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Publications

by members of

Arizona State University → W.P. Carey School of Business → Department of Finance

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. This page is updated in the first days of each month.
| Working papers | Journal articles |

Working papers

2018

  1. Seth Pruitt & Nicholas Turner, 2018, "The Nature of Household Labor Income Risk," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2018-034, May, DOI: 10.17016/FEDS.2018.034.
  2. Bryan Kelly & Seth Pruitt & Yinan Su, 2018, "Characteristics Are Covariances: A Unified Model of Risk and Return," NBER Working Papers, National Bureau of Economic Research, Inc, number 24540, Apr.

2015

  1. Michiel De Pooter & Robert F. Martin & Seth Pruitt, 2015, "The Liquidity Effects of Official Bond Market Intervention," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1138, Jul, DOI: 10.17016/IFDP.2015.1138.
  2. Michiel De Pooter & Robert F. Martin & Seth Pruitt & Rebecca DeSimone, 2015, "Cheap Talk and the Efficacy of the ECB’s Securities Market Programme: Did Bond Purchases Matter?," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1139, Jul, DOI: 10.17016/IFDP.2015.1139.
  3. Stefano Giglio & Bryan T. Kelly & Seth Pruitt, 2015, "Systemic Risk and the Macroeconomy: An Empirical Evaluation," NBER Working Papers, National Bureau of Economic Research, Inc, number 20963, Feb.

2013

  1. Jinill Kim & Seth Pruitt, 2013, "Estimating Monetary Policy Rules When Nominal Interest Rates Are Stuck at Zero," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2013-53, Aug.

2010

  1. James D. Hamilton & Seth Pruitt & Scott Borger, 2010, "Estimating the Market-Perceived Monetary Policy Rule," NBER Working Papers, National Bureau of Economic Research, Inc, number 16412, Sep.

2009

  1. Nir Jaimovich & Seth Pruitt & Henry E. Siu, 2009, "The demand for youth: implications for the hours volatility puzzle," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 964.
  2. Max Floetotto & Nir Jaimovich & Seth Pruitt, 2009, "Markup variation and endogenous fluctuations in the price of investment goods," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 968.
  3. Scott C. Borger & James D. Hamilton & Seth Pruitt, 2009, "The market-perceived monetary policy rule," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 982.

2008

  1. Seth Pruitt, 2008, "Uncertainty over models and data: the rise and fall of American inflation," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 962.

1989

  1. Bessembinder, H., 1989, "Risk Premia In Futures And Asset Markets," Papers, Columbia - Center for Futures Markets, number 185.
  2. Bessembinder, H., 1989, "Forward Contracts And Firm Value: Investment Incentive And Contracting Effects," Papers, Rochester, Business - Managerial Economics Research Center, number 89-06.

Journal articles

2025

  1. Hendrik Bessembinder & Michael J. Cooper & Feng Zhang, 2025, "The (Large) Effect of Return Horizon on Fund Alpha," Critical Finance Review, now publishers, volume 14, issue 3, pages 389-424, July, DOI: 10.1561/104.00000163.
  2. Hendrik Bessembinder & Michael J. Cooper & Wei Jiao & Feng Zhang, 2025, "Long-run post-event returns in global stock markets," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, volume 56, issue 9, pages 1150-1169, December, DOI: 10.1057/s41267-025-00810-1.
  3. Hendrik Bessembinder & Te-Feng Chen & Goeun Choi & K. C. John Wei, 2025, "How Should Investors’ Long-Term Returns Be Measured?," Financial Analysts Journal, Taylor & Francis Journals, volume 81, issue 1, pages 33-62, January, DOI: 10.1080/0015198X.2024.2401765.

2024

  1. Ilona Babenko & Hendrik Bessembinder & Yuri Tserlukevich, 2024, "Risk Hedging and Loan Covenants," Management Science, INFORMS, volume 70, issue 11, pages 8067-8095, November, DOI: 10.1287/mnsc.2022.01616.

2023

  1. Bessembinder, Hendrik & Cooper, Michael J. & Zhang, Feng, 2023, "Mutual fund performance at long horizons," Journal of Financial Economics, Elsevier, volume 147, issue 1, pages 132-158, DOI: 10.1016/j.jfineco.2022.10.006.
  2. Hendrik Bessembinder & Te-Feng Chen & Goeun Choi & K. C. John Wei, 2023, "Long-Term Shareholder Returns: Evidence from 64,000 Global Stocks," Financial Analysts Journal, Taylor & Francis Journals, volume 79, issue 3, pages 33-63, July, DOI: 10.1080/0015198X.2023.2188870.
  3. Bryan Kelly & Diogo Palhares & Seth Pruitt, 2023, "Modeling Corporate Bond Returns," Journal of Finance, American Finance Association, volume 78, issue 4, pages 1967-2008, August, DOI: 10.1111/jofi.13233.

