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Publications

by members of

Schulich School of Business
York University
Toronto, Canada

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. Find also a compilation of publications from alumni here.

This page is updated in the first days of each month.

| Working papers | Journal articles | Books | Chapters |

Working papers

Undated material is listed at the end

2024

  1. Jan L. M. Dhaene & Moshe A. Milevsky, 2024. "Egalitarian pooling and sharing of longevity risk', a.k.a. 'The many ways to skin a tontine cat," Papers 2402.00855, arXiv.org.
  2. Moshe A. Milevsky & Thomas S. Salisbury, 2024. "The Riccati Tontine: How to Satisfy Regulators on Average," Papers 2402.14555, arXiv.org.

2022

  1. Rute M. Caeiro & Alexander Coutts & Teresa Molina-Millan & Pedro C. Vicente, 2022. "Follow the leader: community-based health insurance in West Africa," NOVAFRICA Working Paper Series wp2206, Universidade Nova de Lisboa, Nova School of Business and Economics, NOVAFRICA.
  2. Alexander Coutts & Teresa Molina-Millan & Pedro C. Vicente, 2022. "Belief systems and health behaviors in Guinea-Bissau," NOVAFRICA Working Paper Series wp2207, Universidade Nova de Lisboa, Nova School of Business and Economics, NOVAFRICA.

2021

  1. Armand, Alex & Coutts, Alexander & Vicente, Pedro & Vilela, Dr. Ines, 2021. "Measuring corruption in the field using behavioral games," CEPR Discussion Papers 16596, C.E.P.R. Discussion Papers.
  2. Moshe A. Milevsky & Thomas S. Salisbury, 2021. "Refundable income annuities: Feasibility of money-back guarantees," Papers 2111.01239, arXiv.org.

2019

  1. Alex Armand & Alexander Coutts & Pedro C. Vicente & Ines Vilela, 2019. "Does Information Break the Political Resource Curse? Experimental Evidence from Mozambique," IFS Working Papers W19/01, Institute for Fiscal Studies.
  2. Alexander Coutts, 2019. "Identifying communication spillovers in lab in the field experiments," NOVAFRICA Working Paper Series wp1903, Universidade Nova de Lisboa, Nova School of Business and Economics, NOVAFRICA.
  3. Mohamed Gomaa & Kiridaran Kanagaretnam & Stuart Mestelman & Mohamed Shehata, 2019. "Experimental Evidence on the Impact of Replacing the Incurred Credit Loss Model of Bank Loan Loss Provisions with the International or US Accounting Standards Boards’ Expected Credit Loss Models," Department of Economics Working Papers 2019-10, McMaster University.

2018

  1. Huaxiong Huang & Moshe A. Milevsky & Thomas S. Salisbury, 2018. "Retirement spending and biological age," Papers 1811.09921, arXiv.org.
  2. Moshe A. Milevsky & Thomas S. Salisbury & Alexander Chigodaev, 2018. "The implied longevity curve: How long does the market think you are going to live?," Papers 1811.09932, arXiv.org.
  3. Moshe A. Milevsky, 2018. "Swimming with Wealthy Sharks: Longevity, Volatility and the Value of Risk Pooling," Papers 1811.11326, arXiv.org.

2017

  1. Alexander Coutts, 2017. "Good news and bad news are still news: Experimental evidence on belief updating," NOVAFRICA Working Paper Series wp1703, Universidade Nova de Lisboa, Nova School of Business and Economics, NOVAFRICA.
  2. Ming Dong & David Hirshleifer & Siew Hong Teoh, 2017. "Misvaluation and Corporate Inventiveness," NBER Working Papers 24142, National Bureau of Economic Research, Inc.

2016

  1. Kohamed Gomaa & Kiridaran Kanagaretnam & Stuart Mestelman & Mohamed Shehata, 2016. "Test-bedding the Replacement of the Incurred Credit Loss Model with an Expected Credit Loss Model: The Case of Trade Receivables," Department of Economics Working Papers 2016-05, McMaster University.
  2. M. A. Milevsky & T. S. Salisbury, 2016. "Equitable retirement income tontines: Mixing cohorts without discriminating," Papers 1610.09384, arXiv.org.
  3. Moshe A. Milevsky & Thomas S. Salisbury, 2016. "Optimal retirement income tontines," Papers 1610.10078, arXiv.org.

2015

  1. Coutts, Alexander, 2015. "Testing Models of Belief Bias: An Experiment," MPRA Paper 67507, University Library of Munich, Germany.
  2. Moshe A. Milevsky & Virginia R. Young, 2015. "Annuitization and asset allocation," Papers 1506.05990, arXiv.org.

2014

  1. Dong, Ming, 2014. "Market reaction to transparency: An empirical study on life insurance demand in Europe," ICIR Working Paper Series 17/14, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).

2013

  1. Kiridaran Kanagaretnam & Stuart Mestelman & S. M. Khalid Nainar & Mohamed Shehata, 2013. "Transparency, Empowerment, Disempowerment and Trust in an Investment Environment," Department of Economics Working Papers 2013-09, McMaster University, revised Oct 2013.
  2. H. Huang & M. A. Milevsky & T. S. Salisbury, 2013. "Optimal initiation of a GLWB in a variable annuity: no arbitrage approach," Papers 1304.1821, arXiv.org.
  3. Moshe A. Milevsky & Thomas S. Salisbury, 2013. "Optimal Retirement Tontines for the 21st Century: With Reference to Mortality Derivatives in 1693," Papers 1307.2824, arXiv.org.

