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Publications

by members of

Finance
Rotman School of Management
University of Toronto
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. This page is updated in the first days of each month.
| Working papers | Journal articles | Chapters |

Working papers

Undated material is listed at the end

2023

  1. Marianne Bertrand & Matilde Bombardini & Raymond Fisman & Francesco Trebbi & Eyub Yegen, 2023. "Investing in Influence: Investors, Portfolio Firms, and Political Giving," NBER Working Papers 30876, National Bureau of Economic Research, Inc.

2021

  1. Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-Díaz & Menachem Abudy & To, 2021. "Non-Standard Errors," Working Paper Series, Social and Economic Sciences 2021-11, Faculty of Social and Economic Sciences, Karl-Franzens-University Graz.

2020

  1. Yuxi Cai & Fan Long & Andreas Park & Andreas Veneris, 2020. "Engineering Economics in the Conflux Network," Papers 2004.13696, arXiv.org.
  2. John M. Maheu & Thomas H. McCurdy & Yong Song, 2020. "Bull and Bear Markets During the COVID-19 Pandemic," Papers 2012.01623, arXiv.org.
  3. Han, Bing & Han, Lu & Zhou, Zhengyi, 2020. "Housing Market and Entrepreneurship: Micro Evidence from China," MPRA Paper 102597, University Library of Munich, Germany, revised 17 Aug 2020.

2019

  1. Andreas Veneris & Andreas Park, 2019. "Special Drawing Rights in a New Decentralized Century," Papers 1907.11057, arXiv.org.
  2. Michael Brolley & Marius Zoican, 2019. "Liquid Speed: On-Demand Fast Trading at Distributed Exchanges," Papers 1907.10720, arXiv.org.
  3. Bing Han & David Hirshleifer & Johan Walden, 2019. "Visibility Bias in the Transmission of Consumption Beliefs and Undersaving," NBER Working Papers 25566, National Bureau of Economic Research, Inc.

2018

  1. Bing Han & David Hirshleifer & Johan Walden, 2018. "Social Transmission Bias and Investor Behavior," NBER Working Papers 24281, National Bureau of Economic Research, Inc.

2017

  1. Mariana Khapko & Marius Andrei Zoican, 2017. ""Smart" Settlement," Post-Print hal-01491563, HAL.
  2. Kick, Thomas & Celerier, Claire & Ongena, Steven, 2017. "Changes in the Cost of Bank Equity and the Supply of Bank Credit," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168164, Verein für Socialpolitik / German Economic Association.
  3. Vives, Xavier & Yang, Liyan & Mondria, Jordi, 2017. "Costly Interpretation of Asset Prices," CEPR Discussion Papers 12360, C.E.P.R. Discussion Papers.

2016

  1. Park, Andreas & Sgroi, Daniel, 2016. "Herding and Contrarian Behavior in Financial Markets: An Experimental Analysis," Economic Research Papers 269716, University of Warwick - Department of Economics.
  2. Lucyna Anna Gornicka & Marius Andrei Zoican, 2016. "Too-International-to-Fail? Supranational Bank Resolution and Market Discipline," Post-Print hal-01253632, HAL.
  3. Albert Menkveld & Emiliano Pagnotta & Marius Andrei Zoican, 2016. "Does Central Clearing Affect Price Stability? Evidence from Nordic Equity Markets," Working Papers hal-01253702, HAL.
  4. Marlene Haas & Marius Andrei Zoican, 2016. "Beyond the Frequency Wall: Speed and Liquidity on Batch Auction Markets," Post-Print hal-01484805, HAL.
  5. Célérier, Claire & Vallée, Boris, 2016. "Catering to investors through product complexity," ESRB Working Paper Series 14, European Systemic Risk Board.
  6. Gunther Capelle-Blancard & Claire Célérier, 2016. "Étudier à Paris, travailler à Londres : fuite des cerveaux et allocation des talents," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01441800, HAL.

2014

  1. Marius Andrei Zoican & Lucyna Anna Gornicka, 2014. "Banking Union Optimal Design under Moral Hazard," 2014 Papers pzo33, Job Market Papers.
  2. Albert J. Menkveld & Marius A. Zoican, 2014. "Need for Speed? Exchange Latency and Liquidity," Tinbergen Institute Discussion Papers 14-097/IV, Tinbergen Institute.
  3. Kadir G. Babaoglou & Peter Christoffersen & Steven L. Heston & Kris Jacobs, 2014. "Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels," CREATES Research Papers 2015-55, Department of Economics and Business Economics, Aarhus University.
  4. Claire Célérier & Adrien Matray, 2014. "Mainstream Finance: Why Don't the Poor Participate? Evidence from Bank Branching Deregulation in the United States," Working Papers hal-02058261, HAL.
  5. Matray , Adrien & Celerier , Claire, 2014. "Unbanked Households: Evidence of Supply-Side Factors," HEC Research Papers Series 1039, HEC Paris.
  6. Liyan Yang & Itay Goldstein, 2014. "Market Efficiency and Real Efficiency: The Connect and Disconnect via Feedback Effects," 2014 Meeting Papers 154, Society for Economic Dynamics.
  7. Liyan Yang & Itay Goldstein, 2014. "Good Disclosure, Bad Disclosure," 2014 Meeting Papers 42, Society for Economic Dynamics.

2013

  1. Albert J. Menkveld & Emiliano Pagnotta & Marius A. Zoican, 2013. "Central Clearing and Asset Prices," Tinbergen Institute Discussion Papers 13-181/IV/DSF67, Tinbergen Institute.
  2. Marius A. Zoican & Lucyna A. Górnicka, 2013. "Banking Unions: Distorted Incentives and Efficient Bank Resolution," Tinbergen Institute Discussion Papers 13-184/VI, Tinbergen Institute, revised 16 May 2014.
  3. Kamstra, Mark J. & Kramer, Lisa A. & Levi, Maurice D. & Wermers, Russ, 2013. "Seasonal asset allocation: Evidence from mutual fund flows," CFR Working Papers 13-09, University of Cologne, Centre for Financial Research (CFR).
  4. Claire Célérier & Boris Vallée, 2013. "What Drives Financial Complexity? A Look into the Retail Market for Structured Products," Working Papers hal-02058239, HAL.