2022

  1. Bessembinder, Hendrik & Jacobsen, Stacey & Maxwell, William & Venkataraman, Kumar, 2022, "Overallocation and secondary market outcomes in corporate bond offerings," Journal of Financial Economics, Elsevier, volume 146, issue 2, pages 444-474, DOI: 10.1016/j.jfineco.2022.08.001.
  2. Hendrik Bessembinder & Feng Zhang, 2022, "Long Run Stock Returns after Corporate Events Revisited," Critical Finance Review, now publishers, volume 11, issue 1, pages 169-183, February, DOI: 10.1561/104.00000070.
  3. Bryan Kelly & Seth Pruitt, 2022, "Dissecting Market Expectations in the Cross-Section of Book-to-Market Ratios: A Comment," Critical Finance Review, now publishers, volume 11, issue 2, pages 375-381, May, DOI: 10.1561/104.00000114.

2021

  1. Hendrik Bessembinder & Te-Feng Chen & Goeun Choi & K. C. John Wei, 2021, "Chinese and Global ADRs: The US Investor Experience," Financial Analysts Journal, Taylor & Francis Journals, volume 77, issue 3, pages 53-68, July, DOI: 10.1080/0015198X.2021.1915087.
  2. Kelly, Bryan T. & Moskowitz, Tobias J. & Pruitt, Seth, 2021, "Understanding momentum and reversal," Journal of Financial Economics, Elsevier, volume 140, issue 3, pages 726-743, DOI: 10.1016/j.jfineco.2020.06.024.

2020

  1. Bessembinder, Hendrik & Spatt, Chester & Venkataraman, Kumar, 2020, "A Survey of the Microstructure of Fixed-Income Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 55, issue 1, pages 1-45, February.
  2. Hendrik Bessembinder & Jia Hao & Kuncheng Zheng, 2020, "Liquidity Provision Contracts and Market Quality: Evidence from the New York Stock Exchange," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 1, pages 44-74.
  3. Seth Pruitt & Nicholas Turner, 2020, "Earnings Risk in the Household: Evidence from Millions of US Tax Returns," American Economic Review: Insights, American Economic Association, volume 2, issue 2, pages 237-254, June, DOI: 10.1257/aeri.20190096.

2019

  1. Hendrik Bessembinder & Michael J Cooper & Feng Zhang, 2019, "Characteristic-Based Benchmark Returns and Corporate Events," The Review of Financial Studies, Society for Financial Studies, volume 32, issue 1, pages 75-125.
  2. Kelly, Bryan T. & Pruitt, Seth & Su, Yinan, 2019, "Characteristics are covariances: A unified model of risk and return," Journal of Financial Economics, Elsevier, volume 134, issue 3, pages 501-524, DOI: 10.1016/j.jfineco.2019.05.001.

2018

  1. Hendrik Bessembinder & Stacey Jacobsen & William Maxwell & Kumar Venkataraman, 2018, "Capital Commitment and Illiquidity in Corporate Bonds," Journal of Finance, American Finance Association, volume 73, issue 4, pages 1615-1661, August, DOI: 10.1111/jofi.12694.
  2. Bessembinder, Hendrik, 2018, "Do stocks outperform Treasury bills?," Journal of Financial Economics, Elsevier, volume 129, issue 3, pages 440-457, DOI: 10.1016/j.jfineco.2018.06.004.
  3. Hendrik Bessembinder, 2018, "The “Roll Yield” Myth," Financial Analysts Journal, Taylor & Francis Journals, volume 74, issue 2, pages 41-53, April, DOI: 10.2469/faj.v74.n2.5.
  4. De Pooter, Michiel & Martin, Robert F. & Pruitt, Seth, 2018, "The Liquidity Effects of Official Bond Market Intervention," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 53, issue 1, pages 243-268, February.

2017

  1. Jinill Kim & Seth Pruitt, 2017, "Estimating Monetary Policy Rules When Nominal Interest Rates Are Stuck at Zero," Journal of Money, Credit and Banking, Blackwell Publishing, volume 49, issue 4, pages 585-602, June, DOI: 10.1111/jmcb.12391.

2016

  1. Bessembinder, Hendrik & Carrion, Allen & Tuttle, Laura & Venkataraman, Kumar, 2016, "Liquidity, resiliency and market quality around predictable trades: Theory and evidence," Journal of Financial Economics, Elsevier, volume 121, issue 1, pages 142-166, DOI: 10.1016/j.jfineco.2016.02.011.
  2. Giglio, Stefano & Kelly, Bryan & Pruitt, Seth, 2016, "Systemic risk and the macroeconomy: An empirical evaluation," Journal of Financial Economics, Elsevier, volume 119, issue 3, pages 457-471, DOI: 10.1016/j.jfineco.2016.01.010.

