Published Papers

Acemoglu, D., Hassan, T.A., and Tahoun, A., “The Power of the Street: Evidence from Egypt’s Arab Spring.” Review of Financial Studies,” vol. 31, No. 1, 2018, 1-42.

Agarwal, S., Chomsisengphet, S., Mahoney, N., Stroebel, J., “A Simple Framework for Estimating Consumer Benefits from Regulating Hidden Fees.” Journal of Legal Studies 43 no. S2 (2014): S239–S252.

Agarwal, S., Chomsisengphet, S., Mahoney, N., Stroebel, J., “Regulating Consumer Financial Products: Evidence from Credit Cards.” Quarterly Journal of Economics 130 no. 1 (2015): 111–164.

Agarwal, Sumit, David Lucca, Amit Seru, and Francesco Trebbi. "Inconsistent Regulators: Evidence from Banking." The Quarterly Journal of Economics 129, no. 2 (2014): 889-938.

Aït-Sahalia, Y., Xiu, D., “Increased Correlation among Asset Classes: Are Volatility or Jumps to Blame, or Both?” Journal of Econometrics 194 (2016): 205–219.

Aït-Sahalia, Y., and Xiu, D., “Using Principal Component Analysis to Estimate a High Dimensional Factor Model with High-Frequency Data.” Journal of Econometrics, Vol. 201, Issue 2, December 2017, 384-99. 

Amstad, M. and He, Z., “Chinese Bond Market and Interbank Market” in Amstad, Marlene, Sun Guofeng and Wei Xiong (Ed): The Handbook of China’s Financial System (forthcoming)

Artavanis, N., Morse, A., Tsoutsoura, M., “Measuring Income Tax Evasion using Bank Credit: Evidence from Greece.” Quarterly Journal of Economics 131 no. 2 (2016): 739–798.

Birge, J.R., Parker, R.P., Wu, M.X., and Yang, S.A., “When Customers Anticipate Liquidation Sales: Managing Operations Under Financial Distress.” Manufacturing & Service Operations Management, Fall 2017, 19(4), 657-673.  

Budish, E., Cramton, P., Shim, J., “The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response.” Quarterly Journal of Economics 130 no. 4 (2015): 1547–1621.

Budish, E., Cramton, P., Shim, J., “Implementation Details for Frequent Batch Auctions: Slowing Down Markets to the Blink of an Eye.” American Economic Review: Papers and Proceedings 104 no. 5 (2014): 418–424."

Bushman, Robert M., Christopher D. Williams, and Regina Wittenberg-Moerman. "The Informational Role of the Media in Private Lending." Journal of Accounting Research 55, no. 1 (2016): 115-52.

Bustos, Paula and Caprettini, Bruno and Ponticelli, Jacopo. "Agricultural Productivity and Structural Transformation: Evidence from Brazil" American Economic Review Vol. 196, No. 6, June (2016): 1320-65.

Cassar, Gavin, and Joseph Gerakos. "Do risk management practices work? Evidence from hedge funds." Review of Accounting Studies 22, no. 3 (2017): 1084-121.

Chen, D., Moskowitz, T., Shue, K., “Decision-Making under the Gambler’s Fallacy: Evidence from Asylum Judges, Loan Officers, and Baseball Umpires.” Quarterly Journal of Economics 131 no. 3 (2016): 1181–1241.

Chen, H., Cui, R., He, Z., and Milbradt, K., “Quantifying Liquidity and Default Risks of Corporate Bonds over the Business Cycle,” 2018, Review of Financial Studies 31, pp. 852–897.

Cong, L.W., Gao, H., Ponticelli, J., and Yang, X., “Credit Allocation under Economic Stimulus: Evidence from China,” forthcoming, Review of Financial Studies  

Creal, D., Tsay, R., “High-dimensional Dynamic Stochastic Copula Models.” Journal of Econometrics 189 no. 2 (2015): 335–345.

David, A., Veronesi, P., “What Ties Return Volatilities to Price Valuations and Fundamentals?” Journal of Political Economy 121 no. 4 (2013): 682–746.

D'Acunto, F., Hoang, D., Paloviita, M., and Weber, M., "Cognitive Abilities and Inflation Expectations." American Economic Association Papers and Proceedings 109 (May 2019): 562–66. 

