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.


Central Bank Digital Currency: Will Banks Survive?
Sergey Sarkisyan*

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

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

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

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*


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 Transmission through Bond Funds
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, Stock Prices, and Real Investment
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 versus Mutual Fund Equity 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 Economic Burden of Pension Shortfalls: Evidence from House Prices
Darren Aiello, Asaf Bernstein, Mahyar Kargar, Ryan Lewis, and Michael Schwert*

The Effects of Transparency on OTC Market-Making
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

Democratization, Inequality, and Risk Premia
Max Miller*

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

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

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

Implications of Money-Back Guarantees for Individual Retirement Accounts: Protection Then and Now
Vanya Horneff, Daniel Liebler, Raimond Maurer, and Olivia Mitchell*

Insurance against Long-Run Volatility Risk: Demand, Supply, and Pricing
Chuck Fang*

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

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

Social Security and Trends in 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*

Underreaction, Overreaction, and Dynamic Autocorrelation of Stock Returns
Hongye Guo*

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

*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: Some Macroeconomics
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? When Investors Want Price Discrimination
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 the “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*

Measuring 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, Volatilities, and Sharpe Ratios 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 the 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

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.