2015

  1. Hendrik Bessembinder & Jia Hao & Kuncheng Zheng, 2015, "Market Making Contracts, Firm Value, and the IPO Decision," Journal of Finance, American Finance Association, volume 70, issue 5, pages 1997-2028, October.
  2. Hendrik Bessembinder & Feng Zhang, 2015, "Predictable Corporate Distributions and Stock Returns," The Review of Financial Studies, Society for Financial Studies, volume 28, issue 4, pages 1199-1241.
  3. Kelly, Bryan & Pruitt, Seth, 2015, "The three-pass regression filter: A new approach to forecasting using many predictors," Journal of Econometrics, Elsevier, volume 186, issue 2, pages 294-316, DOI: 10.1016/j.jeconom.2015.02.011.

2013

  1. Elena Asparouhova & Hendrik Bessembinder & Ivalina Kalcheva, 2013, "Noisy Prices and Inference Regarding Returns," Journal of Finance, American Finance Association, volume 68, issue 2, pages 665-714, April, DOI: jofi.12010.
  2. Bessembinder, Hendrik & Zhang, Feng, 2013, "Firm characteristics and long-run stock returns after corporate events," Journal of Financial Economics, Elsevier, volume 109, issue 1, pages 83-102, DOI: 10.1016/j.jfineco.2013.02.009.
  3. Hendrik Bessembinder & William F. Maxwell & Kumar Venkataraman, 2013, "Trading Activity and Transaction Costs in Structured Credit Products," Financial Analysts Journal, Taylor & Francis Journals, volume 69, issue 6, pages 55-67, November, DOI: 10.2469/faj.v69.n6.2.
  4. Nir Jaimovich & Seth Pruitt & Henry E. Siu, 2013, "The Demand for Youth: Explaining Age Differences in the Volatility of Hours," American Economic Review, American Economic Association, volume 103, issue 7, pages 3022-3044, December.
  5. Bryan Kelly & Seth Pruitt, 2013, "Market Expectations in the Cross-Section of Present Values," Journal of Finance, American Finance Association, volume 68, issue 5, pages 1721-1756, October.

2012

  1. Seth Pruitt, 2012, "Uncertainty Over Models and Data: The Rise and Fall of American Inflation," Journal of Money, Credit and Banking, Blackwell Publishing, volume 44, issue , pages 341-365, March, DOI: j.1538-4616.2011.00490.x.

2011

  1. James D. Hamilton & Seth Pruitt & Scott Borger, 2011, "Estimating the Market-Perceived Monetary Policy Rule," American Economic Journal: Macroeconomics, American Economic Association, volume 3, issue 3, pages 1-28, July.

2010

  1. Asparouhova, Elena & Bessembinder, Hendrik & Kalcheva, Ivalina, 2010, "Liquidity biases in asset pricing tests," Journal of Financial Economics, Elsevier, volume 96, issue 2, pages 215-237, May.

2009

  1. Bessembinder, Hendrik & Panayides, Marios & Venkataraman, Kumar, 2009, "Hidden liquidity: An analysis of order exposure strategies in electronic stock markets," Journal of Financial Economics, Elsevier, volume 94, issue 3, pages 361-383, December.
  2. Hendrik Bessembinder & Kathleen M. Kahle & William F. Maxwell & Danielle Xu, 2009, "Measuring Abnormal Bond Performance," The Review of Financial Studies, Society for Financial Studies, volume 22, issue 10, pages 4219-4258, October.

2008

  1. Hendrik Bessembinder & William Maxwell, 2008, "Markets: Transparency and the Corporate Bond Market," Journal of Economic Perspectives, American Economic Association, volume 22, issue 2, pages 217-234, Spring.
  2. Jerry H. Tempelman & Hendrik Bessembinder & William Maxwell, 2008, "Comments," Journal of Economic Perspectives, American Economic Association, volume 22, issue 4, pages 225-226, Fall.

2006

  1. Bessembinder, Hendrik & Maxwell, William & Venkataraman, Kumar, 2006, "Market transparency, liquidity externalities, and institutional trading costs in corporate bonds," Journal of Financial Economics, Elsevier, volume 82, issue 2, pages 251-288, November.
  2. Hendrik Bessembinder & Michael L. Lemmon, 2006, "Gains from Trade under Uncertainty: The Case of Electric Power Markets," The Journal of Business, University of Chicago Press, volume 79, issue 4, pages 1755-1782, July, DOI: 10.1086/503647.

2004

  1. Bessembinder, Hendrik & Venkataraman, Kumar, 2004, "Does an electronic stock exchange need an upstairs market?," Journal of Financial Economics, Elsevier, volume 73, issue 1, pages 3-36, July.

