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Publications

by members of

Boston University → Questrom 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. Find also a compilation of publications from alumni here.

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

| Working papers | Journal articles |

Working papers

2023

  1. Tony Berrada & Jerome Detemple & Marcel Rindisbacher, 2023, "Volatility during the COVID-19 Pandemic," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 23-95, Oct.
  2. Hackbarth, Dirk & Sun, Dongming, 2023, "Corporate Investment and Financing Dynamics," CEPR Discussion Papers, Centre for Economic Policy Research, number 17845, Jan.

2022

  1. Jerome Detemple & Scott Robertson, 2022, "Dynamic Equilibrium with Insider Information and General Uninformed Agent Utility," Papers, arXiv.org, number 2211.15573, Nov, revised Mar 2024.

2020

  1. Jerôme Detemple & Souleymane Laminou Abdou & Franck Moraux, 2020, "American Step Options," Post-Print, HAL, number halshs-02283374, Apr, DOI: 10.1016/j.ejor.2019.09.009.

2018

  1. Hackbarth, Dirk & Rivera, Alejandro & Wong, Tak-Yuen, 2018, "Optimal Short-Termism," CEPR Discussion Papers, Centre for Economic Policy Research, number 12588, Jan.
  2. Hackbarth, Dirk & Taub, Bart, 2018, "Does the Potential to Merge Reduce Competition?," CEPR Discussion Papers, Centre for Economic Policy Research, number 12732, Feb.

2017

  1. Idan Hodor & Andrea Buffa, 2017, "Institutional Investors, Heterogeneous Benchmarks and the Comovement of Asset Prices," 2017 Meeting Papers, Society for Economic Dynamics, number 374.
  2. Jerome Detemple & Yerkin Kitapbayev, 2017, "American Options with Discontinuous Two-Level Caps," Papers, arXiv.org, number 1707.06138, Jul.
  3. Zechner, Josef & Choi, Jaewon & Hackbarth, Dirk, 2017, "Corporate Debt Maturity Profiles," CEPR Discussion Papers, Centre for Economic Policy Research, number 12289, Sep.
  4. Hackbarth, Dirk & Gu, Lifeng & Johnson, Timothy, 2017, "Inflexibility and Stock Returns," CEPR Discussion Papers, Centre for Economic Policy Research, number 12441, Nov.

2016

  1. Andrea M. Buffa & Suleyman Basak, 2016, "A Theory of Operational Risk," 2016 Meeting Papers, Society for Economic Dynamics, number 352.
  2. Jerome Detemple & Yerkin Kitapbayev, 2016, "On American VIX options under the generalized 3/2 and 1/2 models," Papers, arXiv.org, number 1606.00530, Jun, revised Jul 2017.

2015

  1. Rui Albuquerque & Martin Eichenbaum & Dimitris Papanikolaou & Sergio Rebelo, 2015, "Long-run Bulls and Bears," NBER Working Papers, National Bureau of Economic Research, Inc, number 20858, Jan.
  2. Fulghieri, Paolo & Hackbarth, Dirk & Garcia, Diego, 2015, "Asymmetric information, security design, and the pecking (dis)order," CEPR Discussion Papers, Centre for Economic Policy Research, number 10660, Jun.

2014

  1. Vayanos, Dimitri & Woolley, Paul & ,, 2014, "Asset Management Contracts and Equilibrium Prices," CEPR Discussion Papers, Centre for Economic Policy Research, number 10152, Sep.
  2. Marc ARNOLD & Dirk HACKBARTH & Tatjana XENIA PUHAN, 2014, "Financing Asset Sales and Business Cycles," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 14-11, Jan.

2013

  1. Tony Berrada & Jerome Detemple & Marcel Rindisbacher, 2013, "Asset Pricing with Regime-Dependent Preferences and Learning," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 13-44, Aug, revised Oct 2013.
  2. Choi, Jaewon & Hackbarth, Dirk & Zechner, Josef, 2013, "Granularity of corporate debt," CFS Working Paper Series, Center for Financial Studies (CFS), number 2013/26.

