Working Paper Series

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.

2017-2018

Size and Value in China
Jianan Liu*, Robert Stambaugh* and Yu Yuan

Fund Tradeoffs
Lubos Pastor, Robert Stambaugh* and Lucian Taylor*

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

Venture Capital and the Macroeconomy
Christian Opp*

Anomalies Abroad: Beyond Data Mining
Xiaomeng Lu, Robert Stambaugh* and Yu Yuan

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

Volatility Risk Pass-Through
Riccardo Colacito, Mariano Croce, Yang Liu and Ivan Shaliastovich*

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*

*University of Pennsylvania Faculty/PhD Candidates