2012

  1. Dong, Ming & Hirshleifer, David & Teoh, Siew Hong, 2012. "Overvalued equity and financing decisions," MPRA Paper 40221, University Library of Munich, Germany.
  2. Kiridaran Kanagaretnam & Stuart Mestelman & S. M. Khalid Nainar & Mohamed Shehata, 2012. "Trust and Reciprocity, Empowerment and Transparency," Department of Economics Working Papers 2012-12, McMaster University.
  3. Huaxiong Huang & Moshe A. Milevsky & Thomas S. Salisbury, 2012. "Optimal retirement consumption with a stochastic force of mortality," Papers 1205.2295, arXiv.org.
  4. Huaxiong Huang & Moshe A. Milevsky & Thomas S. Salisbury, 2012. "A different perspective on retirement income sustainability: the blueprint for a ruin contingent life annuity (RCLA)," Papers 1205.2513, arXiv.org.
  5. Huaxiong Huang & Moshe A. Milevsky & Thomas S. Salisbury, 2012. "Valuation and hedging of the ruin-contingent life annuity (RCLA)," Papers 1205.3686, arXiv.org.

2009

  1. Mark J. Kamstra & Robert J. Shiller, 2009. "The Case for Trills: Giving the People and Their Pension Funds a Stake in the Wealth of the Nation," Cowles Foundation Discussion Papers 1717, Cowles Foundation for Research in Economics, Yale University.
  2. Kiridaran Kanagaretnam & Stuart Mestelman & Khalid Nainar & Mohamed Shehata, 2009. "The Impact of Social Value Orientation and Risk Attitudes on Trust and Reciprocity," Department of Economics Working Papers 2008-06, McMaster University.
  3. Kiridaran Kanagaretnam & Stuart Mestelman & S.M.Khalid Nainar & Mohamed Shehata, 2009. "Trust and Reciprocity with Transparency and Repeated Interactions," Department of Economics Working Papers 2009-03, McMaster University.

2008

  1. Erhan Bayraktar & Moshe Milevsky & David Promislow & Virginia Young, 2008. "Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Life Annuities," Papers 0802.3250, arXiv.org.

2007

  1. Dong, Ming & Hirshleifer, David & Teoh, Siew Hong, 2007. "Stock market misvaluation and corporate investment," MPRA Paper 3109, University Library of Munich, Germany, revised 05 May 2007.
  2. Moshe A. Milevsky & S. David Promislow & Virginia R. Young, 2007. "Financial Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Pricing Pure Endowments," Papers 0705.1302, arXiv.org.

2006

  1. Kiridaran Kanagaretnam & Stuart Mestelman & Khalid Nainar & Mohamed Shehata, 2006. "Trust, Reciprocity and the Roles of Sex, Value Orientation and Risk Attitudes in an Investment Game," Department of Economics Working Papers 2006-04, McMaster University.

2005

  1. Roger Ibbotson & Peng Chen & Moshe Milevsky & Xingnong Zhu, 2005. "Human Capital, Asset Allocation, and Life Insurance," Yale School of Management Working Papers amz2513, Yale School of Management, revised 01 Nov 2008.

2004

  1. Ian Garrett & Mark Kamstra & Lisa Kramer, 2004. "Winter blues and time variation in the price of risk," FRB Atlanta Working Paper 2004-8, Federal Reserve Bank of Atlanta.
  2. Glen Donaldson & Mark Kamstra, 2004. "Volatility forecasts, trading volume, and the ARCH versus option-implied volatility trade-off," FRB Atlanta Working Paper 2004-6, Federal Reserve Bank of Atlanta.
  3. Ming Dong & Chris Robinson & Chris Veld, 2004. "Why Individual Investors Want Dividends," Finance 0412009, University Library of Munich, Germany.
  4. MING DONG & David Hirshleifer & SCOTT RICHARSON & Siew Hong Teoh, 2004. "Does Investor Misvaluation Drive the Takeover Market?," Finance 0412002, University Library of Munich, Germany.
  5. Ming Dong & David Hirshleifer, 2004. "A Generalized Earnings-Based Stock Valuation Model," Finance 0412008, University Library of Munich, Germany.
  6. Sanjai Bhagat & Ming Dong & David A. Hirshleifer & Robert B. Noah, 2004. "Do Tender Offers Create Value? New Methods and Evidence," Finance 0412011, University Library of Munich, Germany.

2003

  1. Glen Donaldson & Mark Kamstra & Lisa Kramer, 2003. "Stare down the barrel and center the crosshairs: Targeting the ex ante equity premium," FRB Atlanta Working Paper 2003-4, Federal Reserve Bank of Atlanta.

2002

  1. Cao Melanie & Shouyong Shi, 2002. "Signalling in the Internet Craze of Initial Public Offerings," Working Papers shouyong-02-03, University of Toronto, Department of Economics.
  2. Mark Kamstra & Lisa Kramer & Maurice D. Levi, 2002. "Winter blues: a SAD stock market cycle," FRB Atlanta Working Paper 2002-13, Federal Reserve Bank of Atlanta.

2001

  1. Mark Kamstra, 2001. "Rational exuberance: The fundamentals of pricing firms, from blue chip to “dot com”," FRB Atlanta Working Paper 2001-21, Federal Reserve Bank of Atlanta.
  2. Donaldson, R.G. & Kamstra, M., 2001. "Volatility Forecasts, Trading Volume and the ARCH vs. Option-Implied Volatility Tradeoff," Discussion Papers dp01-1, Department of Economics, Simon Fraser University.
  3. Zhiwu Chen & Ming Dong, 2001. "Stock Valuation and Investment Strategies," Yale School of Management Working Papers ysm212, Yale School of Management, revised 01 Oct 2001.

2000

  1. Melanie Cao & Shouyong Shi, 2000. "Screening, Bidding, and the Loan Market Tightness," Center for Financial Institutions Working Papers 00-09, Wharton School Center for Financial Institutions, University of Pennsylvania.

1999

  1. Cao, M. & Wei, J., 1999. "Pricing Weather Derivative : An Equilibrium Approach," Rotman School of Management - Finance 99-002, Rotman School of Management, University of Toronto.
  2. Melanie Cao & Shouyong Shi, 1999. "Market Integration, Matching and Wages," Cahiers de recherche CREFE / CREFE Working Papers 79, CREFE, Université du Québec à Montréal.
  3. Melanie Cao & Shouyong Shi, 1999. "Publicity And The Clustering Of Ipo Underpricing," Working Paper 990, Economics Department, Queen's University.
  4. Mark Kamstra & R. Glen Donaldson, 1999. "The Accuracy of Fundamental Stock Market Price Estimates and a Refinement to the Donaldson-Kamstra Fundamental Estimate," Computing in Economics and Finance 1999 954, Society for Computational Economics.
  5. Kamstra, M., 1999. "Dividends, Earnings and Fundamental Valuation," Discussion Papers dp99-11, Department of Economics, Simon Fraser University.