2012

  1. Albuquerque, Rui & Schroth, Enrique, 2012, "The Value of Control and the Costs of Illiquidity," CEPR Discussion Papers, Centre for Economic Policy Research, number 9090, Aug.
  2. Rui Albuquerque & Martin S. Eichenbaum & Sergio Rebelo, 2012, "Valuation Risk and Asset Pricing," NBER Working Papers, National Bureau of Economic Research, Inc, number 18617, Dec.
  3. Murillo Campello & Dirk Hackbarth, 2012, "The Firm-Level Credit Multiplier," NBER Working Papers, National Bureau of Economic Research, Inc, number 17805, Feb.

2011

  1. Albuquerque, Rui & Watugala, Sumudu, 2011, "Trade Credit and International Return Comovement," CEPR Discussion Papers, Centre for Economic Policy Research, number 8222, Feb.
  2. Heitor Almeida & Murillo Campello & Dirk Hackbarth, 2011, "Liquidity Mergers," NBER Working Papers, National Bureau of Economic Research, Inc, number 16724, Jan.

2010

  1. Albuquerque, Rui, 2010, "Skewness in Stock Returns:Reconciling the Evidence on Firm versus Aggregate Returns," CEPR Discussion Papers, Centre for Economic Policy Research, number 7896, Jun.

2009

  1. Albuquerque, Rui & Schroth, Enrique, 2009, "Quantifying private benefits of control from a structural model of block trades," CEPR Discussion Papers, Centre for Economic Policy Research, number 7358, Jul.
  2. Albuquerque, Rui, 2009, "Skewness in Stock Returns, Periodic Cash Payouts, and Investor Heterogeneity," CEPR Discussion Papers, Centre for Economic Policy Research, number 7573, Nov.

2008

  1. Albuquerque, Rui & Schroth, Enrique, 2008, "Determinants of the Block Premium and of Private Benefits of Control," CEPR Discussion Papers, Centre for Economic Policy Research, number 6742, Mar.

2007

  1. Dirk Hackbarth & Jianjun Maio, 2007, "The Dynamics of Mergers and Acquisitions in Oligopolistic Industries," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2007-017, Apr.

2006

  1. Rui Albuquerque & Jianjun Miao, 2006, "CEO Power, Compensation, and Governance," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number WP2006-034, Jun.
  2. Albuquerque, Rui & Vega, Clara, 2006, "Asymmetric Information in the Stock Market: Economic News and Co-movement," CEPR Discussion Papers, Centre for Economic Policy Research, number 5598, Mar.
  3. Albuquerque, Rui & Marques, Luis & de Francisco, Eva, 2006, "Marketwide Private Information in Stocks: Forecasting Currency Returns," CEPR Discussion Papers, Centre for Economic Policy Research, number 5604, Mar.
  4. Schneider, Martin & Albuquerque, Rui & ,, 2006, "Global Private Information in International Equity Markets," CEPR Discussion Papers, Centre for Economic Policy Research, number 5819, Sep.
  5. Andrea Buffa & Giovanna Nicodano, 2006, "Should Insider Trading be Prohibited when Share Repurchases are Allowed?," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 16.
  6. Andrea Buffa & Chiara Monticone, 2006, "Do European Pension Reforms Improve the Adequacy of Saving?," CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy), number 50, Sep.
  7. Dirk Hackbarth & Erwan Morellec, 2006, "Stock Returns in Mergers and Acquisitions," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 06-01, Oct.

2005

  1. Albuquerque, Rui & Wang, Neng, 2005, "Agency Conflicts, Investment and Asset Pricing," CEPR Discussion Papers, Centre for Economic Policy Research, number 4955, Mar.
  2. Mark Loewenstein & Jerome Detemple & Suresh Govindaraj, 2005, "Wealth-Robust Intertemporal Incentive Contracts," Computing in Economics and Finance 2005, Society for Computational Economics, number 171, Nov.
  3. Dirk Hackbarth & Junjian Miao & Erwan Morellec, 2005, "Capital Structure, Credit Risk, and Macroeconomic Conditions," Boston University - Department of Economics - Macroeconomics Working Papers Series, Boston University - Department of Economics, number WP2005-005, Nov.
  4. Tony Berrada & Julien Hugonnier & Marcel Rindisbacher, 2005, "Trading Volumes in Dynamically Efficient Markets," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp139, Mar.

