Publications
by members of
Finance Division
Sauder School of Business
University of British Columbia
Vancouver, 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 | Software components |
Working papers
Undated material is listed at the end2023
- Bena, Jan & Erel, Isil & Wang, Daisy & Weisbach, Michael S., 2023. "Relationship-Specific Investments and Firms' Boundaries: Evidence from Textual Analysis of Patents," Working Paper Series 2023-27, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Michael D. Bauer & Carolin Pflueger & Adi Sunderam, 2023.
"Perceptions about Monetary Policy,"
Working Paper Series
2023-31, Federal Reserve Bank of San Francisco.
- Michael D. Bauer & Carolin Pflueger & Adi Sunderam, 2022. "Perceptions about Monetary Policy," NBER Working Papers 30480, National Bureau of Economic Research, Inc.
- Carolin Pflueger, 2023. "Back to the 1980s or Not? The Drivers of Inflation and Real Risks in Treasury Bonds," NBER Working Papers 30921, National Bureau of Economic Research, Inc.
- Anna Cieslak & Carolin Pflueger, 2023. "Inflation and Asset Returns," NBER Working Papers 30982, National Bureau of Economic Research, Inc.
2021
- Bena, Jan & Erel, Isil & Wang, Daisy & Weisbach, Michael S., 2021.
"Specialized Investments and Firms' Boundaries: Evidence from Textual Analysis of Patents,"
Working Paper Series
2021-13, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Jan Bena & Isil Erel & Daisy Wang & Michael S. Weisbach, 2021. "Specialized Investments and Firms’ Boundaries: Evidence from Textual Analysis of Patents," NBER Working Papers 29174, National Bureau of Economic Research, Inc.
2020
- Jan Bena & Serdar Dinc & Isil Erel, 2020.
"The International Propagation of Economic Downturns Through Multinational Companies: The Real Economy Channel,"
NBER Working Papers
27873, National Bureau of Economic Research, Inc.
- Bena, Jan & Dinc, Serdar & Erel, Isil, 2022. "The international propagation of economic downturns through multinational companies: The real economy channel," Journal of Financial Economics, Elsevier, vol. 146(1), pages 277-304.
- Jesse Perla & Carolin Pflueger & Michal Szkup, 2020.
"Doubling Down on Debt: Limited Liability as a Financial Friction,"
NBER Working Papers
27747, National Bureau of Economic Research, Inc.
- Jesse Perla & Carolin Pflueger & Michal Szkup, 2020. "Doubling Down on Debt: Limited Liability as a Financial Friction," Working Papers 2020-122, Becker Friedman Institute for Research In Economics.
- Pflueger, Carolin & Perla, Jesse & Szkup, Michal, 2020. "Doubling Down on Debt: Limited Liability as a Financial Friction," CEPR Discussion Papers 15238, C.E.P.R. Discussion Papers.
- Carolin Pflueger & Gianluca Rinaldi, 2020. "Why Does the Fed Move Markets so Much? A Model of Monetary Policy and Time-Varying Risk Aversion," NBER Working Papers 27856, National Bureau of Economic Research, Inc.
2019
- Van Nieuwerburgh, Stijn & Favilukis, Jack & ,, 2019.
"Affordable Housing and City Welfare,"
CEPR Discussion Papers
13758, C.E.P.R. Discussion Papers.
- Jack Favilukis & Pierre Mabille & Stijn Van Nieuwerburgh, 2023. "Affordable Housing and City Welfare," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 90(1), pages 293-330.
- Jack Favilukis & Pierre Mabille & Stijn Van Nieuwerburgh, 2018. "Affordable Housing and City Welfare," 2018 Meeting Papers 867, Society for Economic Dynamics.
- Jack Favilukis & Pierre Mabille & Stijn Van Nieuwerburgh, 2019. "Affordable Housing and City Welfare," NBER Working Papers 25906, National Bureau of Economic Research, Inc.
- Carolin Pflueger & Emil Siriwardane & Adi Sunderam, 2019. "Financial Market Risk Perceptions and the Macroeconomy," NBER Working Papers 26290, National Bureau of Economic Research, Inc.
2018
- Carolin Pflueger & Emil Siriwardane & Adi Sunderam, 2018. "A Measure of Risk Appetite for the Macroeconomy," NBER Working Papers 24529, National Bureau of Economic Research, Inc.
2017
- Van Nieuwerburgh, Stijn & Favilukis, Jack, 2017.
"Out-of-town Home Buyers and City Welfare,"
CEPR Discussion Papers
12283, C.E.P.R. Discussion Papers.
- Jack Favilukis & Stijn Van Nieuwerburgh, 2021. "Out‐of‐Town Home Buyers and City Welfare," Journal of Finance, American Finance Association, vol. 76(5), pages 2577-2638, October.
- Stijn Van Nieuwerburgh & Jack Favilukis, 2017. "Out-of-town Home Buyers and City Welfare," 2017 Meeting Papers 486, Society for Economic Dynamics.
- Xiaoji Lin & Xiaofei Zhao & Jack Favilukis, 2017.
"The Elephant in the Room: the Impact of Labor Obligations on Credit Markets,"
2017 Meeting Papers
896, Society for Economic Dynamics.
- Jack Favilukis & Xiaoji Lin & Xiaofei Zhao, 2020. "The Elephant in the Room: The Impact of Labor Obligations on Credit Markets," American Economic Review, American Economic Association, vol. 110(6), pages 1673-1712, June.
- Bena, Jan & Dinc, Serdar & Erel, Isil, 2017. "Multinational Firms and the International Transmission of Crises: The Real Economy Channel," Working Paper Series 2017-11, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Francesco D’Acunto & Ryan Liu & Carolin Pflueger & Michael Weber, 2017.
"Flexible Prices and Leverage,"
NBER Working Papers
23066, National Bureau of Economic Research, Inc.
- D’Acunto, Francesco & Liu, Ryan & Pflueger, Carolin & Weber, Michael, 2018. "Flexible prices and leverage," Journal of Financial Economics, Elsevier, vol. 129(1), pages 46-68.
- Francesco D'Acunto & Ryan Liu & Carolin Pflueger & Michael Weber & Michael Weber, 2017. "Flexible Prices and Leverage," CESifo Working Paper Series 6317, CESifo.
2016
- Wenxin Du & Carolin E. Pflueger & Jesse Schreger, 2016. "Sovereign Debt Portfolios, Bond Risks, and the Credibility of Monetary Policy," NBER Working Papers 22592, National Bureau of Economic Research, Inc.
2015
- Lorenzo Garlappi & Jack Favilukis, 2015. "The Carry Trade and UIP when Markets are Incomplete," 2015 Meeting Papers 242, Society for Economic Dynamics.
2014
- Favilukis, Jack & Lin, Xiaoji & Zhao, Xiaofei, 2014. "The Elephant in the Room: The Impact of Labor Obligations on Credit Risk," Working Paper Series 2015-17, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Jack Favilukis & Sydney C. Ludvigson & Stijn Van Nieuwerburgh, 2014.