2012

  1. John M. Maheu & Thomas H. McCurdy & Xiaofei Zhao, 2012. "Do Jumps Contribute to the Dynamics of the Equity Premium?," Working Paper series 47_12, Rimini Centre for Economic Analysis.
  2. Liyan Yang & Itay Goldstein, 2012. "Information Diversity and Market Efficiency Spirals," 2012 Meeting Papers 349, Society for Economic Dynamics.

2010

  1. Christoffersen, Susan E. K. & Sarkissian, Sergei, 2010. "The demographics of fund turnover," MPRA Paper 28651, University Library of Munich, Germany.
  2. John M Maheu & Thomas H McCurdy & Yong Song, 2010. "Components of bull and bear markets: bull corrections and bear rallies," Working Papers tecipa-402, University of Toronto, Department of Economics.
  3. A. Craig Burnside & Bing Han & David A. Hirshleifer & Tracy Yue Wang, 2010. "Investor Overconfidence and the Forward Premium Puzzle," Working Papers 10-46, Duke University, Department of Economics.
  4. Claire Célérier & Delphine Irac & Philippe Askenazy, 2010. "Vente à distance, Internet et dynamique des prix," Post-Print halshs-00754424, HAL.
  5. Célérier, C., 2010. "Compensation in the Financial Sector: Are all Bankers Superstars?," Working papers 294, Banque de France.

2009

  1. Park, A. & Sabourian, H., 2009. "Herding and Contrarian Behaviour in Financial Markets," Cambridge Working Papers in Economics 0939, Faculty of Economics, University of Cambridge.
  2. Park, A. & Sgroi, D., 2009. "Herding, Contrarianism and Delay in Financial Market Trading," Cambridge Working Papers in Economics 0941, Faculty of Economics, University of Cambridge.
  3. Katya Malinova & Andreas Park, 2009. "Trading Volume in Dealer Markets," Working Papers tecipa-357, University of Toronto, Department of Economics.
  4. Katya Malinova & Andreas Park, 2009. "Liquidity, Volume, and Price Behavior: The Impact of Order vs. Quote Based Trading," Working Papers tecipa-358, University of Toronto, Department of Economics.
  5. Katya Malinova & Andreas Park, 2009. "Intraday Trading Patterns: The Role of Timing," Working Papers tecipa-365, University of Toronto, Department of Economics.
  6. John M. Maheu & Thomas H. McCurdy, 2009. "Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions?," Working Paper series 19_09, Rimini Centre for Economic Analysis.
  7. John M Maheu & Thomas H McCurdy & Yong Song, 2009. "Extracting bull and bear markets from stock returns," Working Papers tecipa-369, University of Toronto, Department of Economics.
  8. Célérier, C., 2009. "Forecasting inflation in France," Working papers 262, Banque de France.

2008

  1. Park, Andreas & Sgroi, Daniel, 2008. "When Herding and Contrarianism Foster Market Efficiency: A Financial Trading Experiment," Economic Research Papers 269852, University of Warwick - Department of Economics.
  2. Park, Andreas & Sgroi, Daniel, 2008. "Herding and Contrarianism in a Financial Trading Experiment with Endogenous Timing," Economic Research Papers 269879, University of Warwick - Department of Economics.
  3. Andreas Park, 2008. "Bid-Ask Spreads and Volume:The Role of Trade Timing," Working Papers tecipa-309, University of Toronto, Department of Economics.
  4. Andreas Park & Lones Smith, 2008. "Caller Number Five and Related Timing Games," Working Papers tecipa-317, University of Toronto, Department of Economics.
  5. Alexander Dyck & David Moss & Luigi Zingales, 2008. "Media versus Special Interests," NBER Working Papers 14360, National Bureau of Economic Research, Inc.
  6. Daglish, Toby & Maheu, John & McCurdy, Tom, 2008. "A Financial Metric for Comparing Volatility Models: Do Better Models Make Money?," Working Paper Series 19110, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.

2007

  1. Alexander Dyck & Adair Morse & Luigi Zingales, 2007. "Who Blows the Whistle on Corporate Fraud?," NBER Working Papers 12882, National Bureau of Economic Research, Inc.
  2. John M. Maheu & Thomas H. McCurdy, 2007. "How useful are historical data for forecasting the long-run equity return distribution?," Working Paper series 19_07, Rimini Centre for Economic Analysis.
  3. John M Maheu & Thomas H McCurdy, 2007. "Modeling foreign exchange rates with jumps," Working Papers tecipa-279, University of Toronto, Department of Economics.
  4. Cao, Henry & Han, Bing & Hirshleifer, David & Zhang, Harold, 2007. "Fear of the Unknown: Familiarity and Economic Decisions," MPRA Paper 6512, University Library of Munich, Germany.

2006

  1. Andreas Park & Lones Smith, 2006. "Caller Number Five: Timing Games that Morph from One Form to Another," Cowles Foundation Discussion Papers 1554, Cowles Foundation for Research in Economics, Yale University.
  2. Andreas Park & Hamid Sabourian, 2006. "Herd Behavior in Efficient Financial Markets," Working Papers tecipa-249, University of Toronto, Department of Economics.
  3. Alexander Dyck & Natalya Volchkova & Luigi Zingales, 2006. "The Corporate Governance Role of the Media: Evidence from Russia," NBER Working Papers 12525, National Bureau of Economic Research, Inc.