2004

  1. Rui Albuquerque & Gregory Bauer & Martin Schneider, 2004, "International Equity Flows and Returns: A Quantitative Equilibrium Approach," Staff Working Papers, Bank of Canada, number 04-42, DOI: 10.34989/swp-2004-42.
  2. Neng Wang & Rui Albuquerque, 2004, "Investor Protection and Exchange Rates," 2004 Meeting Papers, Society for Economic Dynamics, number 685.
  3. Rui Albuquerque, 2004, "Optimal Currency Hedging," Finance, University Library of Munich, Germany, number 0405010, May.
  4. Rui Albuquerque, 2004, "The Composition of International Capital Flows: Risk Sharing Through Foreign Direct Investment," International Finance, University Library of Munich, Germany, number 0405004, May.
  5. Rui Albuquerque & Gregory Bauer & Martin Schneider, 2004, "Characterizing Asymmetric Information in International Equity Markets," International Finance, University Library of Munich, Germany, number 0405005, May.
  6. Rui Albuquerque, 2004, "The Forward Premium Puzzle in a Model of Imperfect Information: Theory and Evidence," International Finance, University Library of Munich, Germany, number 0405007, May.

2003

  1. Albuquerque,Rui Andre Pinto De & Loayza,Norman V. & Serven,Luis, 2003, "World market integration through the lens of foreign direct investors," Policy Research Working Paper Series, The World Bank, number 3060, May.
  2. Jérôme Detemple & René Garcia & Marcel Rindisbacher, 2003, "Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes," CIRANO Working Papers, CIRANO, number 2003s-11, Apr.

2002

  1. Rui Albuquerque & Hugo Hopenhayn, 2002, "Optimal Lending Contracts and Firm Dynamics," RCER Working Papers, University of Rochester - Center for Economic Research (RCER), number 493, Jun.

2000

  1. Jérôme Detemple & René Garcia & Marcel Rindisbacher, 2000, "A Monte-Carlo Method for Optimal Portfolios," CIRANO Working Papers, CIRANO, number 2000s-05, Jan.

1999

  1. Jérôme Detemple & Suresh Sundaresan, 1999, "Non-Traded Asset Valuation with Portfolio Constraints: A Binomial Approach," CIRANO Working Papers, CIRANO, number 99s-08, Mar.
  2. Jérôme Detemple & Carlton Osakwe, 1999, "The Valuation of Volatility Options," CIRANO Working Papers, CIRANO, number 99s-43, Nov.
  3. Jérôme Detemple, 1999, "American Options: Symmetry Properties," CIRANO Working Papers, CIRANO, number 99s-45, Nov.

1998

  1. Rui Albuquerque & Sergio Rebelo, 1998, "On the Dynamics of Trade Reform," NBER Working Papers, National Bureau of Economic Research, Inc, number 6700, Aug.
  2. Jérôme Detemple & Angel Serrat, 1998, "Dynamic Equilibrium with Liquidity Constraints," CIRANO Working Papers, CIRANO, number 98s-41, Nov.

1997

  1. Albuquerque, R. & Hopenhayn, H.A., 1997, "Optimal Dynamic Lending Contracts with Imperfect Enforceability," RCER Working Papers, University of Rochester - Center for Economic Research (RCER), number 439.
  2. Jérôme Detemple & Piero Gottardi, 1997, "Aggregation, Efficiency and Mutual Fund Separation in Incomplete Markets," CIRANO Working Papers, CIRANO, number 97s-11, Mar.
  3. Jérôme Detemple & Shashidhar Murthy, 1997, "Equilibrium Asset Prices and No-Arbitrage with Portfolio Constraints," CIRANO Working Papers, CIRANO, number 97s-12, Mar.

1996

  1. Mark Broadie & Jérôme Detemple, 1996, "American Options on Dividend-Paying Assets," CIRANO Working Papers, CIRANO, number 96s-16, Mar.
  2. Mark Broadie & Jérôme Detemple, 1996, "Recent Advances in Numerical Methods for Pricing Derivative Securities," CIRANO Working Papers, CIRANO, number 96s-17, May.
  3. Mark Broadie & Jérôme Detemple & Eric Ghysels & Olivier Torrès, 1996, "Nonparametric Estimation of American Options Exercise Boundaries and Call Prices," CIRANO Working Papers, CIRANO, number 96s-24, Sep.
  4. Mark Broadie & Jérôme Detemple & Eric Ghysels & Olivier Torrès, 1996, "American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation," CIRANO Working Papers, CIRANO, number 96s-26, Oct.