D'Acunto, F., Hoang, and Weber, M., "Unconventional Fiscal Policy." American Economic Association Papers and Proceedings 108 (May 2018): 519–23.

D'Acunto, F., Liu, R., Pflueger, C., and Weber, M., "Flexible Prices and Leverage," Journal of Financial Economics 129 no. 1 (July 2018): 46–68.

D’Acunto, Francesco, Daniel Hoang and Michael Weber, "The Effect of Unconventional Fiscal Policy on Consumption Expenditure", ifo DICE Report, Jan. 2017, Vol. 15, Issue 1, 09–11.

Fan, J., Furger, A., Xiu D., “Incorporating Global Industrial Classification Standard into Portfolio Allocation: A Simple Factor Based Large Covariance Matrix Estimator with High-Frequency Data.” Journal of Business & Economic Statistics 34 no. 4 (2016): 489–503.

Feng, G., Giglio, S., and Xiu, D., “Taming the Factor Zoo: A Test of New Factors,” forthcoming, Journal of Finance  

Fos, V., Tsoutsoura, M., “Shareholder Democracy in Play: Career Consequences of Proxy Contests.” Journal of Financial Economics 114 no. 2 (2014): 316–340.

Fos, V., Li, K., and Tsoutsoura, M., “Do Director Elections Matter?” The Review of Financial Studies, Vol. 31, issue 4, April 2018, 1499-1531.

Freyberger, J. and Neuhierl, A., “Dissecting Characteristics Nonparametrically,” Review of Financial Studies, forthcoming. 

Giglio, S., Maggiori, M., Stroebel, J., “No-Bubble Condition: Model-Free Tests in Housing Markets.” Econometrica 84 no. 3 (2016): 1047–1091.

Giglio, S., Maggiori, M., Stroebel, J., “Very Long-Run Discount Rates,” Quarterly Journal of Economics 130 no. 1 (2015): 1–53.

Giglio, S., Shue, K., “No News is News: Do Markets Underreact to Nothing?” Review of Financial Studies 27 no. 12 (2014): 3389–3440.

Giglio, S. and Kelly, B., “Excess Volatility: Beyond Discount Rates,” Quarterly Journal of Economics (2018), Vol. 133, Issue 1, 71-127.

"Gompers, P., Kaplan, S., Mukharlyamov, V., “What Do Private Equity Firms Say They Do?” Journal of Financial Economics 121 no. 3 (2016): 449–476."

Gurun, U., Matvos, G., Seru, A., “Advertising Expensive Mortgages,” Journal of Finance 71 no. 5 (2016): 2371–2416.

Hassan, T., “Country Size, Currency Unions, and International Asset Returns.” Journal of Finance 68 no. 6 (2013): 2269–2308.

Hassan, T., Mertens, T., “Information Aggregation in a Dynamic 'Stochastic General Equilibrium Model.” NBER Macroeconomics Annual 29 no. 1 (2014): 159–207.

Hassan, T., Fuchs-Schundeln, N., “Natural Experiments in Macroeconomics.” Handbook of Macroeconomics 2 (North Holland, 2016), 923–1012.

Hassan, T., Mertens, T., Zhang, T., “Not so Disconnected: Exchange Rates and the Capital Stock.” Journal of International Economics 99 (2016): S43–S57.

Hassan, T., Hollander, S., van Lent, L., and Tahoun, A., “Firm-Level Political Risk: Measurement and Effects,” The Quarterly Journal of Economics, forthcoming  

 He, Z., Kelly, B., and Manela, A., “Intermediary Asset Pricing: New Evidence from Many Asset Classes,” Journal of Financial Economics, (Oct. 2017), Vol. 126, Issue 1, 1-35.

Kaplan, S., Rauh, J., “Family, Education, and Sources of Wealth Among the Richest Americans, 1982–2012.” American Economic Review 103 no. 3 (2013): 158–162.

Kelly, B., Jiang, H., “Tail Risk and Asset Prices.” Review of Financial Studies 27 no. 10 (2014): 2841–2871.