2005

  1. Lones Smith & Andreas Park, 2005. "Endogenous Herding and The Gold Rush: Timing Models with Both Explosive and Timed Entry," 2005 Meeting Papers 468, Society for Economic Dynamics.
  2. Han, Bing & Longstaff, Francis A. & Merrill, Craig, 2005. "The Cherry-Picking Option in the U.S. Treasury Buyback Auctions," Working Paper Series 2004-23, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  3. Han, Bing & Wang, Winghai, 2005. "Institutional Investment Constraints and Stock Prices," Working Paper Series 2004-24, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  4. Han, Bing & Hirshleifer, David & Persons, John, 2005. "Promotion Tournaments and Capital Rationing," Working Paper Series 2005-20, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  5. Han, Bing & Hirshleifer, David & Wang, Tracy Yue, 2005. "Investor Overconfidence and the Forward Discount Puzzle," Working Paper Series 2005-21, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  6. Tian, Guoqiang & Yang, Liyan, 2005. "How are Income and Non-Income Factors Different in Promoting Happiness? An Answer to the Easterlin Paradox," MPRA Paper 41209, University Library of Munich, Germany, revised Mar 2010.

2004

  1. Susan Christoffersen & Christopher C. Geczy & David K. Musto & Adam V. Reed, 2004. "Do Shareholders' Preferences Affect their Funds' Management? Evidence from the Cross Section of Shareholders and Funds," CIRANO Working Papers 2004s-22, CIRANO.
  2. Susan Christoffersen & Christopher C. Geczy & David K. Musto & Adam V. Reed, 2004. "How and Why do Investors Trade Votes, and What Does it Mean?," CIRANO Working Papers 2004s-23, CIRANO.
  3. Alan G. White & Jaison R. Abel & Ernst R. Berndt & Cory W. Monroe, 2004. "Hedonic Price Indexes for Personal Computer Operating Systems and Productivity Suites," NBER Working Papers 10427, National Bureau of Economic Research, Inc.
  4. Mihir A. Desai & Alexander Dyck & Luigi Zingales, 2004. "Theft and Taxes," NBER Working Papers 10978, National Bureau of Economic Research, Inc.
  5. Longstaff, Francis A & Han, Bing & Merrill, Craig, 2004. "Revenue Implications of Multi-Item Multi-Unit Auction Designs: Empirical Evidence from the U.S. Treasury Buyback Auctions," University of California at Los Angeles, Anderson Graduate School of Management qt7344v866, Anderson Graduate School of Management, UCLA.
  6. Han, Bing, 2004. "Insider Ownership and Corporate Value: Evidences from Real Estate Investment Trust," Working Paper Series 2004-1, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  7. 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.

2003

  1. Christoffersen, Susan E. K. & Geczy, Christopher C. & Musto, David K. & Reed, Adam V., 2003. "The Limits to Dividend Arbitrage: Implications for Cross-Border Investment," Working Papers 03-2, University of Pennsylvania, Wharton School, Weiss Center.
  2. Jaison R. Abel & Ernst R. Berndt & Alan G. White, 2003. "Price Indexes for Microsoft's Personal Computer Software Products," NBER Working Papers 9966, National Bureau of Economic Research, Inc.
  3. John M. Maheu & Thomas McCurdy, 2003. "News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns," CIRANO Working Papers 2003s-38, CIRANO.
  4. 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. Bartling, Bjoern & Andreas Park, 2002. "Aftermarket Short Covering and the Pricing of IPOs," Royal Economic Society Annual Conference 2002 16, Royal Economic Society.
  2. Alexander Dyck & Luigi Zingales, 2002. "The Corporate Governance Role of the Media," NBER Working Papers 9309, National Bureau of Economic Research, Inc.
  3. Alexander Dyck & Luigi Zingales, 2002. "Private Benefits of Control: An International Comparison," NBER Working Papers 8711, National Bureau of Economic Research, Inc.
  4. 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. John M. Maheu & Thomas McCurdy, 2001. "Nonlinear Features of Realized FX Volatility," CIRANO Working Papers 2001s-42, CIRANO.
  2. Grinblatt, Mark & Han, Bing, 2001. "The Disposition Effect and Momentum," University of California at Los Angeles, Anderson Graduate School of Management qt6qg5d62p, Anderson Graduate School of Management, UCLA.

2000

  1. Susan E.K. Christoffersen, 2000. "Fee Waivers in Money Market Mutual Funds," Center for Financial Institutions Working Papers 97-46, Wharton School Center for Financial Institutions, University of Pennsylvania.
  2. Susan E. K. Christoffersen, 2000. "The Interdependence between Mutual Fund Managers and Investors in Setting Fees," Center for Financial Institutions Working Papers 00-43, Wharton School Center for Financial Institutions, University of Pennsylvania.
  3. John M. Maheu & Tom McCurdy, 2000. "Volatility Dynamics Under Duration-Dependent Mixing," Econometric Society World Congress 2000 Contributed Papers 1427, Econometric Society.

1999

  1. Susan Christoffersen & David K. Musto, 1999. "Demand Curves and the Pricing of Money Management," Center for Financial Institutions Working Papers 99-31, Wharton School Center for Financial Institutions, University of Pennsylvania.
  2. Maheu, J.M. & McCurdy, T.H., 1999. "A Semi-Markov Approach to Modeling Volatility Dynamics," Rotman School of Management - Finance 99-004, Rotman School of Management, University of Toronto.

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.

1993

  1. J. Michael Durland & Thomas H. McCurdy, 1993. "Duration Dependent Transitions in a Markov Model of U.S. GNP Growth," Working Paper 887, Economics Department, Queen's University.

1991

  1. Thomas H. McCurdy & Thansis Stengos, 1991. "A Comparison of Risk-Premium Forecasts implied by Parametric versus Nonparametric Conditional Mean Estimators," Working Paper 843, Economics Department, Queen's University.
  2. Thomas H. McCurdy & Ieuan G. Morgan, 1991. "Single Beta Models and currency Futures Prices," Working Paper 845, Economics Department, Queen's University.
  3. Nicholas Ricketts & Thomas H. McCurdy, 1991. "An International Economy with Country-Specific Money and Productivity Growth Processes," Working Paper 846, Economics Department, Queen's University.