1995

  1. Jérôme Detemple & Christos I. Giannikos, 1995, "Asset and Commodity Prices with Multiattribute Durable Goods," CIRANO Working Papers, CIRANO, number 95s-47, Nov.

1994

  1. Mark Broadie & Jérôme Detemple, 1994, "American Capped Call Options on Dividend Paying Assets," CIRANO Working Papers, CIRANO, number 94s-01, Jan.
  2. Mark Broadie & Jérôme Detemple, 1994, "American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods," CIRANO Working Papers, CIRANO, number 94s-07, Sep.
  3. Mark Broadie & Jérôme Detemple, 1994, "The Valuation of American Options on Multiple Assets," CIRANO Working Papers, CIRANO, number 94s-08, Sep.

1993

  1. Broadie, M. & Detemple, J., 1993, "Bounds and Approximations for American Option Values," Papers, Columbia - Graduate School of Business, number 93-07.

1990

  1. Detemple, J. & Gottardi, P. & Polemarchakis, H., 1990, "The relevance of financial policy," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1990011, Jan.

1989

  1. Detemple, J.B. & Jorion, P., 1989, "Option Listing And Stock Returns," Papers, Columbia - Graduate School of Business, number fb-_89-13.
  2. Brennan, M. & Detemple, J. & Kalay, A., 1989, "Boud Covenants And The Valuation Of Risk Debt: A New Approach," Papers, Columbia - Graduate School of Business, number fb-_90-01.
  3. Detemple, J. & Zapatero, F., 1989, "Optimal Consumption-Portfolio Policies With Habit Formation," Papers, Columbia - Graduate School of Business, number fb-_90-02.
  4. Detemple, J.B., 1989, "Financial Innovation, Values And Volatilities When Markets Are Incomplete," Papers, Columbia - Graduate School of Business, number fb-89-12.

Undated

  1. Rui Albuquerque & Jianjun Miao, undated, "Advance Information and Asset Prices," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number wp2009-017.
  2. Dirk Hackbarth & Jianjun Miao, undated, "The Timing and Returns of Mergers and Acquisitions in Oligopolistic Industries," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics, number wp2008-022.

Journal articles

2026

  1. Tony Berrada & Jerome Detemple & Marcel Rindisbacher, 2026, "Volatility During the COVID-19 Pandemic," Management Science, INFORMS, volume 72, issue 2, pages 1529-1559, February, DOI: 10.1287/mnsc.2024.04352.

2025

  1. Jerome Detemple & Scott Robertson, 2025, "Dynamic equilibrium with insider information and general uninformed agent utility," Mathematical Finance, Wiley Blackwell, volume 35, issue 1, pages 111-160, January, DOI: 10.1111/mafi.12444.

2024

  1. Detemple, Jérôme & Kitapbayev, Yerkin & Reppen, A. Max, 2024, "Renewable energy investment under stochastic interest rate with regime-switching volatility," Energy Economics, Elsevier, volume 136, issue C, DOI: 10.1016/j.eneco.2024.107734.
  2. Dirk Hackbarth & Dongming Sun, 2024, "Corporate Investment and Financing Dynamics," The Review of Corporate Finance Studies, Society for Financial Studies, volume 13, issue 3, pages 625-667.

2023

  1. Buffa, Andrea M. & Hodor, Idan, 2023, "Institutional investors, heterogeneous benchmarks and the comovement of asset prices," Journal of Financial Economics, Elsevier, volume 147, issue 2, pages 352-381, DOI: 10.1016/j.jfineco.2022.11.002.

