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.

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.

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The Jacobs Levy Equity Management Center for Quantitative Financial Research Paper Series is also hosted on SSRN. To receive updates on new additions to the series, subscribe here (SSRN account required).


Are US Monetary Surprises Surprising? Evidence from Global Markets
Andrew Kane, Sergey Sarkisyn*, and Tasaneeya Viratyosin*

Bad News Bankers: Underwriter Reputation and Contagion in Pre-1914 Sovereign Debt Markets
Sasha Indarte*

Financial Reporting and Consumer Behavior
Suzie Noh, Eric So, and Christina Zhu*

Fresh Start or Fresh Water: The Impact of Environmental Lender Liability
Aymeric Bellon*

Gas, Guns, and Governments: Financial Costs of Anti-ESG Policies
Daniel Garrett* and Ivan Ivanov

Holding Foreign Insiders Accountable
Robert J. Jackson, Jr., Bradford (Lynch) Levy*, and Daniel Taylor*

Household Investment in 529 College Savings Plans and Information Processing Frictions
James Li, Olivia Mitchell*, and Christina Zhu*

Instant Payment Systems and Competition for Deposits
Sergey Sarkisyan*

Price Improvement and Payment for Order Flow: Evidence from A Randomized Controlled Trial
Bradford (Lynch) Levy*

Printing Away the Mortgages: Fiscal Inflation and the Post-Covid Housing Boom
William Diamond*, Tim Landvoigt*, and German Sanchez*

Retail Investors and ESG News
Qianqian Li, Edward M. Watts, and Christina Zhu*

Robustness Checks in Structural Analysis
Sylvain Catherine*, Mehran Ebrahimian, David Alexandre Sraer, and David Thesmar

Semiparametric Conditional Factor Models: Estimation and Inference
Qihui Chen, Nikolai Roussanov*, and Xiaoliang Wang*

The Cost of Intermediary Market Power for Distressed Borrowers
Winston Wei Dou*, Wei Wang, and Wenyu Wang

The Dark Side of Investor Conferences: Evidence of Managerial Opportunism
Brian Bushee*, Daniel Taylor*, and Christina Zhu*

The Demand for Long-Term Mortgage Contracts and the Role of Collateral
Lu Liu*

The Equity Premium With Undiversified Investors and Financial Frictions
Vadim Elenev and Tim Landvoigt*

The Return of Return Dominance: Decomposing the Cross-section of Prices
Ricardo De la O, Xiao Han, and Sean Myers*

The Value of Undiversified Shareholder Engagement
Felix Nockher*

*University of Pennsylvania Faculty/PhD Candidates


Asymmetric Information and Sovereign Debt: Theory Meets Mexican Data
Harold Cole*, Daniel Neuhann, and Guillermo Ordoñez*

Competition Network: Distress Spillovers and Predictable Industry Returns
Winston Dou*, Shane Johnson, Mingming Shao, and Wei Wu

Countercyclical Labor Income Risk and Portfolio Choices over the Life Cycle
Sylvain Catherine*

Credit Cycles with Market-Based Household Leverage
William Diamond* and Tim Landvoigt*

Diversity and Performance in Entrepreneurial Teams
Sophie Calder-Wang*, Paul Gompers, and Kanyuan (Kevin) Huang

Do Common Factors Really Explain the Cross-Section of Stock Returns?
Alejandro Lopez-Lira and Nikolai Roussanov*

Duration-Based Valuation of Corporate Bonds
Jules van Binsbergen* and Michael Schwert*

Economic Consequences of Transparency Regulation: Evidence from Bank Mortgage Lending
Allison Nicoletti* and Christina Zhu*

Financial Reporting and Employee Job Search
Ed deHaan, Nan Li, and Frank Zhou*

Foreign Influence in US Politics
Marco Grotteria, Max Miller*, and S.Lakshmi Naaraayanan

Monetary Policy Amplification through Bond Fund Flows
Chuck Fang*

Mutual Funds’ Discretionary Portfolio Disclosure Policies
James Li*

Pricing Public Information: The Role of Trade
Bradford (Lynch) Levy* and Felix Nockher*

