund Industry
Jonathan Berk and Jules van Binsbergen*
Volatility-of-Volatility Risk
Darien Huang and Ivan Shaliastovich*
Option prices in a model with stochastic disaster risk
Sang Byung Seo and Jessica Wachter*
Houses as ATMs? Mortgage Refinancing and Macroeconomic Uncertainty
Hui Chen, Michael Michaux and Nikolai Roussanov*
Do Funds Make More When They Trade More?
Lubos Pastor, Robert Stambaugh* and Lucian Taylor*
Assessing Asset Pricing Models using Revealed Preference
Jonathan Berk and Jules van Binsbergen*
Intangible Capital and the Investment-q Relation
Ryan Peters and Lucian Taylor*
Sensitivity and Computational Complexity in Financial Networks
Brett Hemenway* and Sanjeev Khanna*
CMBS and Conflicts of Interest
Maisy Wong*
Commodity Trade and the Carry Trade: A Tale of Two Countries
Robert Ready, Nikolai Roussanov* Colin Ward
Learning about Distress
Christian Opp*
Measuring Marginal q
Vito Gala*
Notes on Bonds: Liquidity at all Costs in the Great Recession
David Musto*, Greg Nini and Krista Schwarz*
Dynamic Portfolio Execution
Gerry Tsoukalas*, Jiang Wang and Kay Giesecke
Maximum likelihood estimation of the equity premium
Efstathios Avdis and Jessica A. Wachter*
2013-2014
Risk Adjustment and the Temporal Resolution of Uncertainty: Evidence from Options Markets
Darien Huang and Ivan Shaliastovich*
Scale and Skill in Active Management
Lubos Pastor, Robert F Stambaugh* and Lucian A. Taylor*
Media-Driven High Frequency Trading: Evidence from News Analytics
Bastian von Beschwitz, Donald B. Keim * and Massimo Massa
Adverse Selection and Intermediation Chains
Vincent Glode* and Christian Opp*
Option Prices in a Model with Stochastic Disaster Risk
Sang Byung Seo and Jessica A. Wachter*
Learning, Active Investors, and the Returns of Financially Distressed Firms
Christian Opp*
Risk Premia, Volatilities, and Sharpe Ratios in a Nonlinear Term Structure Model
Peter Feldhutter, Christian Heyerdahl-Larsen and Philipp Illeditsch*
Investment Noise and Trends
Robert Stambaugh *
Distributional Incentives in an Equilibrium Model of Domestic Sovereign Default
Pablo D’Erasmo and Enrique G. Mendoza*
Cautious Expected Utility and the Certainty Effect
Simone Cerreia-Vioglioy, David Dillenberger* and Pietro Ortolevax
Intangible Capital and the Investment-q Relation
Ryan Peters and Lucian Taylor*
Equity Vesting and Managerial Myopia
Alex Edmans*, Vivian W. Fang and Katharina A. Lewellen
Maximum likelihood estimation of the equity premium
Efstathios Avdis and Jessica A. Wachter*
Good and Bad Uncertainty: Macroeconomic and Financial Market Implications
Gill Segal, Ivan Shaliastovich* and Amir Yaron*
Commodity Trade and the Carry Trade: A Tale of Two Countries
Robert Ready, Nikolai Roussanov* and Colin Ward
Strategic News Releases in Equity Vesting Months
Alex Edmans*, Luis Goncalves-Pinto, Yanbo Wang and Moqi Xu
Governance and Comovement Under Common Ownership
Alex Edmans*, Doron Levit * and Devin Reilly
Dynamic Portfolio Execution
Detailed Proofs
Kay Giesecke, Gerry Tsoukalas* and Jiang Wang
Financing Through Asset Sales
Alex Edmans* and William Mann
The Value of Informativeness for Contracting
Pierre Chaigneau, Alex Edmans* and Daniel Gottlieb*
Employee Satisfaction, Labor Market Flexibility, and Stock Returns Around The World
Alex Edmans*, Lucius Li and Chendi Zhang
Volatility, the Macroeconomy and Asset Prices
Ravi Bansal, Dana Kiku, Ivan Shaliastovich* and Amir Yaron*
Optimal Time-Consistent Macroprudential Policy
