Published Papers
The
following papers have been published or are forthcoming. Clicking on any linked title will allow you
to review an abstract of the selected paper; some papers can also be downloaded
in PDF format.
1. "Construction
of Economic Index Numbers With An Incomplete Set of
Data" (with K. R. Kadiyala), Review of Economics and Statistics,
August 1983.
2. "The
Cash Management Implications of a Hedged Dividend Capture Strategy"
(with S. L. Lummer), Financial Management, Winter 1984.
3. "An
Examination of Event Dependency and Structural Change in Security Pricing
Models" (with L. J. Lockwood and S. L. Lummer),
Journal of Financial and Quantitative
Analysis, September 1985.
4. "The
Estimation of Missing Observations In Related Time Series Data: Further Results"
(with K. R. Kadiyala), Communications in Statistics, December 1985.
5. "A
Reexamination of the Covered Call Option Strategy for Corporate Cash Management
" (with S. L. Lummer), Financial Management, Summer 1986.
6. "Risk
Arbitrage and the Prediction of Successful Corporate Takeovers" (with
M. V. Raymond), Financial Management,
Autumn 1986.
7. "Hedged
Dividend Capture" (with S. L. Lummer),
8. "Does
the Composition of the Market Portfolio Really Matter?" (with G. D. Brown), Journal
of Portfolio Management, Winter 1987.
9. "Dutch
Auction Rate Preferred Stock" (with M. J. Alderson and S. L. Lummer), Financial
Management, Summer 1987.
10.
"On
the Use of Gold as a Fixed Income Security" (with J. S. Howe), Financial Analysts Journal, July-August
1987.
11. "The
Benefits of Insured Stocks for Corporate Cash Management" (with M. Statman), Advances in
Futures and Options Research Vol. 2, 1987.
12. "Market
Overreaction: Magnitude and Intensity" (with W. V. Harlow), Journal of Portfolio Management, Winter
1988.
13. "Risk
Aversion, Uncertain Information, and Market Efficiency" (with W. V.
Harlow and S. M. Tinic), Journal of Financial Economics, December 1988.
14. "Recent
Innovations in Interest Rate Risk Management and the Reintermediation
of Commercial Banking" (with D. J. Smith), Financial Management, Winter 1988.
15. "The
Swap-Driven Deal" (with D. J. Smith), Intermarket, March 1989.
16. "How
Rational Investors Deal With Uncertainty (Or, Reports of the Death of Efficient
Markets Theory are Greatly Exaggerated)"
(with W. V. Harlow and S. M. Tinic), Journal of Applied Corporate Finance,
Fall 1989. (Also reprinted in Financial Management Collection, Fall
1990, The Revolution in Corporate Finance
2e, Blackwell Publishers, 1992, and The
New Corporate Finance: Where Theory Meets Practice, McGraw Hill, 1993.)
17. "Understanding
and Assessing Financial Risk Tolerance: A Biological Perspective"
(with W. V. Harlow), Financial Analysts
Journal, November-December 1990.
(Also reprinted in CFA Candidate
Readings - Level II, 1992.)
18. "Forward
Swaps, Swap Options, and the Management of Callable Debt" (with D. J.
Smith), Journal of Applied Corporate
Finance, Winter 1990. (Also
reprinted in New Developments in
Commercial Banking, Blackwell Publishers, 1991; The Financial Derivatives Reader, Kolb Publishing, 1992, The Revolution in Corporate Finance 2e,
Blackwell Publishers, 1992, and The New
Corporate Finance: Where Theory Meets Practice, McGraw Hill, 1993.)
19. "The
Risk and Required Return of Common Stock Following Major Price Innovations"
(with W. V. Harlow and S. M. Tinic), Journal of Financial and Quantitative
Analysis, March 1993.
20. "Default
Risk and Innovations in the Design of Interest Rate Swaps" (with D. J.
Smith), Financial Management, Summer 1993.
21. "Institutional
Demand and Security Price Pressure: The Case of Corporate Spinoffs"
(with W. V. Harlow), Financial Analysts
Journal, September-October 1993.
22. "An
Empirical Analysis of Interest Rate Swap Spreads" (with W. V. Harlow
and D. J. Smith), Journal of Fixed Income,
March 1994.
23. "On
the Use of Implied Stock Volatilities in the Prediction of Successful Corporate
Takeovers" (with G. Barone-Adesi and W. V.
Harlow), Advances in Futures and Options
Research, Vol. 7, 1994.
24. "Of
Tournaments and Temptations: An Analysis of Managerial Incentives in the Mutual
Fund Industry" (with W. V. Harlow and L. T. Starks), Journal of Finance, March 1996.
25. "Getting
the Compensation Structure Right in the Mutual Fund Industry" (with L.
T. Starks), Strategy & Business,
Second Quarter 1997.
26. "The
‘Good Banker/Bad Banker’ Exercise" (with D. J. Smith), Derivatives Strategy, October 2000.
27. "Why
Constrain Your Mutual Fund Manager?" (with A.
Almazan, M. Carlson, and D. A. Chapman), Journal
of Financial Economics, August 2004.
28. “Corporate Governance, Incentives, and Industry Consolidations” (with A. Dittmar and H. Servaes), Review of Financial Studies, Spring 2005.
29. “The Right
Answer to the Wrong Question: Identifying Superior Active Portfolio Management”
(with W. V. Harlow), Journal of
Investment Management, Fourth Quarter 2006.
30. “Do
Endowment Funds Select the Optimal Mix of Active and Passive Risks?” (with C. Tiu), Journal
of Investment Management, First Quarter 2010.
31. “Asset
Allocation and Portfolio Performance: Evidence From University Endowment Funds”
(with L. Garlappi and C. Tiu), Journal of
Financial Markets, May 2010.
32. “How
Good are the Investment Options Provided by Defined Contribution
Plan Sponsors?” (with W. V. Harlow), International Journal of Portfolio Analysis
& Management, forthcoming.
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