"Foreign Ownership of U.S. Safe Assets: Good or Bad?,"
NBER Working Papers
19917, National Bureau of Economic Research, Inc.
- Sydney Ludvigson & Stijn Van Nieuwerburgh & Jack Favilukis, 2012. "Foreign Ownership of U.S. Safe Assets: Good or Bad?," 2012 Meeting Papers 297, Society for Economic Dynamics.
- Luis Viceira & Carolin Pflueger & John Campbell, 2014. "Monetary Policy Drivers of Bond and Equity Risks," 2014 Meeting Papers 137, Society for Economic Dynamics.
2013
- John Y. Campbell & Carolin Pflueger & Luis M. Viceira, 2013.
"Macroeconomic Drivers of Bond and Equity Risks,"
Harvard Business School Working Papers
14-031, Harvard Business School, revised Aug 2018.
- John Y. Campbell & Carolin Pflueger & Luis M. Viceira, 2020. "Macroeconomic Drivers of Bond and Equity Risks," Journal of Political Economy, University of Chicago Press, vol. 128(8), pages 3148-3185.
- John Y. Campbell & Carolin Pflueger & Luis M. Viceira, 2014. "Macroeconomic Drivers of Bond and Equity Risks," NBER Working Papers 20070, National Bureau of Economic Research, Inc.
2012
- Xiaohong Chen & Jack Favilukis & Sydney Ludvigson, 2012.
"An estimation of economic models with recursive preferences,"
CeMMAP working papers
32/12, Institute for Fiscal Studies.
- Xiaohong Chen & Jack Favilukis & Sydney C. Ludvigson, 2013. "An estimation of economic models with recursive preferences," Quantitative Economics, Econometric Society, vol. 4(1), pages 39-83, March.
- Chen, Xiaohong & Favilukis, Jack & Ludvigson, Sydney C., 2013. "An estimation of economic models with recursive preferences," LSE Research Online Documents on Economics 37392, London School of Economics and Political Science, LSE Library.
- Xiaohong Chen & Jack Favilukis & Sydney C. Ludvigson, 2011. "An Estimation of Economic Models with Recursive Preferences," NBER Working Papers 17130, National Bureau of Economic Research, Inc.
- Xiaohong Chen & Jack Favilukis & Sydney Ludvigson, 2012. "An estimation of economic models with recursive preferences," CeMMAP working papers CWP32/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Chen, Xiaohong & Favilukis, Jack & Ludvigson, Sydney C., 2007. "An estimation of economic models with recursive preferences," LSE Research Online Documents on Economics 24502, London School of Economics and Political Science, LSE Library.
- Favilukis, Jack & Lin, Xiaoji, 2012.
"Long Run Productivity Risk and Aggregate Investment,"
Working Paper Series
2012-14, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Favilukis, Jack & Lin, Xiaoji, 2013. "Long run productivity risk and aggregate investment," Journal of Monetary Economics, Elsevier, vol. 60(6), pages 737-751.
- Favilukis, Jack & Lin, Xiaoji, 2012.
"Wage Rigidity: A Solution to Several Asset Pricing Puzzles,"
Working Paper Series
2012-16, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Jack Favilukis & Xiaoji Lin, 2012. "Wage Rigidity: A Solution to Several Asset Pricing Puzzles," 2012 Meeting Papers 589, Society for Economic Dynamics.
- Favilukis, Jack & Lin, Xiaoji, 2012.
"Does Wage Rigidity Make Firms Riskier? Evidence from Long-Horizon Return Predictability,"
Working Paper Series
2012-19, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Favilukis, Jack & Lin, Xiaoji, 2016. "Does wage rigidity make firms riskier? Evidence from long-horizon return predictability," Journal of Monetary Economics, Elsevier, vol. 78(C), pages 80-95.
- Dragana Cvijanovic & Jack Favilukis & Christopher Polk, 2012. "New in Town: Demographics, Immigration, and the Price of Real Estate," Working Papers hal-00686122, HAL.
- Jack Favilukis & David Kohn & Sydney C. Ludvigson & Stijn Van Nieuwerburgh, 2012.
"International Capital Flows and House Prices: Theory and Evidence,"
NBER Working Papers
17751, National Bureau of Economic Research, Inc.
- Jack Favilukis & David Kohn & Sydney C. Ludvigson & Stijn Van Nieuwerburgh, 2012. "International Capital Flows and House Prices: Theory and Evidence," NBER Chapters, in: Housing and the Financial Crisis, pages 235-299, National Bureau of Economic Research, Inc.
2011
- Favilukis, Jack & Lin, Xiaoji, 2011.
"Micro frictions, asset pricing, and aggregate implications,"
LSE Research Online Documents on Economics
119075, London School of Economics and Political Science, LSE Library.
- Xiaoji Lin & Jack Favilukis, 2011. "Micro Frictions, Asset Pricing, and Aggregate Implications," 2011 Meeting Papers 466, Society for Economic Dynamics.
- Jack Favilukis & Xiaoji Lin, 2011. "Micro Frictions, Asset Pricing and Aggregate," FMG Discussion Papers dp673, Financial Markets Group.
- Jan Bena & Peter Ondko & Evangelia Vourvachaki, 2011.
"Productivity Gains from Services Liberalization in Europe,"
CERGE-EI Working Papers
wp452, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Bena Jan & Ondko Peter & Vourvachaki Evangelia, 2011. "Productivity Gains from Services Liberalization in Europe," EERC Working Paper Series 11/15e, EERC Research Network, Russia and CIS.
- Laurent-Emmanuel Calvet & Benoît B. Mandelbrot & Adlai J. Fisher, 2011. "Large Deviation Theory and the Distribution of Price Changes," Working Papers hal-00601869, HAL.
- Laurent-Emmanuel Calvet & Benoît B. Mandelbrot & Adlai J. Fisher, 2011. "Multifractality of US Dollar/Deutsche Mark Exchange Rates," Working Papers hal-00601871, HAL.
- Carolin E. Pflueger & Luis M. Viceira, 2011.
"Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity,"
Harvard Business School Working Papers
11-094, Harvard Business School, revised Sep 2013.
- Carolin E. Pflueger & Luis M. Viceira, 2011. "Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity," NBER Working Papers 16892, National Bureau of Economic Research, Inc.
- Carolin E. Pflueger & Luis M. Viceira, 2011.
"Inflation-Indexed Bonds and the Expectations Hypothesis,"
NBER Working Papers
16903, National Bureau of Economic Research, Inc.
- Carolin E. Pflueger & Luis M. Viceira, 2011. "Inflation-Indexed Bonds and the Expectations Hypothesis," Annual Review of Financial Economics, Annual Reviews, vol. 3(1), pages 139-158, December.