1998

  1. Kamstra, M.J. & Kramer, L.A. & Levi, M.D., 1998. "Losing Sleep at the Market: The Daylight-Savings Anomaly," Discussion Papers dp98-04, Department of Economics, Simon Fraser University.
  2. Kamstra, M., 1998. "The Ex Post Rational Price is Certainly Ex Post, It Might Be Rational, But Is It Useful?," Discussion Papers dp98-05, Department of Economics, Simon Fraser University.
  3. Kamstra, M. & Kennedy, P. & Suan, T.-K., 1998. "Combining Bond Rating Forecasts Using Logit," Discussion Papers dp98-10, Department of Economics, Simon Fraser University.

1997

  1. Melanie Cao, 1997. "Equilibrium Valuation Of Options On The Market Portfolio With Stochastic Volatility And Return Predictability," Working Paper 961, Economics Department, Queen's University.
  2. Melanie Cao, 1997. "Equilibrium Valuation Of Currency Options In A Small Open Economy," Working Paper 960, Economics Department, Queen's University.

1996

  1. Donaldson, R.G. & Kamstra, M., 1996. "Forecasting Fundamental Asset Return Distributions and Tests for Excess Volatility and Bubbles," Discussion Papers dp96-02, Department of Economics, Simon Fraser University.

1995

  1. Harrald, P. & Kamstra, M., 1995. "Evolving Artificial Neural Networks to Combine Financial Forecasts," Discussion Papers dp95-04, Department of Economics, Simon Fraser University.

1992

  1. Shum, P., 1992. "Corporate Taxes and Investment Horizon," Papers 93-5, York (Canada) - Department of Economics.

1991

  1. Kamstra, M., 1991. "A Neural Network Test for Heteroskedasticity," Discussion Papers dp91-06, Department of Economics, Simon Fraser University.

Undated

  1. R. Glen Donaldson & Mark Kamstra, "undated". "Forecasting Fundamental Asset Return Distributions," Computing in Economics and Finance 1997 176, Society for Computational Economics.

Journal articles

2023

  1. Armand, Alex & Coutts, Alexander & Vicente, Pedro C. & Vilela, Inês, 2023. "Measuring corruption in the field using behavioral games," Journal of Public Economics, Elsevier, vol. 218(C).
  2. Milevsky, Moshe A., 2023. "Adam Smith's reversionary annuity: money's worth, default options and auto-enrollment," Financial History Review, Cambridge University Press, vol. 30(2), pages 162-197, August.

2022

  1. Coutts, Alexander, 2022. "Identifying communication spillovers in lab-in-the-field experiments," Journal of Development Economics, Elsevier, vol. 157(C).
  2. Milevsky, Moshe A. & Salisbury, Thomas S., 2022. "Refundable income annuities: Feasibility of money-back guarantees," Insurance: Mathematics and Economics, Elsevier, vol. 105(C), pages 175-193.

2021

  1. Au, Shiu-Yik & Dong, Ming & Tremblay, Andreanne, 2021. "Employee Flexibility, Exogenous Risk, and Firm Value," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 56(3), pages 853-884, May.

2020

  1. Alex Armand & Alexander Coutts & Pedro C. Vicente & Inês Vilela, 2020. "Does Information Break the Political Resource Curse? Experimental Evidence from Mozambique," American Economic Review, American Economic Association, vol. 110(11), pages 3431-3453, November.
  2. Jin, Justin Y. & Kanagaretnam, Kiridaran & Wang, Wenting, 2020. "Societal trust and banks’ funding structure," Journal of Behavioral and Experimental Finance, Elsevier, vol. 27(C).
  3. Kanagaretnam, Kiridaran & Mawani, Amin & Shi, Guifeng & Zhou, Zejiang, 2020. "Impact of social capital on tone ambiguity in banks’ 10-K filings," Journal of Behavioral and Experimental Finance, Elsevier, vol. 28(C).
  4. Dal Maso, Lorenzo & Kanagaretnam, Kiridaran & Lobo, Gerald J. & Mazzi, Francesco, 2020. "Is accounting enforcement related to risk-taking in the banking industry?," Journal of Financial Stability, Elsevier, vol. 49(C).
  5. Kiridaran Kanagaretnam & Xiangting Kong & Albert Tsang, 2020. "Home and foreign host country IFRS adoption and cross-delisting," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 51(6), pages 1008-1033, August.
  6. Milevsky, Moshe A., 2020. "Swimming with wealthy sharks: longevity, volatility and the value of risk pooling," Journal of Pension Economics and Finance, Cambridge University Press, vol. 19(2), pages 217-246, April.
  7. Milevsky, Moshe A., 2020. "Calibrating Gompertz in reverse: What is your longevity-risk-adjusted global age?," Insurance: Mathematics and Economics, Elsevier, vol. 92(C), pages 147-161.