2022

  1. Andrea M. Buffa & Dimitri Vayanos & Paul Woolley, 2022, "Asset Management Contracts and Equilibrium Prices," Journal of Political Economy, University of Chicago Press, volume 130, issue 12, pages 3146-3201, DOI: 10.1086/720515.
  2. Detemple, Jerome & Rindisbacher, Marcel & Robertson, Scott, 2022, "Dynamic noisy rational expectations equilibrium with insider information: Welfare and regulation," Journal of Economic Dynamics and Control, Elsevier, volume 141, issue C, DOI: 10.1016/j.jedc.2022.104375.
  3. Detemple, Jerome & Kitapbayev, Yerkin, 2022, "Optimal technology adoption for power generation," Energy Economics, Elsevier, volume 111, issue C, DOI: 10.1016/j.eneco.2022.106085.
  4. Jerome Detemple, 2022, "Asset Prices and Pandemics: The Effects of Lockdowns," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., volume 12, issue 01, pages 1-43, March, DOI: 10.1142/S201013922240002X.
  5. Chen, Zhiyao & Hackbarth, Dirk & Strebulaev, Ilya A., 2022, "A unified model of distress risk puzzles," Journal of Financial Economics, Elsevier, volume 146, issue 2, pages 357-384, DOI: 10.1016/j.jfineco.2021.10.001.
  6. Dirk Hackbarth & Bart Taub, 2022, "Does the Potential to Merge Reduce Competition?," Management Science, INFORMS, volume 68, issue 7, pages 5364-5383, July, DOI: 10.1287/mnsc.2021.4089.
  7. Dirk Hackbarth & Alejandro Rivera & Tak-Yuen Wong, 2022, "Optimal Short-Termism," Management Science, INFORMS, volume 68, issue 9, pages 6477-6505, September, DOI: 10.1287/mnsc.2021.4139.
  8. Diogo Duarte & Rodolfo Prieto & Marcel Rindisbacher & Yuri F. Saporito, 2022, "Vanishing Contagion Spreads," Management Science, INFORMS, volume 68, issue 1, pages 740-772, January, DOI: 10.1287/mnsc.2020.3868.

2021

  1. Jerome Detemple & Yerkin Kitapbayev, 2021, "Optimal Power Investment and Pandemics: A Micro-Economic Analysis," Energies, MDPI, volume 14, issue 4, pages 1-25, February.
  2. Jerome Detemple & Yerkin Kitapbayev, 2021, "Callable barrier reverse convertible securities," Quantitative Finance, Taylor & Francis Journals, volume 21, issue 9, pages 1519-1532, September, DOI: 10.1080/14697688.2021.1912380.
  3. Choi, Jaewon & Hackbarth, Dirk & Zechner, Josef, 2021, "Granularity of Corporate Debt," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 56, issue 4, pages 1127-1162, June.

2020

  1. Detemple, Jérôme & Laminou Abdou, Souleymane & Moraux, Franck, 2020, "American step options," European Journal of Operational Research, Elsevier, volume 282, issue 1, pages 363-385, DOI: 10.1016/j.ejor.2019.09.009.
    • Jerôme Detemple & Souleymane Laminou Abdou & Franck Moraux, 2020, "American Step Options," Post-Print, HAL, number halshs-02283374, Apr, DOI: 10.1016/j.ejor.2019.09.009.
  2. Detemple, Jerome & Kitapbayev, Yerkin, 2020, "The value of green energy under regulation uncertainty," Energy Economics, Elsevier, volume 89, issue C, DOI: 10.1016/j.eneco.2020.104807.
  3. Jerome Detemple & Yerkin Kitapbayev & Philip Strahan, 2020, "The Value of Green Energy: Optimal Investment in Mutually Exclusive Projects and Operating Leverage," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 7, pages 3307-3347.
  4. Jerome Detemple & Marcel Rindisbacher & Scott Robertson, 2020, "Dynamic Noisy Rational Expectations Equilibrium With Insider Information," Econometrica, Econometric Society, volume 88, issue 6, pages 2697-2737, November, DOI: 10.3982/ECTA17038.
  5. Paolo Fulghieri & Diego García & Dirk Hackbarth, 2020, "Asymmetric Information and the Pecking (Dis)Order," Review of Finance, European Finance Association, volume 24, issue 5, pages 961-996.

2019

  1. Hayne Leland & Dirk Hackbarth, 2019, "Debt Maturity and the Leverage Ratcheting Effect," Finance, Presses universitaires de Grenoble, volume 40, issue 3, pages 13-44.