2010
- Jack Favilukis & Sydney C. Ludvigson & Stijn Van Nieuwerburgh, 2010.
"The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk-Sharing in General Equilibrium,"
NBER Working Papers
15988, National Bureau of Economic Research, Inc.
- Jack Favilukis & Sydney C. Ludvigson & Stijn Van Nieuwerburgh, 2017. "The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk Sharing in General Equilibrium," Journal of Political Economy, University of Chicago Press, vol. 125(1), pages 140-223.
- Sydney Ludvigson & Stijn Van Nieuwerburgh & Jack Favilukis, 2010. "The Macroeconomic E¤ects of Housing Wealth, Housing Finance, and Limited Risk-Sharing in General Equilibrium," 2010 Meeting Papers 733, Society for Economic Dynamics.
2009
- Jan Bena & Peter Ondko, 2009.
"Financial Development and Allocation of External Finance,"
CERGE-EI Working Papers
wp398, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Bena, Jan & Ondko, Peter, 2012. "Financial development and the allocation of external finance," Journal of Empirical Finance, Elsevier, vol. 19(1), pages 1-25.
- A. Fisher & Laurent-Emmanuel Calvet, 2009. "Multifractal Volatility: Theory, Estimation and Forecasting," Post-Print hal-00495925, HAL.
2008
- Jan Bena, 2008.
"The Effect of Credit Rationing on the Shape of the Competition-Innovation Relationship,"
CERGE-EI Working Papers
wp377, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Bena, Jan, 2009. "The effect of credit rationing on the shape of the competition-innovation relationship," LSE Research Online Documents on Economics 24419, London School of Economics and Political Science, LSE Library.
- Jan Bena, 2009. "The Effect of Credit Rationing on the Shape of the Competition-Innovation Relationship," FMG Discussion Papers dp629, Financial Markets Group.
- Laurent-Emmanuel Calvet & Adlai J. Fisher, 2008.
"Multifrequency jump-diffusions: An equilibrium approach,"
Post-Print
hal-00459681, HAL.
- Calvet, Laurent E. & Fisher, Adlai J., 2008. "Multifrequency jump-diffusions: An equilibrium approach," Journal of Mathematical Economics, Elsevier, vol. 44(2), pages 207-226, January.
- Laurent E. Calvet & Adlai J. Fisher, 2006. "Multifrequency Jump-Diffusions: An Equilibrium Approach," NBER Working Papers 12797, National Bureau of Economic Research, Inc.
- Laurent E. Calvet & Adlai Fisher, 2008. "Multifractal Volatility: Theory, Forecasting and Pricing," Post-Print hal-00671877, HAL.
2007
- Favilukis, Jack, 2007.
"Inequality, stock market participation, and the equity premium,"
LSE Research Online Documents on Economics
24500, London School of Economics and Political Science, LSE Library.
- Favilukis, Jack, 2013. "Inequality, stock market participation, and the equity premium," Journal of Financial Economics, Elsevier, vol. 107(3), pages 740-759.
- Jack Favilukis, 2007. "Inequality, Stock Market Participation, and the Equity Premium," FMG Discussion Papers dp602, Financial Markets Group.
- Sydney C. Ludvigson & Xiaohong Chen & Jack Favilukis, 2007. "An Estimation of Economic Models with Recursive," FMG Discussion Papers dp603, Financial Markets Group.
- Jan Bena, & Stepan Jurajda, 2007.
"Financial Development and Growth in Direct Firm-Level Comparisons,"
CERGE-EI Working Papers
wp317, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Jurajda, Štěpán & Bena, Jan, 2007. "Financial Development and Growth in Direct Firm-Level Comparisons," CEPR Discussion Papers 6395, C.E.P.R. Discussion Papers.
- Jan Bena & Stepan Jurajda, 2007.
"Which Firms Benefit More from Financial Development?,"
CERGE-EI Working Papers
wp330, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Jurajda, Štěpán & Bena, Jan, 2007. "Which Firms Benefit More from Financial Development?," CEPR Discussion Papers 6392, C.E.P.R. Discussion Papers.
- Jarrad Harford & Dirk Jenter & Kai Li, 2007. "Conflicts of Interests Among Shareholders: The Case of Corporate Acquisitions," NBER Working Papers 13274, National Bureau of Economic Research, Inc.
- Laurent-Emmanuel Calvet & Adlai J. Fisher, 2007.
"Multifrequency news and stock returns,"
Post-Print
hal-00459675, HAL.
- Calvet, Laurent E. & Fisher, Adlai J., 2007. "Multifrequency news and stock returns," Journal of Financial Economics, Elsevier, vol. 86(1), pages 178-212, October.
- Laurent-Emmanuel Calvet & Adlai J. Fisher, 2011. "Multifrequency News and Stock Returns," Working Papers hal-00591678, HAL.
- Laurent E. Calvet & Adlai J. Fisher, 2005. "Multifrequency News and Stock Returns," NBER Working Papers 11441, National Bureau of Economic Research, Inc.
2006
- Jan Bena & Jan Hanousek, 2006.
"Rent Extraction by Large Shareholders: Evidence Using Dividend Policy in the Czech Republic,"
CERGE-EI Working Papers
wp291, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Jan Bena & Jan Hanousek, 2008. "Rent Extraction by Large Shareholders: Evidence Using Dividend Policy in the Czech Republic," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 58(03-04), pages 106-130, May.
- Jan Hanousek & Jan Bena, 2006. "Rent Extraction by Large Shareholders: Evidence Using Dividend Policy in the Czech Republic," FMG Discussion Papers dp556, Financial Markets Group.
- Bena, Jan & Hanousek, Jan, 2006. "Rent extraction by large shareholders: evidence using dividend policy in the Czech Republic," LSE Research Online Documents on Economics 24510, London School of Economics and Political Science, LSE Library.
- Jan Bena, 2006.
"Choice of Corporate Risk Management Tools under Moral Hazard,"
CERGE-EI Working Papers
wp298, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Bena, Jan, 2006. "Choice of corporate risk management tools under moral hazard," LSE Research Online Documents on Economics 24518, London School of Economics and Political Science, LSE Library.
- Jan Bena, 2006. "Choice of Corporate Risk Management Tools under Moral Hazard," FMG Discussion Papers dp566, Financial Markets Group.
- Laurent-Emmanuel Calvet & Adlai J. Fisher & Samuel B. Thompson, 2006.
"Volatility Comovement: a multifrequency approach,"
Post-Print
hal-00459667, HAL.
- Calvet, Laurent E. & Fisher, Adlai J. & Thompson, Samuel B., 2006. "Volatility comovement: a multifrequency approach," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 179-215.
- Laurent E. Calvet & Adlai J. Fisher & Samuel B. Thompson, 2004. "Volatility Comovement: A Multifrequency Approach," NBER Technical Working Papers 0300, National Bureau of Economic Research, Inc.