2019

  1. Coutts, Alexander, 2019. "Testing models of belief bias: An experiment," Games and Economic Behavior, Elsevier, vol. 113(C), pages 549-565.
  2. Alexander Coutts, 2019. "Good news and bad news are still news: experimental evidence on belief updating," Experimental Economics, Springer;Economic Science Association, vol. 22(2), pages 369-395, June.
  3. Dong, Ming & Dutordoir, Marie & Veld, Chris, 2019. "How can we improve inferences from surveys? A new look at the convertible debt questions from the Graham and Harvey survey data," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 61(C), pages 213-222.
  4. Kanagaretnam, Kiridaran & Lobo, Gerald J. & Wang, Chong & Whalen, Dennis J., 2019. "Cross-Country Evidence on the Relationship between Societal Trust and Risk-Taking by Banks," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 54(1), pages 275-301, February.
  5. Jin, Justin Yiqiang & Kanagaretnam, Kiridaran & Liu, Yi & Liu, Ning, 2019. "Banks’ loan growth, loan quality, and social capital," Journal of Behavioral and Experimental Finance, Elsevier, vol. 21(C), pages 83-102.
  6. Kiridaran Kanagaretnam & Zongfeng Xiu & Zejiang Zhou, 2019. "Does Culture Matter for Corporate Philanthropic Giving?," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 55(10), pages 2365-2387, August.
  7. Mohamed Gomaa & Kiridaran Kanagaretnam & Stuart Mestelman & Mohamed Shehata, 2019. "Testing the Efficacy of Replacing the Incurred Credit Loss Model with the Expected Credit Loss Model," European Accounting Review, Taylor & Francis Journals, vol. 28(2), pages 309-334, March.

2018

  1. Justin Jin & Kiridaran Kanagaretnam & Gerald J. Lobo, 2018. "Discretion in bank loan loss allowance, risk taking and earnings management," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(1), pages 171-193, March.
  2. Jin, Justin Yiqiang & Kanagaretnam, Kiridaran & Liu, Yi, 2018. "Banks' funding structure and earnings quality," International Review of Financial Analysis, Elsevier, vol. 59(C), pages 163-178.
  3. Kiridaran Kanagaretnam & Jimmy Lee & Chee Yeow Lim & Gerald J. Lobo, 2018. "Cross-Country Evidence on the Role of Independent Media in Constraining Corporate Tax Aggressiveness," Journal of Business Ethics, Springer, vol. 150(3), pages 879-902, July.
  4. Kiridaran Kanagaretnam & Abdul-Rahman Khokhar & Amin Mawani, 2018. "Linking Societal Trust and CEO Compensation," Journal of Business Ethics, Springer, vol. 151(2), pages 295-317, August.
  5. Kiridaran Kanagaretnam & Jimmy Lee & Chee Yeow Lim & Gerald Lobo, 2018. "Societal trust and corporate tax avoidance," Review of Accounting Studies, Springer, vol. 23(4), pages 1588-1628, December.
  6. Moshe A. Milevsky & Huaxiong Huang, 2018. "The Utility Value of Longevity Risk Pooling: Analytic Insights," North American Actuarial Journal, Taylor & Francis Journals, vol. 22(4), pages 574-590, October.

2017

  1. Jin, Justin Yiqiang & Kanagaretnam, Kiridaran & Lobo, Gerald J. & Mathieu, Robert, 2017. "Social capital and bank stability," Journal of Financial Stability, Elsevier, vol. 32(C), pages 99-114.
  2. Huang, H. & Milevsky, M.A. & Salisbury, T.S., 2017. "Retirement spending and biological age," Journal of Economic Dynamics and Control, Elsevier, vol. 84(C), pages 58-76.
  3. Huaxiong Huang & Moshe A. Milevsky & Virginia R. Young, 2017. "Optimal Purchasing of Deferred Income Annuities When Payout Yields are Mean-Reverting," Review of Finance, European Finance Association, vol. 21(1), pages 327-361.

2016

  1. Kanagaretnam, Kiridaran & Zhang, Gaiyan & Zhang, Sanjian Bill, 2016. "CDS pricing and accounting disclosures: Evidence from U.S. bank holding corporations around the recent financial crisis," Journal of Financial Stability, Elsevier, vol. 22(C), pages 33-44.
  2. Narat Charupat & Mark J. Kamstra & Moshe A. Milevsky, 2016. "The Sluggish and Asymmetric Reaction of Life Annuity Prices to Changes in Interest Rates," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 83(3), pages 519-555, September.
  3. Milevsky, Moshe A. & Salisbury, Thomas S., 2016. "Equitable Retirement Income Tontines: Mixing Cohorts Without Discriminating," ASTIN Bulletin, Cambridge University Press, vol. 46(3), pages 571-604, September.
  4. Huang, Huaxiong & Milevsky, Moshe A., 2016. "Longevity risk and retirement income tax efficiency: A location spending rate puzzle," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 50-62.

2015

  1. Gomaa, Mohamed & Kanagaretnam, Kiridaran & Mestelman, Stuart & Shehata, Mohamed, 2015. "Exercising empowerment in an investment environment," Journal of Behavioral and Experimental Finance, Elsevier, vol. 7(C), pages 33-41.
  2. Kanagaretnam, Kiridaran & Lobo, Gerald J. & Wang, Chong & Whalen, Dennis J., 2015. "Religiosity and risk-taking in international banking," Journal of Behavioral and Experimental Finance, Elsevier, vol. 7(C), pages 42-59.
  3. Kiridaran Kanagaretnam & Gerald Lobo & Chong Wang, 2015. "Religiosity and Earnings Management: International Evidence from the Banking Industry," Journal of Business Ethics, Springer, vol. 132(2), pages 277-296, December.
  4. Milevsky, Moshe A. & Salisbury, Thomas S., 2015. "Optimal retirement income tontines," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 91-105.

2014

  1. Kanagaretnam, Kiridaran & Lim, Chee Yeow & Lobo, Gerald J., 2014. "Effects of international institutional factors on earnings quality of banks," Journal of Banking & Finance, Elsevier, vol. 39(C), pages 87-106.
  2. Kanagaretnam, Kiridaran & Mestelman, Stuart & Nainar, S.M. Khalid & Shehata, Mohamed, 2014. "Transparency and empowerment in an investment environment," Journal of Business Research, Elsevier, vol. 67(9), pages 2030-2038.
  3. H. Huang & M. A. Milevsky & T. S. Salisbury, 2014. "Valuation and Hedging of the Ruin-Contingent Life Annuity (RCLA)," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 81(2), pages 367-395, June.
  4. Moshe A. Milevsky, 2014. "Rethinking RRIF Withdrawals: New Rates and Methodologies for New Realities," Canadian Tax Journal, Canadian Tax Foundation, vol. 62(4), pages 971-983.
  5. Milevsky, Moshe A., 2014. "Portfolio choice and longevity risk in the late seventeenth century: a re-examination of the first English tontine," Financial History Review, Cambridge University Press, vol. 21(3), pages 225-258, December.
  6. Huang, H. & Milevsky, M.A. & Salisbury, T.S., 2014. "Optimal initiation of a GLWB in a variable annuity: No Arbitrage approach," Insurance: Mathematics and Economics, Elsevier, vol. 56(C), pages 102-111.