Pricing Without Mispricing
Jianan Liu, Tobias Moskowitz, and Robert Stambaugh*

Risk-Free Rates and Convenience Yields Around the World
William Diamond* and Peter Van Tassel

Steering a Ship in Illiquid Waters: Active Management of Passive Funds
Naz Koont, Yiming Ma, Lubos Pastor, and Yao Zeng*

Technological Progress and Rent Seeking
Vincent Glode* and Guillermo Ordoñez*

Textual Analysis of Short-seller Research Reports
Jules van Binsbergen*, Xiao Han, and Alejandro Lopez-Lira

The Collateral Channel of Monetary Policy: Evidence from China
Hanming Fang*, Yongqin Wang, and Xian Wu

The Cost of Consumer Collateral: Evidence from Bunching
Benjamin Collier, Cameron Ellis, and Benjamin Keys*

The Impact of the Deposit Channel on the International Transmission of Monetary Shocks
Sergey Sarkisyan* and Tasaneeya Viratyosin*

Who Hedges Interest-rate Risk? Implications for Wealth Inequality
Sylvain Catherine*, Max Miller*, James D. Paron*, and Natasha Sarin*

*University of Pennsylvania Faculty/PhD Candidates


An Invisible Oncologist: Health Implications of Financing Frictions
Alexandr Kopytov, Tong Liu*, and Haotian Xiang

Arbitraging Covered Interest Rate Parity Deviations and Bank Lending
Lorena Keller*

Bank Debt, Mutual Fund Equity, and Swing Pricing in Liquidity Provision
Yiming Ma, Kairong Xiao, and Yao Zeng*

Discounting Climate Change Mitigating Projects: A Production-Based Model with Disasters
Maria Gelrud*

Dissecting Green Returns
Lubos Pastor, Robert Stambaugh*, and Lucian Taylor*

ETF Arbitrage Under Liquidity Mismatch
Kevin Pan and Yao Zeng*

Financial Fragility in the COVID-19 Crisis: The Case of Investment Funds in Corporate Bond Markets
Antonio Falato, Itay Goldstein*, and Ali Hortaçsu

Financial Information and Diverging Beliefs
Chris Armstrong*, Mirko Heinle*, and Irina Luneva*

Getting to the Core: Inflation Risks Within and Across Asset Classes
Xiang Fang, Yang Liu, and Nikolai Roussanov*

Heterogeneous-Agent Asset Pricing: Timing and Pricing Idiosyncratic Risks
James Paron*

Information Chasing versus Adverse Selection
Gabor Pinter, Chaojun Wang*, and Junyuan Zou

Interest Rates and the Design of Financial Contracts
Michael Roberts* and Michael Schwert*

Interested Investors and Intermediaries: When do ESG Concerns Lead to ESG Performance?
Henry Friedman and Mirko Heinle*

Liquidity and Volatility
Itamar Drechsler*, Alan Moreira, and Alexi Savov

Mutual Fund Flows and Performance in (Imperfectly) Rational Markets?
Nikolai Roussanov*, Hongxun Ruan, and Yanhao Wei

Mutual Fund Liquidity Transformation and Reverse Flight to Liquidity
Yiming Ma, Kairong Xiao, and Yao Zeng*

Mutual Fund Risk Shifting and Risk Anomalies
Xiao Han, Nikolai Roussanov*, and Hongxun Ruan

Neglected No More: Housing Markets, Mortgage Lending, and Sea Level Rise
Benjamin Keys* and Philip Mulder*

Retail Investor Trade and the Pricing of Earnings
Jeremy Michels*

Sea Level Rise Exposure and Municipal Bond Yields
Paul S. Goldsmith-Pinkham, Matthew Gustafson, Ryan Lewis, and Michael Schwert*

Should the U.S. Government Issue Floating Rate Notes?
Jonathan Hartley and Urban J. Jermann*

Size Discount and Size Penalty: Trading Costs in Bond Markets
Gabor Pinter, Chaojun Wang*, and Junyuan Zou

