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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 | Software components |

Working papers

Undated material is listed at the end

2019

  1. 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

  1. 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

  1. Francesco D’Acunto & Ryan Liu & Carolin Pflueger & Michael Weber, 2017. "Flexible Prices and Leverage," NBER Working Papers 23066, National Bureau of Economic Research, Inc.

2016

  1. 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.

2014

  1. Luis Viceira & Carolin Pflueger & John Campbell, 2014. "Monetary Policy Drivers of Bond and Equity Risks," 2014 Meeting Papers 137, Society for Economic Dynamics.

2013

  1. 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.

2011

  1. 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.
  2. 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.
  3. Carolin E. Pflueger & Luis M. Viceira, 2011. "Inflation-Indexed Bonds and the Expectations Hypothesis," NBER Working Papers 16903, National Bureau of Economic Research, Inc.

2009

  1. 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.

2008

  1. 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.

2007

  1. 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.
  2. Bena, Jan & Jurajda, Stepan, 2007. "Financial Development and Growth in Direct Firm-Level Comparisons," CEPR Discussion Papers 6395, C.E.P.R. Discussion Papers.
  3. 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.

2006

  1. 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.
  2. Jan Bena, 2006. "Choice of Corporate Risk Management Tools under Moral Hazard," FMG Discussion Papers dp566, Financial Markets Group.
  3. Laurent E. Calvet & Adlai J. Fisher, 2006. "Multifrequency Jump-Diffusions: An Equilibrium Approach," NBER Working Papers 12797, National Bureau of Economic Research, Inc.

2005

  1. Laurent E. Calvet & Adlai J. Fisher, 2005. "Multifrequency News and Stock Returns," NBER Working Papers 11441, National Bureau of Economic Research, Inc.

2004

  1. Kai Li, 2004. "The Growth of Global Equity Markets: A Closer Look," Econometric Society 2004 North American Winter Meetings 54, Econometric Society.
  2. 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.
  3. 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

  1. 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 Group Munich.
  2. Laurent Calvet & Adlai Fisher, 2003. "Regime-Switching and the Estimation of Multifractal Processes," NBER Working Papers 9839, National Bureau of Economic Research, Inc.

2002

  1. 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.

2000

  1. 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.
  2. Kai Li & Dale J. Poirier, 2000. "An Econometric Model of Birth Inputs and Outputs," Econometric Society World Congress 2000 Contributed Papers 0352, Econometric Society.

1999

  1. Wang, Zhenyu & Sarkar, Asani & Li, Kai, 1999. "Assessing the impact of short-sale constraints on the gains from international diversification," Staff Reports 89, Federal Reserve Bank of New York.
  2. 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-.
  3. 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-.
  4. 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-.

1998

  1. Gary Koop & Kai Li, 1998. "The valuation of IPO, SEO and Post-Chapter 11 firms: A Stochastic Frontier Approach," ESE Discussion Papers 13, Edinburgh School of Economics, University of Edinburgh.

1997

  1. 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.
  2. 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.

Undated

  1. 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.
  2. 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

2015

  1. 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.
  2. Johnny Kang & Carolin E. Pflueger, 2015. "Inflation Risk in Corporate Bonds," Journal of Finance, American Finance Association, vol. 70(1), pages 115-162, February.

2014

  1. Jan Bena & Kai Li, 2014. "Corporate Innovations and Mergers and Acquisitions," Journal of Finance, American Finance Association, vol. 69(5), pages 1923-1960, October.

2013

  1. 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.
  2. 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

  1. Bena, Jan & Ondko, Peter, 2012. "Financial development and the allocation of external finance," Journal of Empirical Finance, Elsevier, vol. 19(1), pages 1-25.
  2. 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.
  3. 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

  1. 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.
  2. 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.
  3. Kai Li & Tan Wang & Yan-Leung Cheung & Ping Jiang, 2011. "Privatization and Risk Sharing: Evidence from the Split Share Structure Reform in China," Review of Financial Studies, Society for Financial Studies, vol. 24(7), pages 2499-2525.
  4. 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.
  5. 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(01), pages 25-58, March.
  6. 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.
  7. 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.
  8. 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

  1. 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," Review of Financial Studies, Society for Financial Studies, vol. 23(10), pages 3595-3637, October.
  2. 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.
  3. Murray Carlson & Adlai Fisher & Ron Giammarino, 2010. "SEO Risk Dynamics," Review of Financial Studies, Society for Financial Studies, vol. 23(11), pages 4026-4077, November.

2009

  1. 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

  1. 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.
  2. 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.
  3. Kai Li & Xinlei Zhao, 2008. "Asymmetric Information and Dividend Policy," Financial Management, Financial Management Association International, vol. 37(4), pages 673-694, December.
  4. 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.
  5. 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.

2007

  1. 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.
  2. Chen, Xia & Harford, Jarrad & Li, Kai, 2007. "Monitoring: Which institutions matter?," Journal of Financial Economics, Elsevier, vol. 86(2), pages 279-305, November.
  3. 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.
  4. Calvet, Laurent E. & Fisher, Adlai J., 2007. "Multifrequency news and stock returns," Journal of Financial Economics, Elsevier, vol. 86(1), pages 178-212, October.

2006

  1. 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.
  2. 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.

2004

  1. Ronald Giammarino & Robert Heinkel & Burton Hollifield & Kai Li, 2004. "Corporate Decisions, Information and Prices: Do Managers Move Prices or Do Prices Move Managers?," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 33(1), pages 83-110, February.
  2. Li, Kai, 2004. "Confidence in the Familiar: An International Perspective," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(01), pages 47-68, March.
  3. Murray Carlson & Adlai Fisher & Ron Giammarino, 2004. "Corporate Investment and Asset Price Dynamics: Implications for the Cross-section of Returns," Journal of Finance, American Finance Association, vol. 59(6), pages 2577-2603, December.

2003

  1. 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.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. 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

  1. Asani Sarkar & Kai Li, 2002. "Should U.S. investors hold foreign stocks?," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 8(Mar).
  2. 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.

2001

  1. Koop, Gary & Li, Kai, 2001. "The valuation of IPO and SEO firms," Journal of Empirical Finance, Elsevier, vol. 8(4), pages 375-401, September.
  2. Calvet, Laurent & Fisher, Adlai, 2001. "Forecasting multifractal volatility," Journal of Econometrics, Elsevier, vol. 105(1), pages 27-58, November.

1999

  1. 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.
  2. 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.
  3. 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

  1. 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.

Software components

2013

  1. 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 09 Sep 2018.

IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.