2013

  1. Melanie Cao & Rong Wang, 2013. "Optimal CEO Compensation with Search: Theory and Empirical Evidence," Journal of Finance, American Finance Association, vol. 68(5), pages 2001-2058, October.
  2. Jin, Justin Yiqiang & Kanagaretnam, Kiridaran & Lobo, Gerald J., 2013. "Unintended consequences of the increased asset threshold for FDICIA internal controls: Evidence from U.S. private banks," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4879-4892.
  3. Jin, Justin Yiqiang & Kanagaretnam, Kiridaran & Lobo, Gerald J. & Mathieu, Robert, 2013. "Impact of FDICIA internal controls on bank risk taking," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 614-624.

2012

  1. Ming Dong & Igor Loncarski & Jenke ter Horst & Chris Veld, 2012. "What Drives Security Issuance Decisions: Market Timing, Pecking Order, or Both?," Financial Management, Financial Management Association International, vol. 41(3), pages 637-663, September.
  2. Ming Dong & David Hirshleifer & Siew Hong Teoh, 2012. "Overvalued Equity and Financing Decisions," The Review of Financial Studies, Society for Financial Studies, vol. 25(12), pages 3645-3683.
  3. Kanagaretnam, Kiridaran & Mestelman, Stuart & Khalid Nainar, S.M. & Shehata, Mohamed, 2012. "The impact of empowering investors on trust and trustworthiness," Journal of Economic Psychology, Elsevier, vol. 33(3), pages 566-577.
  4. Kiridaran Kanagaretnam & Gerald Lobo & Robert Mathieu, 2012. "CEO stock options and analysts’ forecast accuracy and bias," Review of Quantitative Finance and Accounting, Springer, vol. 38(3), pages 299-322, April.
  5. Huang, Huaxiong & Milevsky, Moshe A. & Salisbury, Thomas S., 2012. "Optimal retirement consumption with a stochastic force of mortality," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 282-291.

2011

  1. Ming Dong & Jean‐Sébastien Michel & J. Ari Pandes, 2011. "Underwriter Quality and Long‐Run IPO Performance," Financial Management, Financial Management Association International, vol. 40(1), pages 219-251, March.
  2. Kanagaretnam, Kiridaran & Sarkar, Sudipto, 2011. "Managerial compensation and the underinvestment problem," Economic Modelling, Elsevier, vol. 28(1-2), pages 308-315, January.
  3. Jin, Justin Yiqiang & Kanagaretnam, Kiridaran & Lobo, Gerald J., 2011. "Ability of accounting and audit quality variables to predict bank failure during the financial crisis," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 2811-2819, November.
  4. Kiridaran Kanagaretnam & Chee Yeow Lim & Gerald J Lobo, 2011. "Effects of national culture on earnings quality of banks," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 42(6), pages 853-874, August.
  5. Chris Bart & Y. Lilian Chan & Kiridaran Kanagaretnam, 2011. "What Questions Do Board Members in Public Service Organizations Ask about Executive Compensation?," Accounting Perspectives, John Wiley & Sons, vol. 10(2), pages 83-108, June.
  6. Kiridaran Kanagaretnam & Gopal V. Krishnan & Gerald J. Lobo & Robert Mathieu, 2011. "Audit Quality and the Market Valuation of Banks’ Allowance for Loan Losses," Accounting Perspectives, John Wiley & Sons, vol. 10(3), pages 161-193, September.
  7. Huang, Huaxiong & Milevsky, Moshe A., 2011. "Lifetime ruin minimization: should retirees hedge inflation or just worry about it?," Journal of Pension Economics and Finance, Cambridge University Press, vol. 10(3), pages 363-387, July.

2010

  1. Cao, Melanie & Wei, Jason, 2010. "Option market liquidity: Commonality and other characteristics," Journal of Financial Markets, Elsevier, vol. 13(1), pages 20-48, February.
  2. Donaldson, R. Glen & Kamstra, Mark J. & Kramer, Lisa A., 2010. "Estimating the Equity Premium," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(4), pages 813-846, August.
  3. Kamstra Mark J & Shiller Robert J., 2010. "Trills Instead of T-Bills: It's Time to Replace Part of Government Debt with Shares in GDP," The Economists' Voice, De Gruyter, vol. 7(3), pages 1-5, September.
  4. Kanagaretnam, Kiridaran & Lim, Chee Yeow & Lobo, Gerald J., 2010. "Auditor reputation and earnings management: International evidence from the banking industry," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2318-2327, October.
  5. Kanagaretnam, Kiridaran & Mestelman, Stuart & Nainar, S.M. Khalid & Shehata, Mohamed, 2010. "Trust and reciprocity with transparency and repeated interactions," Journal of Business Research, Elsevier, vol. 63(3), pages 241-247, March.
  6. Moshe A. Milevsky & Keke Song, 2010. "Do Markets Like Frozen Defined Benefit Pensions? An Event Study," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 77(4), pages 893-909, December.