Stochastic Impatience and the Separation of Time and Risk Preferences
David Dillenberger*, Daniel Gottlieb, and Pietro Ortoleva

‘Superstitious’ Investors
Hongye Guo* and Jessica Wachter*

The Consequences of the Secular Decline of Interest Rate on Asset Prices
Sophia Hua*

The Effects of Transparency on OTC Market-Making
Ryan Lewis and Michael Schwert*

The Perceived Value of Pension Funding: Evidence from Border House Prices
Darren Aiello, Asaf Bernstein, Mahyar Kargar, Ryan Lewis, and Michael Schwert*

The Reserve Supply Channel of Unconventional Monetary Policy
William Diamond*, Zhengyang Jiang, and Yiming Ma

To Pool or Not to Pool? Security Design in OTC Markets
Vincent Glode*, Christian Opp, and Ruslan Sverchkov

Venture Capital’s ‘Me Too’ Moment
Sophie Calder-Wang*, Paul Gompers, and Patrick Sweeney

*University of Pennsylvania Faculty/PhD Candidates


Can the COVID Bailouts Save the Economy?
Vadim Elenev, Tim Landvoigt*, and Stijn Van Nieuwerburgh

Capital Controls and Risk Misallocation: Evidence from a Natural Experiment
Lorena Keller*

CLO Performance
Larry Cordell, Michael Roberts*, and Michael Schwert*

Common Fund Flows: Flow Hedging and Factor Pricing
Winston Wei Dou*, Leonid Kogan, and Wei Wu

Common Ownership and Innovation Efficiency
Xuelin Li, Tong Liu, and Lucian Taylor*

Competition, Profitability, and Discount Rates
Winston Wei Dou*, Yan Ji, and Wei Wu

Contracts with (Social) Benefits: The Implementation of Impact Investing
Christopher Geczy*, Jessica Jeffers, David Musto*, and Anne Tucker

Dissecting Bankruptcy Frictions
Winston Wei Dou*, Lucian Taylor*, Wei Wang, and Wenyu Wang

Do Managers Learn from Institutional Investors Through Direct Interactions?
Rachel Zhang*

Earnings Extrapolation And Predictable Stock Market Returns
Hongye Guo*

Economics of Leveraged Buyouts: Theory and Evidence from the UK Private Equity Industry
Alex Belyakov*

Executive Stock Options and Systemic Risk
Christopher Armstrong*, Allison Nicoletti*, and Frank Zhou*

Fearing the Fed: How Wall Street Reads Main Street
Tzuo-Hann Law, Dongho Song, and Amir Yaron*

Feedback and Contagion through Distressed Competition
Hui Chen, Winston Wei Dou*, Hongye Guo*, and Yan Ji

Financial Frictions and the Wealth Distribution
Jesus Fernandez-Villaverde*, Samuel Hurtado, and Galo Nuno

Is The United States A Lucky Survivor: A Hierarchical Bayesian Approach
Jules van Binsbergen*, Sophia Hua*, and Jessica Wachter*

Macro-Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models
Xu Cheng*, Winston Wei Dou*, and Zhipeng Liao

Man vs. Machine Learning: The Term Structure of Earnings Expectations and Conditional Biases
Jules van Binsbergen*, Xiao Han, and Alejandro Lopez-Lira*

Marketing Mutual Funds
Nikolai Roussanov*, Hongxun Ruan, and Yanhao Wei

Money-Back Guarantees in Individual Retirement Accounts: Still a Good Deal?
Vanya Horneff, Daniel Liebler, Raimond Maurer, and Olivia Mitchell*

Optimal, Truthful, and Private Securities Lending
Emily Diana*, Michael Kearns*, Seth Neel*, and Aaron Roth*

Social Security and Trends in Wealth Inequality
Sylvain Catherine*, Max Miller*, and Natasha Sarin*

Sovereign Default and the Decline in Interest Rates
Max Miller*, James Paron*, and Jessica Wachter*

Student Loans and Social Mobility
Mehran Ebrahimian*

Sustainable Investing in Equilibrium
Lubos Pastor, Robert Stambaugh*, and Lucian Taylor*