2018

  1. Jérôme Detemple & Yerkin Kitapbayev, 2018, "On American VIX options under the generalized 3/2 and 1/2 models," Mathematical Finance, Wiley Blackwell, volume 28, issue 2, pages 550-581, April, DOI: 10.1111/mafi.12153.
  2. Berrada, Tony & Detemple, Jérôme & Rindisbacher, Marcel, 2018, "Asset pricing with beliefs-dependent risk aversion and learning," Journal of Financial Economics, Elsevier, volume 128, issue 3, pages 504-534, DOI: 10.1016/j.jfineco.2018.03.002.
  3. Jerome Detemple & Yerkin Kitapbayev, 2018, "Optimal Investment under Cost Uncertainty," Risks, MDPI, volume 6, issue 1, pages 1-19, January.
  4. Choi, Jaewon & Hackbarth, Dirk & Zechner, Josef, 2018, "Corporate debt maturity profiles," Journal of Financial Economics, Elsevier, volume 130, issue 3, pages 484-502, DOI: 10.1016/j.jfineco.2018.07.009.
  5. Marc Arnold & Dirk Hackbarth & Tatjana Xenia Puhan, 2018, "Financing Asset Sales and Business Cycles
    [Does industry-wide distress affect defaulted firms? Evidence from creditor recoveries]    ," Review of Finance, European Finance Association, volume 22, issue 1, pages 243-277.
  6. Lifeng Gu & Dirk Hackbarth & Tim Johnson, 2018, "Inflexibility and Stock Returns," The Review of Financial Studies, Society for Financial Studies, volume 31, issue 1, pages 278-321.

2017

  1. Rüdiger Fahlenbrach & Dirk Hackbarth & Jörg Rocholl & Erik Theissen & Marliese Uhrig-Homburg, 2017, "The Future of Corporate Financing in Europe," Schmalenbach Business Review, Springer;Schmalenbach-Gesellschaft, volume 18, issue 3, pages 179-180, August, DOI: 10.1007/s41464-017-0039-6.

2015

  1. Dirk Hackbarth & Timothy Johnson, 2015, "Real Options and Risk Dynamics," The Review of Economic Studies, Review of Economic Studies Ltd, volume 82, issue 4, pages 1449-1482.
  2. Dirk Hackbarth & Rainer Haselmann & David Schoenherr, 2015, "Financial Distress, Stock Returns, and the 1978 Bankruptcy Reform Act," The Review of Financial Studies, Society for Financial Studies, volume 28, issue 6, pages 1810-1847.

2014

  1. Jérôme Detemple, 2014, "Optimal Exercise for Derivative Securities," Annual Review of Financial Economics, Annual Reviews, volume 6, issue 1, pages 459-487, December.
  2. Jérôme Detemple, 2014, "Portfolio Selection: A Review," Journal of Optimization Theory and Applications, Springer, volume 161, issue 1, pages 1-21, April, DOI: 10.1007/s10957-012-0208-1.
  3. Dirk Hackbarth & Richmond Mathews & David Robinson, 2014, "Capital Structure, Product Market Dynamics, and the Boundaries of the Firm," Management Science, INFORMS, volume 60, issue 12, pages 2971-2993, December, DOI: 10.1287/mnsc.2014.2008.

2013

  1. Jérome Detemple & Marcel Rindisbacher, 2013, "A Structural Model of Dynamic Market Timing," The Review of Financial Studies, Society for Financial Studies, volume 26, issue 10, pages 2492-2547.
  2. Lifeng Gu & Dirk Hackbarth, 2013, "Governance and Equity Prices: Does Transparency Matter?," Review of Finance, European Finance Association, volume 17, issue 6, pages 1989-2033.