1989

  1. McCurdy, T.H. & Morgan, I.G., 1989. "Evidence of risk Premia in Foreign Currency Futures Markets," UFAE and IAE Working Papers 130.90, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).

1988

  1. Julian R. Betts & Thomas H. McCurdy, 1988. "Sources of Employment Growth By Occupation and Industry in Canada: A Comparison of Structural Changes in the 1960's and 1970's," Working Paper 730, Economics Department, Queen's University.

1986

  1. Thomas H. McCurdy & Ieuan G. Morgan, 1986. "Tests of the Martingale Hypothesis for Foreign Currency Futures with Time-Varying Volatility," Working Paper 663, Economics Department, Queen's University.

1985

  1. McCurdy, Thomas H. & Yannelis, Demetrius C., 1985. "Simultaneous Price-Quantity Adjustments in the Presence of Spillovers Across Markets," Queen's Institute for Economic Research Discussion Papers 275195, Queen's University - Department of Economics.
  2. Thomas H. McCurdy, 1985. "Employment and Income Effects of Microelectronic-Based Technical Change : A Multisectoral Study for Canada," Working Paper 618, Economics Department, Queen's University.
  3. Thomas H. McCurdy, 1985. "Occupational Implications of Microelectronic-Based Technical Change : A Multisectoral Study for Canada," Working Paper 619, Economics Department, Queen's University.
  4. Thomas H. McCurdy & Ieuan G. Morgan, 1985. "Testing the Martingale Hypothesis in the Deutschmark/US dollar Futures and Spot Markets," Working Paper 639, Economics Department, Queen's University.

1984

  1. Allan W. Gregory & Thomas H. McCurdy, 1984. "The Unbiasedness Hypothesis in the Forward Foreign Exchange Market: A Cross Country Specification Analysis," Working Paper 566, Economics Department, Queen's University.
  2. Thomas H. McCurdy & Demetrius C. Yannelis, 1984. "On the Boundary Between Keynesian Unemployment and Repressed Inflation," Working Paper 568, Economics Department, Queen's University.
  3. Thomas H. McCurdy, 1984. "An Efficiency Frontier Model for Analysing Macroeconomic Implications of Structural Shocks," Working Paper 571, Economics Department, Queen's University.

1982

  1. Thomas H. McCurdy, 1982. "Non-Steady-State Dynamic Growth Theory," Working Paper 484, Economics Department, Queen's University.
  2. Allan W. Gregory & Thomas H. McCurdy, 1982. "Efficiency of the Forward Foreign Exchange Market: A Stability Analysis Using Canadian/U.S. Weekly and Monthly Data," Working Paper 507, Economics Department, Queen's University.

Undated

  1. Mihir Desai & Alexander Dyck & Luigi Zingales, "undated". "Corporate Governance and Taxation," American Law & Economics Association Annual Meetings 1093, American Law & Economics Association.

Journal articles

2022

  1. Jeon, Yoontae & McCurdy, Thomas H. & Zhao, Xiaofei, 2022. "News as sources of jumps in stock returns: Evidence from 21 million news articles for 9000 companies," Journal of Financial Economics, Elsevier, vol. 145(2), pages 1-17.
  2. Han, Bing & Hirshleifer, David & Walden, Johan, 2022. "Social Transmission Bias and Investor Behavior," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 57(1), pages 390-412, February.

2021

  1. Maheu, John M. & McCurdy, Thomas H. & Song, Yong, 2021. "Bull and bear markets during the COVID-19 pandemic," Finance Research Letters, Elsevier, vol. 42(C).
  2. Yong Chen & Bing Han & Jing Pan, 2021. "Sentiment Trading and Hedge Fund Returns," Journal of Finance, American Finance Association, vol. 76(4), pages 2001-2033, August.
  3. Bing Han & Gang Li, 2021. "Information Content of Aggregate Implied Volatility Spread," Management Science, INFORMS, vol. 67(2), pages 1249-1269, February.
  4. Xiong, Yan & Yang, Liyan, 2021. "Disclosure, competition, and learning from asset prices," Journal of Economic Theory, Elsevier, vol. 197(C).
  5. Liyan Yang & Haoxiang Zhu, 2021. "Strategic Trading When Central Bank Intervention Is Predictable [Uncovering hedge fund skill from the portfolio holdings they hide]," The Review of Asset Pricing Studies, Oxford University Press, vol. 11(4), pages 735-761.

2020

  1. Huang, Shiyang & Qiu, Zhigang & Yang, Liyan, 2020. "Institutionalization, delegation, and asset prices," Journal of Economic Theory, Elsevier, vol. 186(C).
  2. Liyan Yang & Haoxiang Zhu, 2020. "Back-Running: Seeking and Hiding Fundamental Information in Order Flows [Arbitraging arbitrageurs]," Review of Financial Studies, Society for Financial Studies, vol. 33(4), pages 1484-1533.

2019

  1. Mak, Kevin & McCurdy, Thomas H., 2019. "Simulation-based learning using the RIT market simulator and RIT decision cases," Journal of Behavioral and Experimental Finance, Elsevier, vol. 23(C), pages 12-22.
  2. Han, Bing & Lu, Lei & Zhou, Yi, 2019. "Two Trees with Heterogeneous Beliefs: Spillover Effect of Disagreement," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 54(4), pages 1791-1819, August.
  3. Liyan Yang, 2019. "Loss Aversion in Financial Markets," The Journal of Mechanism and Institution Design, Society for the Promotion of Mechanism and Institution Design, University of York, vol. 4(1), pages 119-137, November.
  4. Goldstein, Itay & Yang, Liyan, 2019. "Good disclosure, bad disclosure," Journal of Financial Economics, Elsevier, vol. 131(1), pages 118-138.