Synergizing Ventures
Ufuk Akcigit, Emin Dinlersoz, Jeremy Greenwood*, and Veronika Penciakova

The Favorite-Longshot Midas
Etan Green*, Haksoo Lee, and David Rothschild

The Term Structure of Equity Risk Premia
Ravi Bansal, Shane Miller, Dongho Song, and Amir Yaron*

Undisclosed SEC Investigations
Terrence Blackburne, John Kepler, Phillip Quinn, and Daniel Taylor*

Who values democracy?
Max Miller*

*University of Pennsylvania Faculty/PhD Candidates


A Model of Two Days: Discrete News and Asset Prices
Jessica Wachter* and Yicheng Zhu*

Audit Process, Private Information, and Insider Trading
Salman Arif, John Kepler, Joseph Schroeder, and Daniel Taylor*

Comovement in Arbitrage Limits
Jianan Liu*

Countercyclical Labor Income Risk and Portfolio Choices over the Life-Cycle
Sylvain Catherine*

Do Risk Disclosures Matter When It Counts? Evidence from the Swiss Franc Shock
Luzi Hail*, Maximilian Muhn, and David Oesch

Evolution of Debtor Rights
Daniel Kim*

Financing Ventures
Jeremy Greenwood*, Pengfei Han, and Juan Sanchez

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

Inalienable Customer Capital, Corporate Liquidity, and Stock Returns
Winston Wei Dou*, Yan Ji, David Reibstein*, and Wei Wu

Mind the Gap: Disentangling Credit and Liquidity in Risk Spreads
Krista Schwarz*

Risk Factors that Matter: Textual Analysis of Risk Disclosures for the Cross-Section of Returns
Alejandro Lopez-Lira*

Risk Free Interest Rates
Jules van Binsbergen*, William Diamond*, and Marco Grotteria

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

Skill and Profit in Active Management
Robert Stambaugh*

Stochastic Impatience and the Separation of Time and Risk Preferences
David Dillenberger*, Daniel Gottlieb, and Pietro Ortolevax

Why Trade Over-the-Counter?
Tomy Lee and Chaojun Wang*

*University of Pennsylvania Faculty/PhD Candidates


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

Cyclical Dispersion in Expected Defaults
Joao Gomes*, Marco Grotteria*, and Jessica Wachter*

Financial markets with trade on risk and return
Kevin Smith*

Good Booms, Bad Booms
Gary Gorton and Guillermo Ordoñez*

Political Connections and the Informativeness of Insider Trades
Alan Jagolinzer, David Larcker, Gaizka Ormazabal, and Daniel Taylor*

Pricing Long-Lived Securities in Dynamic Endowment Economies
Jerry Tsai and Jessica Wachter*

Real Anomalies
Jules van Binsbergen* and Christian Opp*

Should Corporate Bond Trading Be Centralized?
Sebastien Plante*

Tight Money-Tight Credit: Coordination Failure in the Conduct of Monetary and Financial Policies
Julio Carrillo, Enrique Mendoza*, Victoria Nuguer, and Jessica Roldan-Pena

Venture Capital and the Macroeconomy
Christian Opp*

*University of Pennsylvania Faculty/PhD Candidates


Absolving Beta of Volatility’s Effects
Jianan Liu, Robert Stambaugh* and Yu Yuan

Can Decentralized Markets Be More Efficient?
Vincent Glode* and Christian Opp*

Commodity Connectedness
Francis Diebold*, Laura Liu, and Kamil Yilmaz

Do Rare Events Explain CDX Tranche Spreads?
Sang Byung Seo and Jessica Wachter*

Inefficiencies and Externalities from Opportunistic Acquirers
Di Li, Lucian Taylor*, and Wenyu Wang

Measuring ‘Dark Matter’ in Asset Pricing Models
Hui Chen, Winston Wei Dou*, and Leonid Kogan

Noisy Active Management
Robert Stambaugh*

Sensitivity and Computational Complexity in Financial Networks
Brett Hemenway* and Sanjeev Khanna*