2003

  1. Bessembinder, Hendrik, 2003, "Trade Execution Costs and Market Quality after Decimalization," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 38, issue 4, pages 747-777, December.
  2. Bessembinder, Hendrik, 2003, "Issues in assessing trade execution costs," Journal of Financial Markets, Elsevier, volume 6, issue 3, pages 233-257, May.
  3. Bessembinder, Hendrik, 2003, "Quote-based competition and trade execution costs in NYSE-listed stocks," Journal of Financial Economics, Elsevier, volume 70, issue 3, pages 385-422, December.

2002

  1. Hendrik Bessembinder & Michael L. Lemmon, 2002, "Equilibrium Pricing and Optimal Hedging in Electricity Forward Markets," Journal of Finance, American Finance Association, volume 57, issue 3, pages 1347-1382, June, DOI: 10.1111/1540-6261.00463.

2000

  1. Bessembinder, Hendrik, 2000, "Tick Size, Spreads, and Liquidity: An Analysis of Nasdaq Securities Trading near Ten Dollars," Journal of Financial Intermediation, Elsevier, volume 9, issue 3, pages 213-239, July.

1999

  1. Bessembinder, Hendrik, 1999, "Trade Execution Costs on NASDAQ and the NYSE: A Post-Reform Comparison," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 34, issue 3, pages 387-407, September.

1998

  1. Hendrik Bessembinder & Kalok Chan, 1998, "Market Efficiency and the Returns to Technical Analysis," Financial Management, Financial Management Association, volume 27, issue 2, Summer.
  2. Hendrik Bessembinder & Herbert M. Kaufman, 1998, "Trading Costs and Volatility for Technology Stocks," Financial Analysts Journal, Taylor & Francis Journals, volume 54, issue 5, pages 64-71, September, DOI: 10.2469/faj.v54.n5.2213.

1997

  1. Bessembinder, Hendrik & Kaufman, Herbert M., 1997, "A Comparison of Trade Execution Costs for NYSE and NASDAQ-Listed Stocks," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 32, issue 3, pages 287-310, September.
  2. Bessembinder, Hendrik, 1997, "The degree of price resolution and equity trading costs," Journal of Financial Economics, Elsevier, volume 45, issue 1, pages 9-34, July.
  3. Bessembinder, Hendrik & Kaufman, Herbert M., 1997, "A cross-exchange comparison of execution costs and information flow for NYSE-listed stocks," Journal of Financial Economics, Elsevier, volume 46, issue 3, pages 293-319, December.

1996

  1. Bessembinder, Hendrik & Chan, Kalok & Seguin, Paul J., 1996, "An empirical examination of information, differences of opinion, and trading activity," Journal of Financial Economics, Elsevier, volume 40, issue 1, pages 105-134, January.

1995

  1. Bessembinder, Hendrik, et al, 1995, "Mean Reversion in Equilibrium Asset Prices: Evidence from the Futures Term Structure," Journal of Finance, American Finance Association, volume 50, issue 1, pages 361-375, March.
  2. Bessembinder, Hendrik & Chan, Kalok, 1995, "The profitability of technical trading rules in the Asian stock markets," Pacific-Basin Finance Journal, Elsevier, volume 3, issue 2-3, pages 257-284, July.

1994

  1. Bessembinder, Hendrik, 1994, "Bid-ask spreads in the interbank foreign exchange markets," Journal of Financial Economics, Elsevier, volume 35, issue 3, pages 317-348, June.

1993

  1. Bessembinder, Hendrik & Seguin, Paul J., 1993, "Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 28, issue 1, pages 21-39, March.
  2. Bessembinder, Hendrik & Hertzel, Michael G, 1993, "Return Autocorrelations around Nontrading Days," The Review of Financial Studies, Society for Financial Studies, volume 6, issue 1, pages 155-189.
  3. Hendrik Bessembinder, 1993, "An empirical analysis of risk premia in futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 13, issue 6, pages 611-630, September.

1992

  1. Bessembinder, Hendrik & Seguin, Paul J, 1992, "Futures-Trading Activity and Stock Price Volatility," Journal of Finance, American Finance Association, volume 47, issue 5, pages 2015-2034, December.
  2. Bessembinder, Hendrik & Chan, Kalok, 1992, "Time-varying risk premia and forecastable returns in futures markets," Journal of Financial Economics, Elsevier, volume 32, issue 2, pages 169-193, October.
  3. Bessembinder, Hendrik, 1992, "Systematic Risk, Hedging Pressure, and Risk Premiums in Futures Markets," The Review of Financial Studies, Society for Financial Studies, volume 5, issue 4, pages 637-667.

1991

  1. Bessembinder, Hendrik, 1991, "Forward Contracts and Firm Value: Investment Incentive and Contracting Effects," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 26, issue 4, pages 519-532, December.

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