2013 Research Projects

  • Too Systemic To Fail: What Option Markets Imply About Sector-Wide Government Guarantees (Kelly)
  • Generalized Method of Integrated Moments for High-Frequency Data (Li/Xiu)
  • The Price of Political Uncertainty: Theory and Evidence from the Option Market (Kelly/Pastor/Veronesi)
  • Regulating Consumer Financial Products: Evidence from Credit Cards (Agarwal/Chomsisengphet/Mahoney/Stroebel)
  • Shareholder Democracy in Play: Career Consequences of Proxy Contests (Fos/Tsoutsoura)
  • Nonparametric Estimation of the Leverage Effect using Information from Derivatives Markets (Kalnina/Xiu)
  • Incentives in Recessions (Benson/Li/Shue)
  • Advertising Expensive Mortgages (Gurun/Matvos/Seru)
  • Currency Manipulation (Hassan/Mertens/Zhang)
  • Very Long-Run Discount Rates (Giglio/Maggiori/Stroebel)
  • Does Risk Management Work? (Cassar/Gerakos)
  • High Dimensional Dynamic Stochastic Copula Models (Creal/Tsay)
  • Increased Correlation Among Asset Classes: Are Volatility or Jumps to Blame, or Both? (Ait-sahalia/Xiu)