2018

  1. Comerton-Forde, Carole & Malinova, Katya & Park, Andreas, 2018. "Regulating dark trading: Order flow segmentation and market quality," Journal of Financial Economics, Elsevier, vol. 130(2), pages 347-366.
  2. Bing Han & Dongmin Kong & Shasha Liu, 2018. "Do Analysts Gain an Informational Advantage by Visiting Listed Companies?," Contemporary Accounting Research, John Wiley & Sons, vol. 35(4), pages 1843-1867, December.
  3. Bing Han & Lu Han & Guozhong Zhu, 2018. "Housing Price And Fundamentals In A Transition Economy: The Case Of The Beijing Market," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 59(3), pages 1653-1677, August.
  4. Francesco Bova & Liyan Yang, 2018. "State‐Owned Enterprises, Competition, and Disclosure," Contemporary Accounting Research, John Wiley & Sons, vol. 35(2), pages 596-621, June.

2017

  1. Susan E. K. Christoffersen & Mikhail Simutin, 2017. "On the Demand for High-Beta Stocks: Evidence from Mutual Funds," Review of Financial Studies, Society for Financial Studies, vol. 30(8), pages 2596-2620.
  2. Christoffersen, Susan E. K. & Xu, Haoyu, 2017. "Investor Attrition and Fund Flows in Mutual Funds," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(3), pages 867-893, June.
  3. Axel Anderson & Lones Smith & Andreas Park, 2017. "Rushes in Large Timing Games," Econometrica, Econometric Society, vol. 85, pages 871-913, May.
  4. Albert J. Menkveld & Marius A. Zoican, 2017. "Need for Speed? Exchange Latency and Liquidity," Review of Financial Studies, Society for Financial Studies, vol. 30(4), pages 1188-1228.
  5. Yoontae Jeon & Thomas H. McCurdy, 2017. "Time-Varying Window Length for Correlation Forecasts," Econometrics, MDPI, vol. 5(4), pages 1-29, December.
  6. Cao, Jie & Han, Bing & Wang, Qinghai, 2017. "Institutional Investment Constraints and Stock Prices," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(2), pages 465-489, April.
  7. Han, Bing & Subrahmanyam, Avanidhar & Zhou, Yi, 2017. "The term structure of credit spreads, firm fundamentals, and expected stock returns," Journal of Financial Economics, Elsevier, vol. 124(1), pages 147-171.
  8. Kamstra, Mark J. & Kramer, Lisa A. & Levi, Maurice D. & Wermers, Russ, 2017. "Seasonal Asset Allocation: Evidence from Mutual Fund Flows," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(1), pages 71-109, February.
  9. Claire Célérier & Boris Vallée, 2017. "Catering to Investors Through Security Design: Headline Rate and Complexity," The Quarterly Journal of Economics, Oxford University Press, vol. 132(3), pages 1469-1508.
  10. Liyan Yang & Haoxiang Zhu, 2017. "Nonfundamental Speculation Revisited," Journal of Finance, American Finance Association, vol. 72(6), pages 2759-2772, December.
  11. Itay Goldstein & Liyan Yang, 2017. "Information Disclosure in Financial Markets," Annual Review of Financial Economics, Annual Reviews, vol. 9(1), pages 101-125, November.
  12. Partha Mohanram & Liyan Yang, 2017. "Recap of the 27th annual financial economics and accounting conference, September 30–October 1, 2016," Review of Quantitative Finance and Accounting, Springer, vol. 48(3), pages 849-858, April.
  13. Ling Cen & K. C. John Wei & Liyan Yang, 2017. "Disagreement, Underreaction, and Stock Returns," Management Science, INFORMS, vol. 63(4), pages 1214-1231, April.
  14. Bova, Francesco & Yang, Liyan, 2017. "Employee bargaining power, inter-firm competition, and equity-based compensation," Journal of Financial Economics, Elsevier, vol. 126(2), pages 342-363.

2016

  1. Górnicka, Lucyna A. & Zoican, Marius A., 2016. "Too-international-to-fail? Supranational bank resolution and market discipline," Journal of Banking & Finance, Elsevier, vol. 65(C), pages 41-58.
  2. Zhu, Min & Atri, Said & Yegen, Eyub, 2016. "Are candlestick trading strategies effective in certain stocks with distinct features?," Pacific-Basin Finance Journal, Elsevier, vol. 37(C), pages 116-127.
  3. Cao, Jie & Han, Bing, 2016. "Idiosyncratic risk, costly arbitrage, and the cross-section of stock returns," Journal of Banking & Finance, Elsevier, vol. 73(C), pages 1-15.
  4. Han, Bing & Tang, Ya & Yang, Liyan, 2016. "Public information and uninformed trading: Implications for market liquidity and price efficiency," Journal of Economic Theory, Elsevier, vol. 163(C), pages 604-643.
  5. Kramer, Lisa A. & Liao, Chi M., 2016. "The spillover effects of management overconfidence on analyst forecasts," Journal of Behavioral and Experimental Finance, Elsevier, vol. 12(C), pages 79-92.
  6. Easley, David & O’Hara, Maureen & Yang, Liyan, 2016. "Differential Access to Price Information in Financial Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 51(4), pages 1071-1110, August.

2015

  1. Katya Malinova & Andreas Park, 2015. "Subsidizing Liquidity: The Impact of Make/Take Fees on Market Quality," Journal of Finance, American Finance Association, vol. 70(2), pages 509-536, April.
  2. Han, Bing & Zhou, Yi, 2015. "Understanding the term structure of credit default swap spreads," Journal of Empirical Finance, Elsevier, vol. 31(C), pages 18-35.
  3. Kamstra, Mark J. & Kramer, Lisa A. & Levi, Maurice D., 2015. "Seasonal Variation in Treasury Returns," Critical Finance Review, now publishers, vol. 4(1), pages 45-115, June.
  4. Itay Goldstein & Liyan Yang, 2015. "Information Diversity and Complementarities in Trading and Information Acquisition," Journal of Finance, American Finance Association, vol. 70(4), pages 1723-1765, August.
  5. Easley, David & Yang, Liyan, 2015. "Loss aversion, survival and asset prices," Journal of Economic Theory, Elsevier, vol. 160(C), pages 494-516.