2004
- Kai Li, 2004. "The Growth of Global Equity Markets: A Closer Look," Econometric Society 2004 North American Winter Meetings 54, Econometric Society.
- Laurent-Emmanuel Calvet & Adlai J. Fisher, 2004.
"How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes,"
Post-Print
hal-00478472, HAL.
- Laurent E. Calvet, 2004. "How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes," Journal of Financial Econometrics, Oxford University Press, vol. 2(1), pages 49-83.
- Ron Giammarino & Murray Carlson & Adlai Fisher, 2004. "Corporate Investment and Asset Price Dynamics: Implications for Post-SEO Performance," 2004 Meeting Papers 812, Society for Economic Dynamics.
2003
- Kai Li & Dale J. Poirier, 2003. "Relationship Between Maternal Behavior During Pregnancy, Birth Outcome, and Early Childhood Development: An Exploratory Study," CESifo Working Paper Series 1030, CESifo.
- Laurent Calvet & Adlai Fisher, 2003.
"Regime-Switching and the Estimation of Multifractal Processes,"
Harvard Institute of Economic Research Working Papers
1999, Harvard - Institute of Economic Research.
- Laurent Calvet & Adlai Fisher, 2003. "Regime-Switching and the Estimation of Multifractal Processes," NBER Working Papers 9839, National Bureau of Economic Research, Inc.
2002
- Chakravarity, Sugato & Li, Kai, 2002.
"An Examination of Own Account Trading by Dual Traders in Future Markets,"
Purdue University Economics Working Papers
1156, Purdue University, Department of Economics.
- Chakravarty, Sugato & Li, Kai, 2003. "An examination of own account trading by dual traders in futures markets," Journal of Financial Economics, Elsevier, vol. 69(2), pages 375-397, August.
- Chakravarty, Sugato & Li, Kai, 2001. "An Examination of Own Account Trading by Dual Traders in Futures Markets," Purdue University Economics Working Papers 1151, Purdue University, Department of Economics.
- Laurent-Emmanuel Calvet & Adlai J. Fisher, 2002.
"Multifractality in Asset Returns: Theory and Evidence,"
Post-Print
hal-00478175, HAL.
- Laurent Calvet & Adlai Fisher, 2002. "Multifractality In Asset Returns: Theory And Evidence," The Review of Economics and Statistics, MIT Press, vol. 84(3), pages 381-406, August.
2000
- Chakravarty, Sugato & Li, Kai, 2000. "An Analysis of Own Account Trading by Dual Traders in Futures Markets: A Bayesian Approach," Purdue University Economics Working Papers 1127, Purdue University, Department of Economics.
- Kai Li & Dale J. Poirier, 2000.
"An Econometric Model of Birth Inputs and Outputs,"
Econometric Society World Congress 2000 Contributed Papers
0352, Econometric Society.
- Li, K. & Poirier, D., 2000. "An Econometric Model of Birth Input and Output," Papers 00-01-21, California Irvine - School of Social Sciences.
1999
- Kai Li & Asani Sarkar & Zhenyu Wang, 1999. "Assessing the impact of short-sale constraints on the gains from international diversification," Staff Reports 89, Federal Reserve Bank of New York.
- Laurent Calvet & Adlai Fisher, 1999.
"Forecasting Multifractal Volatility,"
New York University, Leonard N. Stern School Finance Department Working Paper Seires
99-017, New York University, Leonard N. Stern School of Business-.
- Calvet, Laurent & Fisher, Adlai, 2001. "Forecasting multifractal volatility," Journal of Econometrics, Elsevier, vol. 105(1), pages 27-58, November.
- Laurent-Emmanuel Calvet & Adlai J. Fisher, 2001. "Forecasting multifractal volatility," Post-Print hal-00477952, HAL.
- Laurent Calvet, 2000. "Forecasting Multifractal Volatility," Harvard Institute of Economic Research Working Papers 1902, Harvard - Institute of Economic Research.
- Adlai Fisher, 1999. "Multivariate Stock Returns Around Extreme Events: A Reassessment of Economic Fundamentals and the 1987 Market Crash," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-071, New York University, Leonard N. Stern School of Business-.
1998
- Gary Koop & Kai Li, 1998. "The valuation of IPO, SEO and Post-Chapter 11 firms: A Stochastic Frontier Approach," Edinburgh School of Economics Discussion Paper Series 13, Edinburgh School of Economics, University of Edinburgh.
1997
- Benoit Mandelbrot & Adlai Fisher & Laurent Calvet, 1997.
"A Multifractal Model of Asset Returns,"
Cowles Foundation Discussion Papers
1164, Cowles Foundation for Research in Economics, Yale University.
- Laurent-Emmanuel Calvet & Benoît B. Mandelbrot & Adlai J. Fisher, 2011. "A Multifractal Model of Asset Returns," Working Papers hal-00601870, HAL.
- Laurent Calvet & Adlai Fisher & Benoit Mandelbrot, 1999. "A Multifractal Model of Assets Returns," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-072, New York University, Leonard N. Stern School of Business-.
- Laurent Calvet & Adlai Fisher & Benoit Mandelbrot, 1997. "Large Deviations and the Distribution of Price Changes," Cowles Foundation Discussion Papers 1165, Cowles Foundation for Research in Economics, Yale University.
- Adlai Fisher & Laurent Calvet & Benoit Mandelbrot, 1997. "Multifractality of Deutschemark/US Dollar Exchange Rates," Cowles Foundation Discussion Papers 1166, Cowles Foundation for Research in Economics, Yale University.
Undated
- Ron Giammarino & Robert Heinkel & Burton Hollifield & Kai Li, "undated". "Corporate Decisions, Information, and Prices: Do Managers Move Prices or Do Prices Move Managers?," GSIA Working Papers 2001-E16, Carnegie Mellon University, Tepper School of Business.
- Huafeng Chen & Michal Pakos, "undated". "Habit Formation, Time-Varying Risk Aversion and the Cross-Section of Expected Returns," GSIA Working Papers 2007-E27, Carnegie Mellon University, Tepper School of Business.
Journal articles
2023
- Jack Favilukis & Pierre Mabille & Stijn Van Nieuwerburgh, 2023.
"Affordable Housing and City Welfare,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 90(1), pages 293-330.
- Jack Favilukis & Pierre Mabille & Stijn Van Nieuwerburgh, 2018. "Affordable Housing and City Welfare," 2018 Meeting Papers 867, Society for Economic Dynamics.
- Jack Favilukis & Pierre Mabille & Stijn Van Nieuwerburgh, 2019. "Affordable Housing and City Welfare," NBER Working Papers 25906, National Bureau of Economic Research, Inc.
- Van Nieuwerburgh, Stijn & Favilukis, Jack & ,, 2019. "Affordable Housing and City Welfare," CEPR Discussion Papers 13758, C.E.P.R. Discussion Papers.