Kelly, B., Lustig, H., Van Nieuwerburgh, S., “Too-Systemic-to Fail: What Option Markets Imply about Sector-Wide Government Guarantees.” American Economic Review 106, no. 6 (2016): 1278–1319.

Kelly, B., Pastor, L., Veronesi, P., “The Price of Political Uncertainty: Theory and Evidence from the Option Market.” Journal of Finance 71 no. 5 (2016): 2417–2480.

Kempf, E., “The Job Rating Game: Revolving Doors and Analyst Incentives,” Journal of Financial Economics, 2019, forthcoming.  

Kogan, Leonid and Papanikolaou, Dimitris and Seru, Amit and Stoffman, Noah. "Technological Innovation, Resource Allocation and Growth." Quarterly Journal of Economics, Volume 132, Issue 2, May (2017), Pages 665–712.

Koijen, R., Van Nieuwerburgh, S., Yogo, M., “Health and Mortality Delta: Assessing the Welfare Cost of Household Insurance Choice.” Journal of Finance 71 no. 2 (2016): 957–1010.

Koijen, R., Yogo, M., “The Cost of Financial Frictions for Life Insurers.” American Economic Review 105 no. 1 (2015): 445–475.

Koijen, R., Moskowitz, T., Pedersen, L.H., and Vrugt, E.B., “Carry.” Journal of Financial Economics, Nov. 2017.

Li, J., Xiu, D., “Generalized Method of Integrated Moments for High-Frequency Data.” Econometrica 84 no. 4 (2016): 1613–1633.

Lucca, D., Seru, A., Trebbi, F., “The Revolving Door and Worker Flows in Banking Regulation.” Journal of Monetary Economics 65(2014): 17–32.

Matvos, G., Seru, A., “Resource Allocation within Firms and Financial Market Dislocation: Evidence from Diversified Conglomerates.” Review of Financial Studies 27 no. 4 (2014): 1143–1189.

Matvos, G., Seru, A., and Silva, R.C., “Financial Market Frictions and Diversification,” (2018), Vol 127, Issue 1, 21-50.

Mian, A., Rao, K., Sufi, A., “Household Balance Sheets, Consumption, and the Economic Slump.” Quarterly Journal of Economics 128 no. 4 (2013): 1687–1726.

Mian, Atif R. and Sufi, Amir. "Who Bears the Cost of Recessions? The Role of House Prices and Household Debt." Handbook of Macroeconomics 2: 255-296.

Mian, Atif R. and Sufi, Amir, "Finance and Business Cycles: The Credit-Driven Household Demand Channel." Journal of Economics Perspectives 32 no. 3 (Summer 2018): 31–58.

Mian, A., Sufi, A., and Verner, E., “Household Debt and Business Cycles Worldwide”, Quarterly Journal of Economics, 2017: 132: 1755-1817

Mian, A., and Sufi, A., “Fraudulent Income Overstatement on Mortgage Applications during the Credit Expansion of 2002 to 2005,” Review of Financial Studies, 2017: 30: 1831-1864

Pastor, L., Veronesi, P., “Income Inequality and Asset Prices under Redistributive Taxation.” Journal of Monetary Economics 81 (2016): 1–20.

Pastor, L., Veronesi, P., “Political Uncertainty and Risk Premia.” Journal of Financial Economics 110 no. 3 (2013): 520–545.

Pástor, Ľuboš, Robert F. Stambaugh, and Lucian A. Taylor. "Do Funds Make More When They Trade More?" The Journal of Finance 72, no. 4 (2017): 1483-528

Pástor, Ľuboš, Robert F. Stambaugh, and Lucian A. Taylor. "Scale and skill in active management." Journal of Financial Economics 116, no. 1 (2015): 23-45

Shannon White and Abigail Sussman. "Invoking the Responsible Self and Enhancing Subjective Competence: Nudges to Increase Financial Engagement" Advances in Consumer Research Volume 44 (2016): 108-112.

Song, Z., Xiu, D., “A Tale of Two Option Markets: Pricing Kernels and Volatility Risk.” Journal of Econometrics 190 no. 1 (2016): 176–196.

Weber, M., "Cash Flow Duration and the Term Structure of Equity Returns." Journal of Financial Economics 128 no. 3 (June 2018): 486–503.