2009

  1. Kamstra, Mark J. & Kramer, Lisa A. & Levi, Maurice D., 2009. "Is it the weather? Comment," Journal of Banking & Finance, Elsevier, vol. 33(3), pages 578-582, March.
  2. Kanagaretnam, Kiridaran & Mathieu, Robert & Shehata, Mohamed, 2009. "Usefulness of comprehensive income reporting in Canada," Journal of Accounting and Public Policy, Elsevier, vol. 28(4), pages 349-365, July.
  3. Kanagaretnam, Kiridaran & Krishnan, Gopal V. & Lobo, Gerald J., 2009. "Is the market valuation of banks' loan loss provision conditional on auditor reputation?," Journal of Banking & Finance, Elsevier, vol. 33(6), pages 1039-1047, June.
  4. Kanagaretnam, Kiridaran & Mestelman, Stuart & Nainar, Khalid & Shehata, Mohamed, 2009. "The impact of social value orientation and risk attitudes on trust and reciprocity," Journal of Economic Psychology, Elsevier, vol. 30(3), pages 368-380, June.
  5. Kiridaran Kanagaretnam & Gerald Lobo & Emad Mohammad, 2009. "Are Stock Options Grants to CEOs of Stagnant Firms Fair and Justified?," Journal of Business Ethics, Springer, vol. 90(1), pages 137-155, November.
  6. Milevsky, Moshe A., 2009. "Plight of the Fortune Tellers: Why We Need to Manage Financial Risk Differently. Riccardo Rebonato. Princeton University Press, 2007, ISBN 978-0-691-13361-4, 304 pages," Journal of Pension Economics and Finance, Cambridge University Press, vol. 8(3), pages 399-400, July.
  7. Bayraktar, Erhan & Milevsky, Moshe A. & David Promislow, S. & Young, Virginia R., 2009. "Valuation of mortality risk via the instantaneous Sharpe ratio: Applications to life annuities," Journal of Economic Dynamics and Control, Elsevier, vol. 33(3), pages 676-691, March.

2008

  1. Mark Kamstra & Rpbert J. Shiller, 2008. "The Case for Trills: Giving Canadians and their Pension Funds a Stake in the Wealth of the Nation," C.D. Howe Institute Commentary, C.D. Howe Institute, issue 271, August.
  2. Kiridaran Kanagaretnam & Gerald J. Lobo & Emad Mohammad, 2008. "Determinants and consequences of large CEO pay," International Journal of Accounting and Finance, Inderscience Enterprises Ltd, vol. 1(1), pages 61-82.
  3. Huaxiong Huang & Moshe A. Milevsky & Jin Wang, 2008. "Portfolio Choice and Life Insurance: The CRRA Case," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 75(4), pages 847-872, December.
  4. Milevsky, Moshe A. & Young, Virginia R., 2008. "Erratum to: "Annuitization and asset allocation": [Journal of Economic Dynamics & Control 31 (9) (2007) 3138-3177]," Journal of Economic Dynamics and Control, Elsevier, vol. 32(11), pages 3743-3744, November.
  5. Huang, Huaxiong & Milevsky, Moshe A., 2008. "Portfolio choice and mortality-contingent claims: The general HARA case," Journal of Banking & Finance, Elsevier, vol. 32(11), pages 2444-2452, November.

2007

  1. James Pesando & Pauline Shum, 2007. "The law of one price, noise and “irrational exuberance”: the auction market for Picasso prints," Journal of Cultural Economics, Springer;The Association for Cultural Economics International, vol. 31(4), pages 263-277, December.
  2. Kanagaretnam, Kiridaran & Lobo, Gerald J. & Whalen, Dennis J., 2007. "Does good corporate governance reduce information asymmetry around quarterly earnings announcements?," Journal of Accounting and Public Policy, Elsevier, vol. 26(4), pages 497-522.
  3. Milevsky, Moshe A. & Young, Virginia R., 2007. "Annuitization and asset allocation," Journal of Economic Dynamics and Control, Elsevier, vol. 31(9), pages 3138-3177, September.
  4. Milevsky, Moshe A. & Young, Virginia R., 2007. "The timing of annuitization: Investment dominance and mortality risk," Insurance: Mathematics and Economics, Elsevier, vol. 40(1), pages 135-144, January.

2006

  1. Cao, Melanie & Shi, Shouyong, 2006. "Signaling in the Internet craze of initial public offerings," Journal of Corporate Finance, Elsevier, vol. 12(4), pages 818-833, September.
  2. Shum, Pauline & Faig, Miquel, 2006. "What explains household stock holdings?," Journal of Banking & Finance, Elsevier, vol. 30(9), pages 2579-2597, September.
  3. Ming Dong & David Hirshleifer & Scott Richardson & Siew Hong Teoh, 2006. "Does Investor Misvaluation Drive the Takeover Market?," Journal of Finance, American Finance Association, vol. 61(2), pages 725-762, April.
  4. M. A. Milevsky & S. D. Promislow & V. R. Young, 2006. "Killing the Law of Large Numbers: Mortality Risk Premiums and the Sharpe Ratio," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 73(4), pages 673-686, December.
  5. Moshe A. Milevsky & Kristen S. Moore & Virginia R. Young, 2006. "Asset Allocation And Annuity‐Purchase Strategies To Minimize The Probability Of Financial Ruin," Mathematical Finance, Wiley Blackwell, vol. 16(4), pages 647-671, October.
  6. Milevsky, Moshe A. & Salisbury, Thomas S., 2006. "Financial valuation of guaranteed minimum withdrawal benefits," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 21-38, February.