2022
- Bena, Jan & Dinc, Serdar & Erel, Isil, 2022.
"The international propagation of economic downturns through multinational companies: The real economy channel,"
Journal of Financial Economics, Elsevier, vol. 146(1), pages 277-304.
- Jan Bena & Serdar Dinc & Isil Erel, 2020. "The International Propagation of Economic Downturns Through Multinational Companies: The Real Economy Channel," NBER Working Papers 27873, National Bureau of Economic Research, Inc.
- Bena, Jan & Ortiz-Molina, Hernán & Simintzi, Elena, 2022. "Shielding firm value: Employment protection and process innovation," Journal of Financial Economics, Elsevier, vol. 146(2), pages 637-664.
- Adlai Fisher & Charles Martineau & Jinfei Sheng, 2022. "Macroeconomic Attention and Announcement Risk Premia," The Review of Financial Studies, Society for Financial Studies, vol. 35(11), pages 5057-5093.
2021
- Jack Favilukis & Stijn Van Nieuwerburgh, 2021.
"Out‐of‐Town Home Buyers and City Welfare,"
Journal of Finance, American Finance Association, vol. 76(5), pages 2577-2638, October.
- Van Nieuwerburgh, Stijn & Favilukis, Jack, 2017. "Out-of-town Home Buyers and City Welfare," CEPR Discussion Papers 12283, C.E.P.R. Discussion Papers.
- Stijn Van Nieuwerburgh & Jack Favilukis, 2017. "Out-of-town Home Buyers and City Welfare," 2017 Meeting Papers 486, Society for Economic Dynamics.
- Griffin, Dale & Li, Kai & Xu, Ting, 2021. "Board Gender Diversity and Corporate Innovation: International Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 56(1), pages 123-154, February.
2020
- Jack Favilukis & Xiaoji Lin & Xiaofei Zhao, 2020.
"The Elephant in the Room: The Impact of Labor Obligations on Credit Markets,"
American Economic Review, American Economic Association, vol. 110(6), pages 1673-1712, June.
- Xiaoji Lin & Xiaofei Zhao & Jack Favilukis, 2017. "The Elephant in the Room: the Impact of Labor Obligations on Credit Markets," 2017 Meeting Papers 896, Society for Economic Dynamics.
- Jan Bena & Lorenzo Garlappi, 2020. "Corporate Innovation and Returns [Last-in first-out oligopoly dynamics]," The Review of Corporate Finance Studies, Society for Financial Studies, vol. 9(2), pages 340-383.
- Gao, Huasheng & Hsu, Po-Hsuan & Li, Kai & Zhang, Jin, 2020. "The Real Effect of Smoking Bans: Evidence from Corporate Innovation," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 55(2), pages 387-427, March.
- Paolo Colla & Filippo Ippolito & Kai Li, 2020. "Debt Structure," Annual Review of Financial Economics, Annual Reviews, vol. 12(1), pages 193-215, December.
2019
- Kai Li & Jiaping Qiu & Jin Wang, 2019. "Technology Conglomeration, Strategic Alliances, and Corporate Innovation," Management Science, INFORMS, vol. 65(11), pages 5065-5090, November.
2018
- Li, Kai & Qiu, Buhui & Shen, Rui, 2018. "Organization Capital and Mergers and Acquisitions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 53(4), pages 1871-1909, August.
- Kai Li & Tingting Liu & Juan (Julie) Wu, 2018. "Vote Avoidance and Shareholder Voting in Mergers and Acquisitions," The Review of Financial Studies, Society for Financial Studies, vol. 31(8), pages 3176-3211.
- Vyacheslav Fos & Kai Li & Margarita Tsoutsoura, 2018. "Do Director Elections Matter?," The Review of Financial Studies, Society for Financial Studies, vol. 31(4), pages 1499-1531.
- Griffin, Dale & Guedhami, Omrane & Li, Kai & Kwok, Chuck C.Y. & Shao, Liang, 2018. "National Culture and the Value Implication of Corporate Governance," Journal of Law, Finance, and Accounting, now publishers, vol. 3(2), pages 333-372, December.
- Gao, Huasheng & Hsu, Po-Hsuan & Li, Kai, 2018. "Innovation Strategy of Private Firms," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 53(1), pages 1-32, February.
- Calvet, Laurent E. & Fisher, Adlai J. & Wu, Liuren, 2018. "Staying on Top of the Curve: A Cascade Model of Term Structure Dynamics," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 53(2), pages 937-963, April.
2017
- Jack Favilukis & Sydney C. Ludvigson & Stijn Van Nieuwerburgh, 2017.
"The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk Sharing in General Equilibrium,"
Journal of Political Economy, University of Chicago Press, vol. 125(1), pages 140-223.
- Jack Favilukis & Sydney C. Ludvigson & Stijn Van Nieuwerburgh, 2010. "The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk-Sharing in General Equilibrium," NBER Working Papers 15988, National Bureau of Economic Research, Inc.
- Sydney Ludvigson & Stijn Van Nieuwerburgh & Jack Favilukis, 2010. "The Macroeconomic E¤ects of Housing Wealth, Housing Finance, and Limited Risk-Sharing in General Equilibrium," 2010 Meeting Papers 733, Society for Economic Dynamics.
- Bena, Jan & Ferreira, Miguel A & Matos, Pedro & Pires, Pedro, 2017. "Are foreign investors locusts? The long-term effects of foreign institutional ownership," Journal of Financial Economics, Elsevier, vol. 126(1), pages 122-146.
- Jan Bena & Ting Xu, 2017. "Competition and Ownership Structure of Closely Held Firms," The Review of Financial Studies, Society for Financial Studies, vol. 30(5), pages 1583-1626.
- Gao, Huasheng & Harford, Jarrad & Li, Kai, 2017. "CEO Turnover–Performance Sensitivity in Private Firms," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(2), pages 583-611, April.
- Dale Griffin & Omrane Guedhami & Chuck C Y Kwok & Kai Li & Liang Shao, 2017. "National culture: The missing country-level determinant of corporate governance," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 48(6), pages 740-762, August.
2016
- Favilukis, Jack & Lin, Xiaoji, 2016.
"Does wage rigidity make firms riskier? Evidence from long-horizon return predictability,"
Journal of Monetary Economics, Elsevier, vol. 78(C), pages 80-95.
- Favilukis, Jack & Lin, Xiaoji, 2012. "Does Wage Rigidity Make Firms Riskier? Evidence from Long-Horizon Return Predictability," Working Paper Series 2012-19, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Jack Favilukis & Xiaoji Lin, 2016. "Wage Rigidity: A Quantitative Solution to Several Asset Pricing Puzzles," The Review of Financial Studies, Society for Financial Studies, vol. 29(1), pages 148-192.
- Jan Bena & Lorenzo Garlappi & Patrick Grüning, 2016. "Heterogeneous Innovation, Firm Creation and Destruction, and Asset Prices," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 6(1), pages 46-87.