2014

  1. Susan E.K. Christoffersen & David K. Musto & Russ Wermers, 2014. "Investor Flows to Asset Managers: Causes and Consequences," Annual Review of Financial Economics, Annual Reviews, vol. 6(1), pages 289-310, December.
  2. Malinova, Katya & Park, Andreas, 2014. "The impact of competition and information on intraday trading," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 55-71.
  3. Mark J. Kamstra & Lisa A. Kramer & Maurice D. Levi & Tan Wang, 2014. "Seasonally Varying Preferences: Theoretical Foundations for an Empirical Regularity," The Review of Asset Pricing Studies, Oxford University Press, vol. 4(1), pages 39-77.
  4. David Easley & Maureen O'Hara & Liyan Yang, 2014. "Opaque Trading, Disclosure, and Asset Prices: Implications for Hedge Fund Regulation," Review of Financial Studies, Society for Financial Studies, vol. 27(4), pages 1190-1237.
  5. Raffi Indjejikian & Hai Lu & Liyan Yang, 2014. "Rational Information Leakage," Management Science, INFORMS, vol. 60(11), pages 2762-2775, November.
  6. Itay Goldstein & Yan Li & Liyan Yang, 2014. "Speculation and Hedging in Segmented Markets," Review of Financial Studies, Society for Financial Studies, vol. 27(3), pages 881-922.

2013

  1. Susan E. K. Christoffersen & Richard Evans & David K. Musto, 2013. "What Do Consumers’ Fund Flows Maximize? Evidence from Their Brokers’ Incentives," Journal of Finance, American Finance Association, vol. 68(1), pages 201-235, February.
  2. Malinova, Katya & Park, Andreas, 2013. "Liquidity, volume and price efficiency: The impact of order vs. quote driven trading," Journal of Financial Markets, Elsevier, vol. 16(1), pages 104-126.
  3. Maheu, John M. & McCurdy, Thomas H. & Zhao, Xiaofei, 2013. "Do jumps contribute to the dynamics of the equity premium?," Journal of Financial Economics, Elsevier, vol. 110(2), pages 457-477.
  4. Han, Bing & Kumar, Alok, 2013. "Speculative Retail Trading and Asset Prices," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 48(2), pages 377-404, April.
  5. Cao, Jie & Han, Bing, 2013. "Cross section of option returns and idiosyncratic stock volatility," Journal of Financial Economics, Elsevier, vol. 108(1), pages 231-249.
  6. Bing Han & Liyan Yang, 2013. "Social Networks, Information Acquisition, and Asset Prices," Management Science, INFORMS, vol. 59(6), pages 1444-1457, June.
  7. Ling Cen & Hai Lu & Liyan Yang, 2013. "Investor Sentiment, Disagreement, and the Breadth--Return Relationship," Management Science, INFORMS, vol. 59(5), pages 1076-1091, May.
  8. Li, Yan & Yang, Liyan, 2013. "Prospect theory, the disposition effect, and asset prices," Journal of Financial Economics, Elsevier, vol. 107(3), pages 715-739.
  9. Yan Li & Liyan Yang, 2013. "Asset-Pricing Implications of Dividend Volatility," Management Science, INFORMS, vol. 59(9), pages 2036-2055, September.

2012

  1. Park, Andreas & Sgroi, Daniel, 2012. "Herding, contrarianism and delay in financial market trading," European Economic Review, Elsevier, vol. 56(6), pages 1020-1037.
  2. John M. Maheu & Thomas H. McCurdy & Yong Song, 2012. "Components of Bull and Bear Markets: Bull Corrections and Bear Rallies," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(3), pages 391-403, February.
  3. Kamstra, Mark J. & Kramer, Lisa A. & Levi, Maurice D., 2012. "A careful re-examination of seasonality in international stock markets: Comment on sentiment and stock returns," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 934-956.

2011

  1. Christoffersen, Susan E.K. & Sarkissian, Sergei, 2011. "The demographics of fund turnover," Journal of Financial Intermediation, Elsevier, vol. 20(3), pages 414-440, July.
  2. Andreas Park & Hamid Sabourian, 2011. "Herding and Contrarian Behavior in Financial Markets," Econometrica, Econometric Society, vol. 79(4), pages 973-1026, July.
  3. Maheu, John M. & McCurdy, Thomas H., 2011. "Do high-frequency measures of volatility improve forecasts of return distributions?," Journal of Econometrics, Elsevier, vol. 160(1), pages 69-76, January.
  4. Cao, H. Henry & Han, Bing & Hirshleifer, David, 2011. "Taking the road less traveled by: Does conversation eradicate pernicious cascades?," Journal of Economic Theory, Elsevier, vol. 146(4), pages 1418-1436, July.
  5. Craig Burnside & Bing Han & David Hirshleifer & Tracy Yue Wang, 2011. "Investor Overconfidence and the Forward Premium Puzzle," Review of Economic Studies, Oxford University Press, vol. 78(2), pages 523-558.
  6. H. Henry Cao & Bing Han & David Hirshleifer & Harold H. Zhang, 2011. "Fear of the Unknown: Familiarity and Economic Decisions," Review of Finance, European Finance Association, vol. 15(1), pages 173-206.
  7. Jérôme Accardo & Claire Célérier & Nicolas Herpin & Delphine Irac, 2011. "L'inflation perçue," Économie et Statistique, Programme National Persée, vol. 447(1), pages 3-31.
  8. Li, Yan & Yang, Liyan, 2011. "Testing conditional factor models: A nonparametric approach," Journal of Empirical Finance, Elsevier, vol. 18(5), pages 972-992.

2010

  1. Bartling, Björn & Park, Andreas, 2010. "How Syndicate Short Sales Affect the Informational Efficiency of IPO Prices and Underpricing," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(2), pages 441-471, April.
  2. Malinova, Katya & Park, Andreas, 2010. "Trading Volume in Dealer Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(6), pages 1447-1484, December.
  3. Andreas Park, 2010. "Experiential Learning of the Efficient Market Hypothesis: Two Trading Games," The Journal of Economic Education, Taylor & Francis Journals, vol. 41(4), pages 353-369, September.
  4. 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.
  5. Delphine Irac & Claire Célérier & Philippe Askenazy, 2010. "Vente à distance, internet et dynamiques des prix," Économie et Prévision, Programme National Persée, vol. 194(3), pages 1-13.