2005

  1. Cao, Melanie & Wei, Jason, 2005. "Stock market returns: A note on temperature anomaly," Journal of Banking & Finance, Elsevier, vol. 29(6), pages 1559-1573, June.
  2. Garrett, Ian & Kamstra, Mark J. & Kramer, Lisa A., 2005. "Winter blues and time variation in the price of risk," Journal of Empirical Finance, Elsevier, vol. 12(2), pages 291-316, March.
  3. R. Glen Donaldson & Mark J. Kamstra, 2005. "Volatility Forecasts, Trading Volume, And The Arch Versus Option‐Implied Volatility Trade‐Off," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 28(4), pages 519-538, December.
  4. Mark Kamstra & Moshe Milevsky, 2005. "Waiting for returns: using space-time duality to calibrate financial diffusions," Quantitative Finance, Taylor & Francis Journals, vol. 5(3), pages 237-244.
  5. Ming Dong & David Hirshleifer, 2005. "A Generalized Earnings‐Based Stock Valuation Model," Manchester School, University of Manchester, vol. 73(s1), pages 1-31, September.
  6. Dong, Ming & Robinson, Chris & Veld, Chris, 2005. "Why individual investors want dividends," Journal of Corporate Finance, Elsevier, vol. 12(1), pages 121-158, December.
  7. Bhagat, Sanjai & Dong, Ming & Hirshleifer, David & Noah, Robert, 2005. "Do tender offers create value? New methods and evidence," Journal of Financial Economics, Elsevier, vol. 76(1), pages 3-60, April.
  8. Ming Dong, 2005. "Option pricing with a non‐zero lower bound on stock price," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 25(8), pages 775-794, August.
  9. Kiridaran Kanagaretnam & Gerald J. Lobo & Dennis J. Whalen, 2005. "Relationship Between Analyst Forecast Properties and Equity Bid‐Ask Spreads and Depths Around Quarterly Earnings Announcements," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 32(9‐10), pages 1773-1799, November.
  10. Kanagaretnam, Kiridaran & Lobo, Gerald J. & Yang, Dong-Hoon, 2005. "Determinants of signaling by banks through loan loss provisions," Journal of Business Research, Elsevier, vol. 58(3), pages 312-320, March.
  11. Moshe A. Milevsky, 2005. "The Implied Longevity Yield: A Note on Developing an Index for Life Annuities," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 72(2), pages 302-320, June.
  12. Moshe Milevsky, 2005. "Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)," North American Actuarial Journal, Taylor & Francis Journals, vol. 9(4), pages 109-122.

2004

  1. Kiridaran Kanagaretnam & Robert Mathieu & Ramachandran Ramanan, 2004. "Outside director remuneration and the decision to grant CEO stock options," International Journal of Business Governance and Ethics, Inderscience Enterprises Ltd, vol. 1(2/3), pages 137-146.
  2. Kiridaran Kanagaretnam & Gerald J. Lobo & Dong†Hoon Yang, 2004. "Joint Tests of Signaling and Income Smoothing through Bank Loan Loss Provisions," Contemporary Accounting Research, John Wiley & Sons, vol. 21(4), pages 843-884, December.
  3. Susan Gensemer & Kiridaran Kanagaretnam, 2004. "Alliances and cost declaration," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 25(3), pages 121-136.
  4. Moshe A. Milevsky & S. David Promislow, 2004. "Florida's Pension Election: From DB to DC and Back," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 71(3), pages 381-404, September.
  5. Huang, H. & Milevsky, M. A. & Wang, J., 2004. "Ruined moments in your life: how good are the approximations?," Insurance: Mathematics and Economics, Elsevier, vol. 34(3), pages 421-447, June.
  6. Moshe Milevsky, 2004. "A diffusive wander through human life," Quantitative Finance, Taylor & Francis Journals, vol. 4(2), pages 21-23.

2003

  1. Mark J. Kamstra & Lisa A. Kramer & Maurice D. Levi, 2003. "Winter Blues: A SAD Stock Market Cycle," American Economic Review, American Economic Association, vol. 93(1), pages 324-343, March.
  2. Mark Kamstra, 2003. "Pricing firms on the basis of fundamentals," Economic Review, Federal Reserve Bank of Atlanta, vol. 88(Q1), pages 49-70.
  3. Kanagaretnam, Kiridaran & Lobo, Gerald J & Mathieu, Robert, 2003. "Managerial Incentives for Income Smoothing through Bank Loan Loss Provisions," Review of Quantitative Finance and Accounting, Springer, vol. 20(1), pages 63-80, January.
  4. Kiridaran Kanagaretnam & Robert Mathieu & Alex Thevaranjan, 2003. "An economic analysis of the use of student evaluations: implications for universities," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 24(1), pages 1-13.
  5. Moshe A. Milevsky, 2003. "Book Review," Journal of Finance, American Finance Association, vol. 58(4), pages 1719-1722, August.
  6. S. Browne & M. A. Milevsky & T. S. Salisbury, 2003. "Asset Allocation and the Liquidity Premium for Illiquid Annuities," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 70(3), pages 509-526, September.
  7. Moshe A. Milevsky & Steven E. Posner, 2003. "A Continuous-Time Reexamination Of Dollar-Cost Averaging," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 6(02), pages 173-194.

2002

  1. Mark J. Kamstra & Lisa A. Kramer & Maurice D. Levi, 2002. "Losing Sleep at the Market: The Daylight Saving Anomaly: Reply," American Economic Review, American Economic Association, vol. 92(4), pages 1257-1263, September.
  2. Brown, Jeffrey & Haberman, Steven & Milevsky, Moshe & Orszag, Mike, 2002. "Overview of the Issue," Journal of Pension Economics and Finance, Cambridge University Press, vol. 1(2), pages 85-87, July.
  3. Charupat, Narat & Milevsky, Moshe A., 2002. "Optimal asset allocation in life annuities: a note," Insurance: Mathematics and Economics, Elsevier, vol. 30(2), pages 199-209, April.

2001

  1. Cao, Melanie, 2001. "Systematic jump risks in a small open economy: simultaneous equilibrium valuation of options on the market portfolio and the exchange rate," Journal of International Money and Finance, Elsevier, vol. 20(2), pages 191-218, April.
  2. Kamstra, Mark & Kennedy, Peter & Suan, Teck-Kin, 2001. "Combining Bond Rating Forecasts Using Logit," The Financial Review, Eastern Finance Association, vol. 36(2), pages 75-96, May.
  3. Milevsky, Moshe Arye & Panyagometh, Kamphol, 2001. "Variable annuities versus mutual funds: a Monte-Carlo analysis of the options," Financial Services Review, Elsevier, vol. 10(1-4), pages 145-161.
  4. Milevsky, Moshe A. & David Promislow, S., 2001. "Mortality derivatives and the option to annuitise," Insurance: Mathematics and Economics, Elsevier, vol. 29(3), pages 299-318, December.
  5. Moshe Arye Milevsky, 2001. "Optimal Annuitization Policies," North American Actuarial Journal, Taylor & Francis Journals, vol. 5(1), pages 57-69.

