Research

The Fama-Miller Center is designed to encourage more academic research in finance, a discipline that constantly evolves. The last few decades have brought an explosion of new markets, instruments, and financial institutions. We have seen rapid changes in the nature of and access to information. In this environment, the Fama-Miller Center has become a vital resource.

"We intend to make sure Chicago Booth remains the top global destination for finance researchers," Sunil Kumar, dean of the school, has said. "Finance is one of our core strengths, and we have no intention of resting on our laurels."

Browse working papers from the Fama-Miller Center »

Research activities at the Fama-Miller Center currently focus on the following topics:

  • Not So Disconnected: Exchange Rates and the Capital Stock (Mertens/Hassan)
  • Incorporating Global Industrial Classification Standard into Portfolio Allocation: A Simple Factor-Based Large Covariance Matrix Estimator with High Frequency Data (Fan/Furger/Xiu)
  • Is Family More Important in Bad Times? (Lagaras/Tsoutsoura)
  • Resolution of Policy Uncertainty and Sudden Declines in Volatility (Amengual/Xiu)
  • Increased Correlation Among Asset Classes: Are Volatility or Jumps to Blame, or Both? (Ait-sahalia/Xiu)
  • High Dimensional Dynamic Stochastic Copula Models (Creal/Tsay)
  • Does Risk Management Work? (Cassar/Gerakos)
  • Very Long-Run Discount Rates (Giglio/Maggiori/Stroebel)
  • Currency Manipulation (Hassan/Mertens/Zhang)
  • Advertising Expensive Mortgages (Gurun/Matvos/Seru)
  • Incentives in Recessions (Benson/Li/Shue)
  • Nonparametric Estimation of the Leverage Effect using Information from Derivatives Markets (Kalnina/Xiu)
  • The Power of the Street: Evidence from Egypt's Arab Spring (Acemoglu/Hassan/Tahoun)
  • Shareholder Democracy in Play: Career Consequences of Proxy Contests (Fos/Tsoutsoura)
  • Regulating Consumer Financial Products: Evidence from Credit Cards (Agarwal/Chomsisengphet/Mahoney/Stroebel)
  • The Price of Political Uncertainty: Theory and Evidence from the Option Market (Kelly/Pastor/Veronesi)
  • Generalized Method of Integrated Moments for High-Frequency Data (Li/Xiu)
  • Too Systemic To Fail: What Option Markets Imply About Sector-Wide Government Guarantees (Kelly)
  • Credit Rationing, Debt Covenants, and Investment (He/Matvos)

  • Corporate Finance and Labor Supply: Evidence from MBA Interview Auctions (Kamenica/Shue)

  • Debt Enforcement Around the World: A Bank's Perspective (Liberti)

  • Critical Vendors and Bankruptcy (Ramanadh, Booth PhD Finance Student)

  • Public Information and Price Discovery (Santosh, Booth PhD Finance Student)

  • Overnight Jumps, Co-Jumps, and News (Xiu)

  • Economic Rents in the Arab Spring (Acemoglu/Hassan/Tahoun)

  • Money Market Fund Managers Risk Taking (Chi/Picca, Booth Joint Program in Financial Economics PhD Students)

  • Examine Chinese Mutual Fund Performance (Chi, Booth Joint Program in Financial Economics PhD Student)

  • Behavior of Chinese IPO Firms (Chi, Booth Joint Program in Financial Economics PhD Student/Xu, Booth Finance PhD Student)

  • Corporate Philanthropy: Agency Cost or Value Enhancing? (Gibbs/Marr/Verbenko)

  • Compare Two Recessions and Bankruptcy Waves (Lu, Booth Finance PhD Student)

  • Default Risk Premia (Nozawa, Booth Joint Program in Financial Economics PhD Student)

  • Sell-Side Research and Institutional Investors' Portfolio Choices (Staisiunas, Booth Finance PhD Student)

  • Political Uncertainty and Asset Prices (Veronesi)

  • High Frequency Intermediation (Weller, Booth Joint Program in Financial Economics PhD Student)

  • Investor Sophistication and Market Evolution: Learning Patterns in Nascent Investing Populations and Implications for Emerging Market Performance (Yenkey)

  • Executive Compensation and the Incentives to Increase Firm Risk (Shue)

  • Delving into Risk Premia: Reconciling Evidence from the S&P and VIX Derivatives (Amengual/Xiu)

  • Macroeconomic Analysis of Economic and Financial News (Kelly/Koijen/Taddy)

  • Political Uncertainty and Risk Premia (Pastor/Veronesi)

  • Top Executive Characteristics and Circumstances (Kaplan/Sorensen)

  • Secured Debt over Time (Benmelech/Raghuram)

  • Tax Evasion Across Industries: Evidence from Greece (Artavanis/Morse/Tsoutsoura)

  • The High-Frequency Trading Arms Race: Implications for Financial Market Design (Budish)

  • Executives' "Off-the-Job" Behavior, Corporate Culture, and Financial Reporting Risk (Davidson/Dey/Smith)

  • How Do Hedge Funds Manage Portfolio Risk? (Cassar/Gerakos)

  • Asset Managers: Portfolio Performance and Allocative Implications (Gerakos/Morse)

  • Country Size, Currency Unions, and International Asset Returns (Hassan)

  • Housing, Labor Mobility, and Unemployment (Mian/Sufi)

  • Carry Trade: Beyond the Forward Premium Puzzle (Hassan/Mano)

  • Updating the Data on the Pastor-Stambaugh Liquidity Factors through the End of 2010 (Pastor)

  • The Multinational Advantage (Creal/Robinson/Rogers/Zechman)

  • Technological Innovation, Reallocation, and Growth (Seru)

  • Understanding the Drivers of Corporate Financial Structure: Evidence from the Introduction of US Corporate Income Taxation (Matvos/Seru)

  • Resource Allocation within Firms and Financial Market Dislocation: Evidence from Diversified Conglomerates (Matvos/Seru)

  • Financial Markets and Macroeconomic Dynamics with Heterogeneous Firms (Hassan/Ossa)