- Li, Kai & Wang, Wei, 2016. "Debtor-in-possession financing, loan-to-loan, and loan-to-own," Journal of Corporate Finance, Elsevier, vol. 39(C), pages 121-138.
- Oliver Boguth & Murray Carlson & Adlai Fisher & Mikhail Simutin, 2016. "Horizon Effects in Average Returns: The Role of Slow Information Diffusion," The Review of Financial Studies, Society for Financial Studies, vol. 29(8), pages 2241-2281.
2015
- Maurice Levi & Kai Li & Feng Zhang, 2015. "Are Women More Likely to Seek Advice than Men? Evidence from the Boardroom," JRFM, MDPI, vol. 8(1), pages 1-23, February.
- Gao, Huasheng & Li, Kai, 2015. "A comparison of CEO pay–performance sensitivity in privately-held and public firms," Journal of Corporate Finance, Elsevier, vol. 35(C), pages 370-388.
- Calvet, Laurent E. & Fearnley, Marcus & Fisher, Adlai J. & Leippold, Markus, 2015.
"What is beneath the surface? Option pricing with multifrequency latent states,"
Journal of Econometrics, Elsevier, vol. 187(2), pages 498-511.
- Calvet , Laurent E. & Fearnley, Marcus & Adlai J. , Fisher & Markus, Leippold, 2013. "What's Beneath the Surface? Option Pricing with Multifrequency Latent States," HEC Research Papers Series 969, HEC Paris.
- Johnny Kang & Carolin E. Pflueger, 2015. "Inflation Risk in Corporate Bonds," Journal of Finance, American Finance Association, vol. 70(1), pages 115-162, February.
- Carolin E. Pflueger & Su Wang, 2015. "A robust test for weak instruments in Stata," Stata Journal, StataCorp LP, vol. 15(1), pages 216-225, March.
2014
- Jan Bena & Kai Li, 2014. "Corporate Innovations and Mergers and Acquisitions," Journal of Finance, American Finance Association, vol. 69(5), pages 1923-1960, October.
- Levi, Maurice & Li, Kai & Zhang, Feng, 2014. "Director gender and mergers and acquisitions," Journal of Corporate Finance, Elsevier, vol. 28(C), pages 185-200.
- Carlson, Murray & Dockner, Engelbert J. & Fisher, Adlai & Giammarino, Ron, 2014. "Leaders, Followers, and Risk Dynamics in Industry Equilibrium," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 49(2), pages 321-349, April.
2013
- Xiaohong Chen & Jack Favilukis & Sydney C. Ludvigson, 2013.
"An estimation of economic models with recursive preferences,"
Quantitative Economics, Econometric Society, vol. 4(1), pages 39-83, March.
- Chen, Xiaohong & Favilukis, Jack & Ludvigson, Sydney C., 2013. "An estimation of economic models with recursive preferences," LSE Research Online Documents on Economics 37392, London School of Economics and Political Science, LSE Library.
- Xiaohong Chen & Jack Favilukis & Sydney Ludvigson, 2012. "An estimation of economic models with recursive preferences," CeMMAP working papers 32/12, Institute for Fiscal Studies.
- Xiaohong Chen & Jack Favilukis & Sydney C. Ludvigson, 2011. "An Estimation of Economic Models with Recursive Preferences," NBER Working Papers 17130, National Bureau of Economic Research, Inc.
- Xiaohong Chen & Jack Fuvilukis & Sydney Ludvigson, 2012. "An Estimation of Economic Models with Recursive Preferences," Cowles Foundation Discussion Papers 1883, Cowles Foundation for Research in Economics, Yale University.
- Xiaohong Chen & Jack Favilukis & Sydney Ludvigson, 2012. "An estimation of economic models with recursive preferences," CeMMAP working papers CWP32/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Chen, Xiaohong & Favilukis, Jack & Ludvigson, Sydney C., 2007. "An estimation of economic models with recursive preferences," LSE Research Online Documents on Economics 24502, London School of Economics and Political Science, LSE Library.
- Sydney Ludvigson & Jack Favalukus & Xiaohong Chen, 2007. "An Estimation of Economic Models with Recursive Preferences," 2007 Meeting Papers 543, Society for Economic Dynamics.
- Favilukis, Jack, 2013.
"Inequality, stock market participation, and the equity premium,"
Journal of Financial Economics, Elsevier, vol. 107(3), pages 740-759.
- Jack Favilukis, 2007. "Inequality, Stock Market Participation, and the Equity Premium," FMG Discussion Papers dp602, Financial Markets Group.
- Favilukis, Jack, 2007. "Inequality, stock market participation, and the equity premium," LSE Research Online Documents on Economics 24500, London School of Economics and Political Science, LSE Library.
- Favilukis, Jack & Lin, Xiaoji, 2013.
"Long run productivity risk and aggregate investment,"
Journal of Monetary Economics, Elsevier, vol. 60(6), pages 737-751.
- Favilukis, Jack & Lin, Xiaoji, 2012. "Long Run Productivity Risk and Aggregate Investment," Working Paper Series 2012-14, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Bena, Jan & Ortiz-Molina, Hernán, 2013. "Pyramidal ownership and the creation of new firms," Journal of Financial Economics, Elsevier, vol. 108(3), pages 798-821.
- Paolo Colla & Filippo Ippolito & Kai Li, 2013. "Debt Specialization," Journal of Finance, American Finance Association, vol. 68(5), pages 2117-2141, October.
- Li, Kai & Griffin, Dale & Yue, Heng & Zhao, Longkai, 2013. "How does culture influence corporate risk-taking?," Journal of Corporate Finance, Elsevier, vol. 23(C), pages 1-22.
- Gao, Huasheng & Harford, Jarrad & Li, Kai, 2013. "Determinants of corporate cash policy: Insights from private firms," Journal of Financial Economics, Elsevier, vol. 109(3), pages 623-639.
- José Luis Montiel Olea & Carolin Pflueger, 2013. "A Robust Test for Weak Instruments," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(3), pages 358-369, July.
2012
- Bena, Jan & Ondko, Peter, 2012.
"Financial development and the allocation of external finance,"
Journal of Empirical Finance, Elsevier, vol. 19(1), pages 1-25.
- Jan Bena & Peter Ondko, 2009. "Financial Development and Allocation of External Finance," CERGE-EI Working Papers wp398, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Wei Jiang & Kai Li & Wei Wang, 2012. "Hedge Funds and Chapter 11," Journal of Finance, American Finance Association, vol. 67(2), pages 513-560, April.
- Gao, Huasheng & Harford, Jarrad & Li, Kai, 2012. "CEO pay cuts and forced turnover: Their causes and consequences," Journal of Corporate Finance, Elsevier, vol. 18(2), pages 291-310.