2009

  1. Christoffersen, Susan E.K. & Sarkissian, Sergei, 2009. "City size and fund performance," Journal of Financial Economics, Elsevier, vol. 92(2), pages 252-275, May.
  2. Bartling, Björn & Park, Andreas, 2009. "What determines the level of IPO gross spreads? Underwriter profits and the cost of going public," International Review of Economics & Finance, Elsevier, vol. 18(1), pages 81-109, January.
  3. Maheu, John M. & McCurdy, Thomas H., 2009. "How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution?," Journal of Business & Economic Statistics, American Statistical Association, vol. 27, pages 95-112.
  4. Bing Han & David Hirshleifer & John C. Persons, 2009. "Promotion Tournaments and Capital Rationing," Review of Financial Studies, Society for Financial Studies, vol. 22(1), pages 219-255, January.
  5. 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.
  6. Guoqiang Tian & Liyan Yang, 2009. "Theory of negative consumption externalities with applications to the economics of happiness," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 39(3), pages 399-424, June.
  7. Jayant Vivek Ganguli & Liyan Yang, 2009. "Complementarities, Multiplicity, and Supply Information," Journal of the European Economic Association, MIT Press, vol. 7(1), pages 90-115, March.

2008

  1. , & ,, 2008. "Caller Number Five and related timing games," Theoretical Economics, Econometric Society, vol. 3(2), June.
  2. Marius-Corneliu Marinas & Marius Andrei Zoican, 2008. "Optimality, Rational Expectations and Time Inconsistency Applied to Inflation Targeting Strategy," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 10(10(527)), pages 17-30, October.
  3. Bing Han, 2008. "Investor Sentiment and Option Prices," Review of Financial Studies, Society for Financial Studies, vol. 21(1), pages 387-414, January.

2007

  1. Susan E.K. Christoffersen & Christopher C. Geczy & David K. Musto & Adam V. Reed, 2007. "Vote Trading and Information Aggregation," Journal of Finance, American Finance Association, vol. 62(6), pages 2897-2929, December.
  2. John M. Maheu & Thomas H. McCurdy, 2007. "Components of Market Risk and Return," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 5(4), pages 560-590, Fall.
  3. Bing Han, 2007. "Stochastic Volatilities and Correlations of Bond Yields," Journal of Finance, American Finance Association, vol. 62(3), pages 1491-1524, June.
  4. Bing Han & Francis A. Longstaff & Craig Merrill, 2007. "The U.S. Treasury Buyback Auctions: The Cost of Retiring Illiquid Bonds," Journal of Finance, American Finance Association, vol. 62(6), pages 2673-2693, December.

2006

  1. Bing Han, 2006. "Insider Ownership and Firm Value: Evidence from Real Estate Investment Trusts," The Journal of Real Estate Finance and Economics, Springer, vol. 32(4), pages 471-493, June.

2005

  1. Christoffersen, Susan E.K. & Geczy, Christopher C. & Musto, David K. & Reed, Adam V., 2005. "Crossborder dividend taxation and the preferences of taxable and nontaxable investors: Evidence from Canada," Journal of Financial Economics, Elsevier, vol. 78(1), pages 121-144, October.
  2. Grinblatt, Mark & Han, Bing, 2005. "Prospect theory, mental accounting, and momentum," Journal of Financial Economics, Elsevier, vol. 78(2), pages 311-339, November.
  3. 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.

2004

  1. Hull, John & Predescu, Mirela & White, Alan, 2004. "The relationship between credit default swap spreads, bond yields, and credit rating announcements," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2789-2811, November.

2003

  1. Michael I. Cragg & I. J. Alexander Dyck, 2003. "Privatization and Management Incentives: Evidence from the United Kingdom," The Journal of Law, Economics, and Organization, Oxford University Press, vol. 19(1), pages 176-217, April.
  2. 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.

2002

  1. Susan E. K. Christoffersen & David K. Musto, 2002. "Demand Curves and the Pricing of Money Management," Review of Financial Studies, Society for Financial Studies, vol. 15(5), pages 1499-1524.
  2. John M. Maheu & Thomas H. McCurdy, 2002. "Nonlinear Features of Realized FX Volatility," The Review of Economics and Statistics, MIT Press, vol. 84(4), pages 668-681, November.
  3. 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.

2001

  1. Susan E. K. Christoffersen, 2001. "Why Do Money Fund Managers Voluntarily Waive Their Fees?," Journal of Finance, American Finance Association, vol. 56(3), pages 1117-1140, June.

2000

  1. Cragg, Michael I. & Dyck, I. J., 2000. "Executive Pay and UK Privatization: The Demise of 'One Country, Two Systems'," Journal of Business Research, Elsevier, vol. 47(1), pages 3-18, January.
  2. Maheu, John M & McCurdy, Thomas H, 2000. "Identifying Bull and Bear Markets in Stock Returns," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(1), pages 100-112, January.
  3. Maheu, John M. & McCurdy, Thomas H., 2000. "Volatility dynamics under duration-dependent mixing," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 345-372, November.
  4. 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.

1999

  1. Michael Ian Cragg & I.J. Alexander Dyck, 1999. "Management Control and Privatization in the United Kingdom," RAND Journal of Economics, The RAND Corporation, vol. 30(3), pages 475-497, Autumn.

1998

  1. Dyck, I. J. Alexander & Wruck, Karen Hopper, 1998. "Organization structure, contract design and government ownership: A clinical analysis of German privatization1," Journal of Corporate Finance, Elsevier, vol. 4(3), pages 265-299, September.
  2. Gagnon, Louis & Lypny, Gregory J. & McCurdy, Thomas H., 1998. "Hedging foreign currency portfolios," Journal of Empirical Finance, Elsevier, vol. 5(3), pages 197-220, September.