Using Stocks or Portfolios in Tests of Factor Models
Andrew Ang, Jun Liu and Krista Schwarz*

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

*University of Pennsylvania Faculty/PhD Candidates


Disagreement about Inflation and the Yield Curve
Paul Ehling, Michael Gallmeyer, Christian Heyerdahl-Larsen, and Philipp Illeditsch*

Do Funds Make More When They Trade More?
Lubos Pastor, Robert Stambaugh*, and Lucian Taylor*

Equilibrium Asset Pricing with Leverage and Default
Joao Gomes* and Lukas Schmid

Estimating Global Bank Network Connectedness
Mert Demirer, Francis Diebold*, Laura Liu, and Kamil Yilmaz

Fracking, Drilling, and Asset Pricing: Estimating the Economic Benefits of the Shale Revolution
Erik Gilje*, Robert Ready, and Nikolai Roussanov*

Good and Bad Variance Premia and Expected Returns
Mete Kilic and Ivan Shaliastovich*

Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach
Frank Schorfheide*, Dongho Song, and Amir Yaron*

Large-Scale Loan Portfolio Selection
Justin Sirignano, Gerry Tsoukalas*, and Kay Giesecke

Mispricing Factors
Robert Stambaugh* and Yu Yuan

Risk, Unemployment, and the Stock Market: A Rare-Event-Based Explanation of Labor Market Volatility
Mete Kilic and Jessica Wachter*

Subjective Dynamic Information Constraints
David Dillenberger*, R. Vijay Krishna, and Philipp Sadowski

Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004-2014
Francis Diebold* and Kamil Yilmaz

Two Centuries of Price Return Momentum
Christopher Geczy* and Mikhail Samonov

*University of Pennsylvania Faculty/PhD Candidates


Assessing Asset Pricing Models Using Revealed Preference
Jonathan Berk and Jules van Binsbergen*

CMBS and Conflicts of Interest: Evidence from a Natural Experiment on Servicer Ownership
Maisy Wong*

Commodity Trade and the Carry Trade: A Tale of Two Countries
Robert Ready, Nikolai Roussanov*, Colin Ward

Dynamic Portfolio Execution
Gerry Tsoukalas*, Jiang Wang, and Kay Giesecke

Houses as ATMs? Mortgage Refinancing and Macroeconomic Uncertainty
Hui Chen, Michael Michaux, and Nikolai Roussanov*

Intangible Capital and the Investment-q Relation
Ryan Peters and Lucian Taylor*

Learning, Optimal Default, and the Pricing of Distress Risk
Christian Opp*

Maximum Likelihood Estimation of the Equity Premium
Efstathios Avdis and Jessica A. Wachter*

Marginal q
Vito Gala*

Measuring Skill in the Mutual Fund Industry
Jonathan Berk and Jules van Binsbergen*

Notes on Bonds: Liquidity at all Costs in the Great Recession
David Musto*, Greg Nini, and Krista Schwarz*

Option Prices in a Model with Stochastic Disaster Risk
Sang Byung Seo and Jessica Wachter*

Understanding the Behavior of Distressed Stocks
Yasser Boualam, Joao F. Gomes*, and Colin Ward

Volatility-of-Volatility Risk
Darien Huang and Ivan Shaliastovich*

*University of Pennsylvania Faculty/PhD Candidates


Adverse Selection and Intermediation Chains
Vincent Glode* and Christian Opp*

Cautious Expected Utility and the Certainty Effect
Simone Cerreia-Vioglioy, David Dillenberger* and Pietro Ortolevax

Distributional Incentives in an Equilibrium Model of Domestic Sovereign Default
Pablo D’Erasmo and Enrique Mendoza*

Employee Satisfaction, Labor Market Flexibility, and Stock Returns Around The World
Alex Edmans*, Lucius Li, and Chendi Zhang

Equity Vesting and Investment
Alex Edmans*, Vivian Fang, and Katharina Lewellen

Financing Through Asset Sales
Alex Edmans* and William Mann

Good and Bad Uncertainty: Macroeconomic and Financial Market Implications
Gill Segal, Ivan Shaliastovich*, and Amir Yaron*