- Chen, Huafeng (Jason) & Chen, Shaojun (Jenny), 2012. "Investment-cash flow sensitivity cannot be a good measure of financial constraints: Evidence from the time series," Journal of Financial Economics, Elsevier, vol. 103(2), pages 393-410.
2011
- Jan Bena & Štěpán Jurajda, 2011. "Financial Development and Corporate Growth in the EU Single Market," Economica, London School of Economics and Political Science, vol. 78(311), pages 401-428, July.
- Harford, Jarrad & Jenter, Dirk & Li, Kai, 2011. "Institutional cross-holdings and their effect on acquisition decisions," Journal of Financial Economics, Elsevier, vol. 99(1), pages 27-39, January.
- Kai Li & Tan Wang & Yan-Leung Cheung & Ping Jiang, 2011. "Privatization and Risk Sharing: Evidence from the Split Share Structure Reform in China," The Review of Financial Studies, Society for Financial Studies, vol. 24(7), pages 2499-2525.
- Kai Li & Dale Griffin & Heng Yue & Longkai Zhao, 2011. "National culture and capital structure decisions: Evidence from foreign joint ventures in China," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 42(4), pages 477-503, May.
- Boguth, Oliver & Carlson, Murray & Fisher, Adlai & Simutin, Mikhail, 2011. "Conditional risk and performance evaluation: Volatility timing, overconditioning, and new estimates of momentum alphas," Journal of Financial Economics, Elsevier, vol. 102(2), pages 363-389.
- Bhamra, Harjoat S. & Fisher, Adlai J. & Kuehn, Lars-Alexander, 2011. "Monetary policy and corporate default," Journal of Monetary Economics, Elsevier, vol. 58(5), pages 480-494.
- Chen, Huafeng Jason & Kacperczyk, Marcin & Ortiz-Molina, Hernán, 2011. "Labor Unions, Operating Flexibility, and the Cost of Equity," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 46(1), pages 25-58, February.
- Chen, Huafeng (Jason), 2011. "Firm life expectancy and the heterogeneity of the book-to-market effect," Journal of Financial Economics, Elsevier, vol. 100(2), pages 402-423, May.
- Huafeng (JASON) Chen & Marcin Kacperczyk & Hernán Ortiz-Molina, 2011. "Do Nonfinancial Stakeholders Affect the Pricing of Risky Debt? Evidence from Unionized Workers," Review of Finance, European Finance Association, vol. 16(2), pages 347-383.
- Carolin E. Pflueger & Luis M. Viceira, 2011.
"Inflation-Indexed Bonds and the Expectations Hypothesis,"
Annual Review of Financial Economics, Annual Reviews, vol. 3(1), pages 139-158, December.
- Carolin E. Pflueger & Luis M. Viceira, 2011. "Inflation-Indexed Bonds and the Expectations Hypothesis," NBER Working Papers 16903, National Bureau of Economic Research, Inc.
2010
- Wei Jiang & Kai Li & Pei Shao, 2010. "When Shareholders Are Creditors: Effects of the Simultaneous Holding of Equity and Debt by Non-commercial Banking Institutions," The Review of Financial Studies, Society for Financial Studies, vol. 23(10), pages 3595-3637, October.
- Maurice Levi & Kai Li & Feng Zhang, 2010. "Deal or No Deal: Hormones and the Mergers and Acquisitions Game," Management Science, INFORMS, vol. 56(9), pages 1462-1483, September.
- Murray Carlson & Adlai Fisher & Ron Giammarino, 2010. "SEO Risk Dynamics," The Review of Financial Studies, Society for Financial Studies, vol. 23(11), pages 4026-4077, November.
2009
- Li, Kai & Yue, Heng & Zhao, Longkai, 2009. "Ownership, institutions, and capital structure: Evidence from China," Journal of Comparative Economics, Elsevier, vol. 37(3), pages 471-490, September.
2008
- Jan Bena & Jan Hanousek, 2008.
"Rent Extraction by Large Shareholders: Evidence Using Dividend Policy in the Czech Republic,"
Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 58(03-04), pages 106-130, May.
- Jan Hanousek & Jan Bena, 2006. "Rent Extraction by Large Shareholders: Evidence Using Dividend Policy in the Czech Republic," FMG Discussion Papers dp556, Financial Markets Group.
- Bena, Jan & Hanousek, Jan, 2006. "Rent extraction by large shareholders: evidence using dividend policy in the Czech Republic," LSE Research Online Documents on Economics 24510, London School of Economics and Political Science, LSE Library.
- Jan Bena & Jan Hanousek, 2006. "Rent Extraction by Large Shareholders: Evidence Using Dividend Policy in the Czech Republic," CERGE-EI Working Papers wp291, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Kai Li & Hernán Ortiz‐Molina & Xinlei Zhao, 2008. "Do Voting Rights Affect Institutional Investment Decisions? Evidence from Dual‐Class Firms," Financial Management, Financial Management Association International, vol. 37(4), pages 713-745, December.
- Kai Li & Xinlei Zhao, 2008. "Asymmetric Information and Dividend Policy," Financial Management, Financial Management Association International, vol. 37(4), pages 673-694, December.
- Jarrad Harford & Kai Li & Xinlei Zhao, 2008. "Corporate boards and the leverage and debt maturity choices," International Journal of Corporate Governance, Inderscience Enterprises Ltd, vol. 1(1), pages 3-27.
- Adlai Fisher & Robert Heinkel, 2008. "Reputation and Managerial Truth‐Telling as Self‐Insurance," Journal of Economics & Management Strategy, Wiley Blackwell, vol. 17(2), pages 489-540, June.
- Calvet, Laurent E. & Fisher, Adlai J., 2008.
"Multifrequency jump-diffusions: An equilibrium approach,"
Journal of Mathematical Economics, Elsevier, vol. 44(2), pages 207-226, January.
- Laurent-Emmanuel Calvet & Adlai J. Fisher, 2008. "Multifrequency jump-diffusions: An equilibrium approach," Post-Print hal-00459681, HAL.
- Laurent E. Calvet & Adlai J. Fisher, 2006. "Multifrequency Jump-Diffusions: An Equilibrium Approach," NBER Working Papers 12797, National Bureau of Economic Research, Inc.
2007
- Li, Kai, 2007. "The growth in equity market size and trading activity: An international study," Journal of Empirical Finance, Elsevier, vol. 14(1), pages 59-90, January.
- Chen, Xia & Harford, Jarrad & Li, Kai, 2007. "Monitoring: Which institutions matter?," Journal of Financial Economics, Elsevier, vol. 86(2), pages 279-305, November.
- Jarrad Harford & Kai Li, 2007. "Decoupling CEO Wealth and Firm Performance: The Case of Acquiring CEOs," Journal of Finance, American Finance Association, vol. 62(2), pages 917-949, April.
- Calvet, Laurent E. & Fisher, Adlai J., 2007.
"Multifrequency news and stock returns,"
Journal of Financial Economics, Elsevier, vol. 86(1), pages 178-212, October.