2000

  1. Melanie Cao & Shouyong Shi, 2000. "Coordination, matching, and wages," Canadian Journal of Economics, Canadian Economics Association, vol. 33(4), pages 1009-1033, November.
  2. Lisa A. Kramer & Mark J. Kamstra & Maurice D. Levi, 2000. "Losing Sleep at the Market: The Daylight Saving Anomaly," American Economic Review, American Economic Association, vol. 90(4), pages 1005-1011, September.
  3. Moshe Milevsky & Chris Robinson, 2000. "Self-Annuitization and Ruin in Retirement," North American Actuarial Journal, Taylor & Francis Journals, vol. 4(4), pages 112-124.

1999

  1. Faig, Miquel & Shum, Pauline, 1999. "Irreversible investment and endogenous financing: An evaluation of the corporate tax effects," Journal of Monetary Economics, Elsevier, vol. 43(1), pages 143-171, February.
  2. James Pesando & Pauline Shum, 1999. "The Returns to Picasso's Prints and to Traditional Financial Assets, 1977 to 1996," Journal of Cultural Economics, Springer;The Association for Cultural Economics International, vol. 23(3), pages 181-190, August.
  3. Ho, Kwok & Milevsky, Moshe Arye & Robinson, Chris, 1999. "International equity diversification and shortfall risk," Financial Services Review, Elsevier, vol. 8(1), pages 11-25.
  4. Milevsky, Moshe Arye, 1999. "Martingales, scale functions and stochastic life annuities: a note," Insurance: Mathematics and Economics, Elsevier, vol. 24(1-2), pages 149-154, March.
  5. Milevsky, Moshe Arye & Prisman, Eliezer Z., 1999. "Hedging and pricing with tax law uncertainty: Managing under an Arkansas Best doctrine," The Quarterly Review of Economics and Finance, Elsevier, vol. 39(1), pages 147-168.
  6. Milevsky, Moshe Arye, 1999. "Time Diversification, Safety-First and Risk," Review of Quantitative Finance and Accounting, Springer, vol. 12(3), pages 271-281, May.

1998

  1. Kamstra, Mark & Kennedy, Peter, 1998. "Combining qualitative forecasts using logit," International Journal of Forecasting, Elsevier, vol. 14(1), pages 83-93, March.
  2. Milevsky, Moshe Arye & Posner, Steven E., 1998. "Asian Options, the Sum of Lognormals, and the Reciprocal Gamma Distribution," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 33(3), pages 409-422, September.
  3. Moshe Arye Milevsky & Steven Posner, 1998. "A theoretical investigation of randomized asset allocation strategies," Applied Mathematical Finance, Taylor & Francis Journals, vol. 5(2), pages 117-130.

1997

  1. Donaldson, R. Glen & Kamstra, Mark, 1997. "An artificial neural network-GARCH model for international stock return volatility," Journal of Empirical Finance, Elsevier, vol. 4(1), pages 17-46, January.
  2. Milevsky, Moshe Arye, 1997. "The present value of a stochastic perpetuity and the Gamma distribution," Insurance: Mathematics and Economics, Elsevier, vol. 20(3), pages 243-250, October.
  3. Milevsky, Moshe Arye & Ho, Kwok & Robinson, Chris, 1997. "Asset Allocation via the Conditional First Exit Time or How to Avoid Outliving Your Money," Review of Quantitative Finance and Accounting, Springer, vol. 9(1), pages 53-70, July.
  4. Moshe Arye Milevsky & Eliezer Z. Prisman, 1997. "Tax Effects in Canadian Equity Option Markets," Multinational Finance Journal, Multinational Finance Journal, vol. 1(2), pages 101-122, June.

1996

  1. Pauline M. Shum, 1996. "Taxes and Corporate Debt Policy in Canada: An Empirical Investigation," Canadian Journal of Economics, Canadian Economics Association, vol. 29(3), pages 556-572, August.
  2. Pauline M. Shum, 1996. "Stock Market Response to Political Uncertainty: Evidence from the 1992 Constitutional Referendum," Canadian Journal of Economics, Canadian Economics Association, vol. 29(s1), pages 213-218, April.
  3. Donaldson, R Glen & Kamstra, Mark, 1996. "A New Dividend Forecasting Procedure That Rejects Bubbles in Asset Prices: The Case of 1929's Stock Crash," The Review of Financial Studies, Society for Financial Studies, vol. 9(2), pages 333-383.

1995

  1. Pauline M. Shum, 1995. "The 1992 Canadian Constitutional Referendum Using Financial Data to Assess Economic Consequences," Canadian Journal of Economics, Canadian Economics Association, vol. 28(4a), pages 794-807, November.

1994

  1. Ho, Kwok & Milevsky, Moshe Arye & Robinson, Chris, 1994. "Asset allocation, life expectancy and shortfall," Financial Services Review, Elsevier, vol. 3(2), pages 109-126.

1989

  1. Granger, C. W. J. & White, Halbert & Kamstra, Mark, 1989. "Interval forecasting : An analysis based upon ARCH-quantile estimators," Journal of Econometrics, Elsevier, vol. 40(1), pages 87-96, January.

Books

2015

  1. Milevsky,Moshe A., 2015. "King William's Tontine," Cambridge Books, Cambridge University Press, number 9781107076129.

2012

  1. Charupat,Narat & Huang,Huaxiong & Milevsky,Moshe A., 2012. "Strategic Financial Planning over the Lifecycle," Cambridge Books, Cambridge University Press, number 9780521148030.

2006

  1. Milevsky,Moshe A., 2006. "The Calculus of Retirement Income," Cambridge Books, Cambridge University Press, number 9780521842587.

Chapters

1999

  1. Moshe Arye Milevsky & Steven E. Posner, 1999. "Asian Options, The Sum Of Lognormals, And The Reciprocal Gamma Distribution," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar, chapter 7, pages 203-218, World Scientific Publishing Co. Pte. Ltd..

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