Governance and Comovement Under Common Ownership
Alex Edmans*, Doron Levit*, and Devin Reilly

Investment Noise and Trends
Robert Stambaugh *

Learning, Active Investors, and the Returns of Financially Distressed Firms
Christian Opp*

Optimal Time-Consistent Macroprudential Policy
Javier Bianchi and Enrique Mendoza*

Risk Adjustment and the Temporal Resolution of Uncertainty: Evidence from Options Markets
Darien Huang and Ivan Shaliastovich*

Risk Premia and Volatilities in a Nonlinear Term Structure Model
Peter Feldhutter, Christian Heyerdahl-Larsen, and Philipp Illeditsch*

Scale and Skill in Active Management
Lubos Pastor, Robert F Stambaugh*, and Lucian A. Taylor*

Strategic News Releases in Equity Vesting Months
Alex Edmans*, Luis Goncalves-Pinto, Yanbo Wang, and Moqi Xu

The Value of Informativeness for Contracting
Pierre Chaigneau, Alex Edmans*, and Daniel Gottlieb*

Volatility, the Macroeconomy and Asset Prices
Ravi Bansal, Dana Kiku, Ivan Shaliastovich*, and Amir Yaron*

*University of Pennsylvania Faculty/PhD Candidates


Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle
Robert Stambaugh*, Jianfeng Yu, and Yu Yuan

Contracting with Synergies
Alex Edmans*, Itay Goldstein*, and John Zhu*

Do Asset Price Bubbles have Negative Real Effects?
Indraneel Chakraborty, Itay Goldstein*, and Andrew MacKinlay

Does Junior Inherit? Refinancing and the Blocking Power of Second Mortgages
Philip Bond, Ronel Elul*, Sharon Garyn-Tai, and David Musto*

Durable Goods, Inflation Risk, and Equilibrium Asset Prices
Bjorn Eraker, Ivan Shaliastovich*, and Wenyu Wang

Dynamic Debt Runs and Financial Fragility: Evidence from the 2007 ABCP Crisis
Enrique Schroth, Gustavo Suarez, and Lucian Taylor*

Financial Crowding Out
John Graham, Mark Leary, and Michael Roberts*

High Water Marks in Competitive Capital Markets
Susan Christoffersen, David Musto*, and Bilge Yilmaz*

Information Inertia
Scott Condie, Jayant Ganguli, and Philipp Illeditsch*

Institutional Investors and Stock Market Liquidity: Trends and Relationships
Marshall Blume* and Donald Keim*

Myopic Agency
John Y. Zhu*

Precision of Ratings
Anastasia V. Kartasheva and Bilge Yilmaz*

Rating Agencies in the Face of Regulation
Christian Opp*, Marcus Opp, and Milton Harris

The Labor Market for Directors and Externalities in Corporate Governance
Doron Levit* and Nadya Malenko

The Real Costs of Disclosure
Alex Edmans*, Mirko Heinle*, and Chong Huang

*University of Pennsylvania Faculty/PhD Candidates


Authority, Consensus and Governance
Archishman Chakraborty and Bilge Yilmaz*

Beliefs about Inflation and the Term Structure of Interest Rates
Paul Ehling, Michael Gallmeyer, Christian Heyerdahl-Larsen, and Philipp Illeditsch*

CEO Wage Dynamics: Estimates from a Learning Model
Lucian Taylor*

Common Errors: How to (and Not to) Control for Unobserved Heterogeneity
Todd Gormley* and David Matsa

Compensating Financial Experts
Vincent Glode* and Richard Lowery

Countercyclical Currency Risk Premia
Hanno Lustig, Nikolai Roussanov*, and Adrien Verdelhan

On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms
Francis Diebold* and Kamil Yilmaz

Rare Booms and Disasters in a Multi-Sector Endowment Economy
Jerry Tsai and Jessica Wachter*

Soft Shareholder Activism
Doron Levit*

Status, Marriage, and Managers’ Attitudes to Risk
Nikolai Roussanov* and Pavel Savor

*University of Pennsylvania Faculty/PhD Candidates