- Laurent-Emmanuel Calvet & Adlai J. Fisher, 2007. "Multifrequency news and stock returns," Post-Print hal-00459675, HAL.
- Laurent-Emmanuel Calvet & Adlai J. Fisher, 2011. "Multifrequency News and Stock Returns," Working Papers hal-00591678, HAL.
- Laurent E. Calvet & Adlai J. Fisher, 2005. "Multifrequency News and Stock Returns," NBER Working Papers 11441, National Bureau of Economic Research, Inc.
2006
- Murray Carlson & Adlai Fisher & Ron Giammarino, 2006. "Corporate Investment and Asset Price Dynamics: Implications for SEO Event Studies and Long‐Run Performance," Journal of Finance, American Finance Association, vol. 61(3), pages 1009-1034, June.
- Calvet, Laurent E. & Fisher, Adlai J. & Thompson, Samuel B., 2006.
"Volatility comovement: a multifrequency approach,"
Journal of Econometrics, Elsevier, vol. 131(1-2), pages 179-215.
- Laurent-Emmanuel Calvet & Adlai J. Fisher & Samuel B. Thompson, 2006. "Volatility Comovement: a multifrequency approach," Post-Print hal-00459667, HAL.
- Laurent E. Calvet & Adlai J. Fisher & Samuel B. Thompson, 2004. "Volatility Comovement: A Multifrequency Approach," NBER Technical Working Papers 0300, National Bureau of Economic Research, Inc.
2004
- Li, Kai, 2004. "Confidence in the Familiar: An International Perspective," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(1), pages 47-68, March.
2003
- Li, Kai & Sarkar, Asani & Wang, Zhenyu, 2003. "Diversification benefits of emerging markets subject to portfolio constraints," Journal of Empirical Finance, Elsevier, vol. 10(1-2), pages 57-80, February.
- Chakravarty, Sugato & Li, Kai, 2003.
"An examination of own account trading by dual traders in futures markets,"
Journal of Financial Economics, Elsevier, vol. 69(2), pages 375-397, August.
- Sugato Chakravarty, 2002. "An examination of own account trading by dual traders in futures markets," Economics Bulletin, AccessEcon, vol. 28(5), pages 1.
- Chakravarty, Sugato & Li, Kai, 2001. "An Examination of Own Account Trading by Dual Traders in Futures Markets," Purdue University Economics Working Papers 1151, Purdue University, Department of Economics.
- Chakravarity, Sugato & Li, Kai, 2002. "An Examination of Own Account Trading by Dual Traders in Future Markets," Purdue University Economics Working Papers 1156, Purdue University, Department of Economics.
- Kai Li & Dale J. Poirier, 2003. "Bayesian analysis of an econometric model of birth inputs and outputs," Journal of Population Economics, Springer;European Society for Population Economics, vol. 16(3), pages 597-625, August.
- Chakravarty, Sugato & Li, Kai, 2003. "A Bayesian analysis of dual trader informativeness in futures markets," Journal of Empirical Finance, Elsevier, vol. 10(3), pages 355-371, May.
- Hollifield, Burton & Koop, Gary & Li, Kai, 2003. "A Bayesian analysis of a variance decomposition for stock returns," Journal of Empirical Finance, Elsevier, vol. 10(5), pages 583-601, December.
- Li, Kai & Poirier, Dale J., 2003. "An econometric model of birth inputs and outputs for Native Americans," Journal of Econometrics, Elsevier, vol. 113(2), pages 337-361, April.
2002
- Kai Li & Asani Sarkar, 2002. "Should U.S. investors hold foreign stocks?," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 8(Mar).
- Laurent Calvet & Adlai Fisher, 2002.
"Multifractality In Asset Returns: Theory And Evidence,"
The Review of Economics and Statistics, MIT Press, vol. 84(3), pages 381-406, August.
- Laurent-Emmanuel Calvet & Adlai J. Fisher, 2002. "Multifractality in Asset Returns: Theory and Evidence," Post-Print hal-00478175, HAL.
2001
- Koop, Gary & Li, Kai, 2001. "The valuation of IPO and SEO firms," Journal of Empirical Finance, Elsevier, vol. 8(4), pages 375-401, September.
- Calvet, Laurent & Fisher, Adlai, 2001.
"Forecasting multifractal volatility,"
Journal of Econometrics, Elsevier, vol. 105(1), pages 27-58, November.
- Laurent-Emmanuel Calvet & Adlai J. Fisher, 2001. "Forecasting multifractal volatility," Post-Print hal-00477952, HAL.
- Laurent Calvet & Adlai Fisher, 1999. "Forecasting Multifractal Volatility," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-017, New York University, Leonard N. Stern School of Business-.
- Laurent Calvet, 2000. "Forecasting Multifractal Volatility," Harvard Institute of Economic Research Working Papers 1902, Harvard - Institute of Economic Research.
1999
- Li, Kai, 1999. "Exchange Rate Target Zone Models: A Bayesian Evaluation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(5), pages 461-490, Sept.-Oct.
- Li, Kai, 1999. "Testing Symmetry and Proportionality in PPP: A Panel-Data Approach," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(4), pages 409-418, October.
- Li, Kai, 1999. "Bayesian analysis of duration models: an application to Chapter 11 bankruptcy," Economics Letters, Elsevier, vol. 63(3), pages 305-312, June.
1998
- Kai, Li, 1998. "Bayesian inference in a simultaneous equation model with limited dependent variables," Journal of Econometrics, Elsevier, vol. 85(2), pages 387-400, August.
Books
2008
- Calvet, Laurent E. & Fisher, Adlai J., 2008. "Multifractal Volatility," Elsevier Monographs, Elsevier, edition 1, number 9780121500139.
Chapters
2021
- Kai Li & Feng Mai & Rui Shen & Xinyan Yan, 2021. "Measuring Corporate Culture Using Machine Learning," NBER Chapters, in: Big Data: Long-Term Implications for Financial Markets and Firms, pages 3265-3315, National Bureau of Economic Research, Inc.
2012
- Jack Favilukis & David Kohn & Sydney C. Ludvigson & Stijn Van Nieuwerburgh, 2012.
"International Capital Flows and House Prices: Theory and Evidence,"
NBER Chapters, in: Housing and the Financial Crisis, pages 235-299,
National Bureau of Economic Research, Inc.
- Jack Favilukis & David Kohn & Sydney C. Ludvigson & Stijn Van Nieuwerburgh, 2012. "International Capital Flows and House Prices: Theory and Evidence," NBER Working Papers 17751, National Bureau of Economic Research, Inc.
Software components
2013
- Carolin E. Pflueger & Su Wang, 2013. "WEAKIVTEST: Stata module to perform weak instrument test for a single endogenous regressor in TSLS and LIML," Statistical Software Components S457732, Boston College Department of Economics, revised 02 Mar 2024.