Javier Bianchi and Enrique Mendoza*
2012-2013
Information Inertia
Scott Condie, Jayant Ganguli and Philipp Illeditsch*
Institutional Investors and Stock Market Liquidity: Trends and Relationships
Marshall E. Blume* and Donald B. Keim*
Rating Agencies in the Face of Regulation
Christian C. G. Opp*, Marcus M. Opp, Milton Harris (forthcoming, Journal of Financial Economics)
Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle
Robert F. Stambaugh*, Jianfeng Yu, and Yu Yuan
High Water Marks in Competitive Capital Markets
Susan E.K. Christoffersen, David K. Musto* and Bilge Yilmaz*
Disagreement about Inflation and the Yield Curve
Paul Ehling, Michael Gallmeyer, Christian Heyerdahl-Larsen and Philipp Illeditsch*
The Labor Market for Directors and Externalities in Corporate Governance
Doron Levit* and Nadya Malenko
Precision of Ratings
Anastasia V. Kartasheva and Bilge Yilmaz*
Durable Goods, Inflation Risk and the Equilibrium Asset Prices
Bjorn Eraker, Ivan Shaliastovich* and Wenyu Wang
Myopic Agency
John Y. Zhu*
Do Asset Price Bubbles have Negative Real Effects?
Indraneel Chakraborty, Itay Goldstein* and Andrew MacKinlay
Dynamic Debt Runs and Financial Fragility: Evidence from the 2007 ABCP Crisis
Enrique Schroth, Gustavo Suarez and Lucian Taylor*
Risk Premia, Volatilities, and Sharpe Ratios in a Non-Linear Term Structure Model
Peter Feldhutter, Christian Heyerdahl-Larsen and Philipp Illeditsch*
Does Junior Inherit? Refinancing and the Blocking Power of Second Mortgages
Philip Bond, Ronel Elul*, Sharon Garyn-Tai and David K. Musto*
The Real Costs of Disclosure
Alex Edmans*, Mirko Heinle* and Chong Huang
Equity Vesting and Managerial Myopia
Alex Edmans*, Vivian W. Fang and Katharina A. Lewellen
The Value of Informativeness for Contracting
Pierre Chaigneau and Alex Edmans*
Financing Through Asset Sales
Alex Edmans* and William Mann
Contracting with Synergies
Alex Edmans*, Itay Goldstein* and John Zhu*
Financial Crowding Out
John R. Graham, Mark T. Leary and Michael R. Roberts*
Commodity Trade and the Carry Trade: A Tale of Two Countries
Robert Ready, Nikolai Roussanov* and Colin Ward
2011-2012
On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms
Francis X. Diebold* and Kamil Yilmaz
CEO Wage Dynamics: Estimates from a Learning Model
Lucian A. Taylor*
Countercyclical Currency Risk Premia
Hanno Lustig, Nikolai Roussanov* and Adrien Verdelhan
Volatility, the Macroeconomy and Asset Prices
Ravi Bansal, Dana Kiku, Ivan Shaliastovich*, and Amir Yaron*
Authority, Consensus and Governance
Archishman Chakraborty and Bilge Yilmaz*
Soft Shareholder Activism
Doron Levit*
Common Errors: How to (and Not to) Control for Unobserved Heterogeneity
Todd A. Gormley* and David A. Matsa
Compensating Financial Experts
Vincent Glode* and Richard Lowery
Learning, Active Investors, and the Returns of Financially Distressed Firms
Christian C. G. Opp*
Status, Marriage, and Managers’ Attitudes to Risk
Nikolai Roussanov* and Pavel Savor
Financing Through Asset Sales
Alex Edmans* and William Mann
Beliefs about Inflation and the Term Structure of Interest Rates
Paul Ehling, Michael Gallmeyer, Christian Heyerdahl-Larsen and Philipp Illeditsch*
Rare Booms and Disasters in a Multi-sector Endowment Economy
Jerry Tsai and Jessica A. Wachter*
Submit a Paper
The Jacobs Levy Center generally issues calls for working papers and research grant proposals in the spring and fall, but additional entries are welcomed on a rolling basis. Submissions may be made here.