1997

  1. Dyck, I J Alexander, 1997. "Privatization in Eastern Germany: Management Selection and Economic Transition," American Economic Review, American Economic Association, vol. 87(4), pages 565-597, September.

1995

  1. Hull, John & White, Alan, 1995. "The impact of default risk on the prices of options and other derivative securities," Journal of Banking & Finance, Elsevier, vol. 19(2), pages 299-322, May.
  2. Nicholas Ricketts & Thomas H. McCurdy, 1995. "An International Economy with Country-Specific Money and Productivity Growth Processes," Canadian Journal of Economics, Canadian Economics Association, vol. 28(s1), pages 141-162, November.

1994

  1. Durland, J Michael & McCurdy, Thomas H, 1994. "Duration-Dependent Transitions in a Markov Model of U.S. GNP Growth," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(3), pages 279-288, July.

1993

  1. Hull, John & White, Alan, 1993. "One-Factor Interest-Rate Models and the Valuation of Interest-Rate Derivative Securities," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(2), pages 235-254, June.

1992

  1. THOMAS H. McCURDY & IEUAN G. MORGAN, 1992. "Single Beta Models and Currency Futures Prices," The Economic Record, The Economic Society of Australia, vol. 68(S1), pages 117-129, December.
  2. McCurdy, Thomas H. & Stengos, Thanasis, 1992. "A comparison of risk-premium forecasts implied by parametric versus nonparametric conditional mean estimators," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 225-244.
  3. McCurdy, Thomas H & Morgan, Ieuan, 1992. "Evidence of Risk Premiums in Foreign Currency Futures Markets," Review of Financial Studies, Society for Financial Studies, vol. 5(1), pages 65-83.

1991

  1. Thomas H. McCurdy & Ieuan G. Morgan, 1991. "Tests for a Systematic Risk Component in Deviations From Uncovered Interest Rate Parity," Review of Economic Studies, Oxford University Press, vol. 58(3), pages 587-602.

1990

  1. Hull, John & White, Alan, 1990. "Pricing Interest-Rate-Derivative Securities," Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 573-592.
  2. Hull, John & White, Alan, 1990. "Valuing Derivative Securities Using the Explicit Finite Difference Method," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(1), pages 87-100, March.

1988

  1. Hull, John & White, Alan, 1988. "The Use of the Control Variate Technique in Option Pricing," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(3), pages 237-251, September.
  2. McCurdy, Thomas H & Morgan, Ieuan G, 1988. "Testing the Martingale Hypothesis in Deutsche Mark Futures with Models Specifying the Form of Heteroscedasticity," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 3(3), pages 187-202, July-Sept.

1987

  1. Hull, John C & White, Alan D, 1987. "The Pricing of Options on Assets with Stochastic Volatilities," Journal of Finance, American Finance Association, vol. 42(2), pages 281-300, June.
  2. Hull, John & White, Alan, 1987. "Hedging the risks from writing foreign currency options," Journal of International Money and Finance, Elsevier, vol. 6(2), pages 131-152, June.
  3. McCurdy, Thomas H. & Morgan, Ieuan G., 1987. "Tests of the martingale hypothesis for foreign currency futures with time-varying volatility," International Journal of Forecasting, Elsevier, vol. 3(1), pages 131-148.
  4. McCurdy, Thomas H., 1987. "Some employment, income, and occupational effects of microelectronic-based technical change: A multisectoral simulation for Canada," Journal of Policy Modeling, Elsevier, vol. 9(2), pages 337-365.

1986

  1. Gregory, Allan W. & McCurdy, Thomas H., 1986. "The unbiasedness hypothesis in the forward foreign exchange market: A specification analysis with application to France, Italy, Japan, the United Kingdom and West Germany," European Economic Review, Elsevier, vol. 30(2), pages 365-381, April.

1984

  1. Gregory, Allan W. & McCurdy, Thomas H., 1984. "Testing the unbiasedness hypothesis in the forward foreign exchange market: A specification analysis," Journal of International Money and Finance, Elsevier, vol. 3(3), pages 357-368, December.

1980

  1. Ernst R. Berndt & Thomas H. McCurdy & David E. Rose, 1980. "On Testing Theories of Financial Intermediary Portfolio Selection," Review of Economic Studies, Oxford University Press, vol. 47(5), pages 861-873.

Chapters

2023

  1. Mark J. Kamstra & Lisa A. Kramer, 2023. "Seasonality in stock returns and government bond returns," Chapters, in: Gilles Hilary & David McLean (ed.), Handbook of Financial Decision Making, chapter 2, pages 36-62, Edward Elgar Publishing.

2010

  1. Alan G. White & Jaison R. Abel & Ernst R. Berndt & Cory W. Monroe, 2010. "Hedonic Price Indexes for Personal Computer Operating Systems and Productivity Suites," NBER Chapters, in: Contributions in Memory of Zvi Griliches, pages 787-807, National Bureau of Economic Research, Inc.

2009

  1. Alan G. White, 2009. "Comment on "Measuring the Output and Prices of the Lottery Sector: An Application of Implicit Expected Utility Theory"," NBER Chapters, in: Price Index Concepts and Measurement, pages 425-427, National Bureau of Economic Research, Inc.

2008

  1. John M. Maheu & Thomas H. McCurdy, 2008. "Chapter 12 Modeling Foreign Exchange Rates with Jumps," Frontiers of Economics and Globalization, in: Forecasting in the Presence of Structural Breaks and Model Uncertainty, pages 449-475, Emerald Group Publishing Limited.

2007

  1. Jaison R. Abel & Ernst R. Berndt & Alan G. White, 2007. "Price Indexes for Microsoft," NBER Chapters, in: Hard-to-Measure Goods and Services: Essays in Honor of Zvi Griliches, pages 269-289, National Bureau of Economic Research, Inc.

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