2012

  1. Rui Albuquerque, 2012, "Skewness in Stock Returns: Reconciling the Evidence on Firm Versus Aggregate Returns," The Review of Financial Studies, Society for Financial Studies, volume 25, issue 5, pages 1630-1673.
  2. Jérôme Detemple & Weidong Tian & Jie Xiong, 2012, "An optimal stopping problem with a reward constraint," Finance and Stochastics, Springer, volume 16, issue 3, pages 423-448, July, DOI: 10.1007/s00780-012-0173-4.
  3. Hackbarth, Dirk & Miao, Jianjun, 2012, "The dynamics of mergers and acquisitions in oligopolistic industries," Journal of Economic Dynamics and Control, Elsevier, volume 36, issue 4, pages 585-609, DOI: 10.1016/j.jedc.2011.12.001.
  4. Campello, Murillo & Hackbarth, Dirk, 2012, "The firm-level credit multiplier," Journal of Financial Intermediation, Elsevier, volume 21, issue 3, pages 446-472, DOI: 10.1016/j.jfi.2012.02.001.
  5. Dirk Hackbarth & David C. Mauer, 2012, "Optimal Priority Structure, Capital Structure, and Investment," The Review of Financial Studies, Society for Financial Studies, volume 25, issue 3, pages 747-796.

2011

  1. Almeida, Heitor & Campello, Murillo & Hackbarth, Dirk, 2011, "Liquidity mergers," Journal of Financial Economics, Elsevier, volume 102, issue 3, pages 526-558, DOI: 10.1016/j.jfineco.2011.08.002.

2010

  1. Albuquerque, Rui & Schroth, Enrique, 2010, "Quantifying private benefits of control from a structural model of block trades," Journal of Financial Economics, Elsevier, volume 96, issue 1, pages 33-55, April.
  2. Albuquerque, Rui, 2010, "Comment on: "Optimal taxation in the presence of bailouts"," Journal of Monetary Economics, Elsevier, volume 57, issue 1, pages 117-119, January.
  3. Jérome Detemple & Marcel Rindisbacher, 2010, "Dynamic Asset Allocation: Portfolio Decomposition Formula and Applications," The Review of Financial Studies, Society for Financial Studies, volume 23, issue 1, pages 25-100, January.
  4. Gençay, Ramo & Yaron, Amir & Hackbarth, Dirk & Eisfeldt, Andrea, 2010, "Editorial for Challenge," Finance Research Letters, Elsevier, volume 7, issue 1, pages 1-1, March.
  5. Güntay, Levent & Hackbarth, Dirk, 2010, "Corporate bond credit spreads and forecast dispersion," Journal of Banking & Finance, Elsevier, volume 34, issue 10, pages 2328-2345, October.

2009

  1. Albuquerque, Rui & H. Bauer, Gregory & Schneider, Martin, 2009, "Global private information in international equity markets," Journal of Financial Economics, Elsevier, volume 94, issue 1, pages 18-46, October.
  2. Rui Albuquerque & Clara Vega, 2009, "Economic News and International Stock Market Co-movement," Review of Finance, European Finance Association, volume 13, issue 3, pages 401-465.
  3. Zvi Bodie & Jérôme Detemple & Marcel Rindisbacher, 2009, "Life-Cycle Finance and the Design of Pension Plans," Annual Review of Financial Economics, Annual Reviews, volume 1, issue 1, pages 249-286, November.
  4. Detemple, Jérôme & Emmerling, Thomas, 2009, "American chooser options," Journal of Economic Dynamics and Control, Elsevier, volume 33, issue 1, pages 128-153, January.
  5. Hackbarth, Dirk, 2009, "Determinants of corporate borrowing: A behavioral perspective," Journal of Corporate Finance, Elsevier, volume 15, issue 4, pages 389-411, September.

2008

  1. Rui Albuquerue & Neng Wang, 2008, "Agency Conflicts, Investment, and Asset Pricing," Journal of Finance, American Finance Association, volume 63, issue 1, pages 1-40, February, DOI: 10.1111/j.1540-6261.2008.01309.x.
  2. Rui Albuquerque & Eva De Francisco & Luis B. Marques, 2008, "Marketwide Private Information in Stocks: Forecasting Currency Returns," Journal of Finance, American Finance Association, volume 63, issue 5, pages 2297-2343, October, DOI: 10.1111/j.1540-6261.2008.01398.x.
  3. Albuquerque, Rui, 2008, "The forward premium puzzle in a model of imperfect information," Economics Letters, Elsevier, volume 99, issue 3, pages 461-464, June.
  4. Andrea M. Buffa & Giovanna Nicodano, 2008, "Should Insider Trading be Prohibited when Share Repurchases are Allowed?," Review of Finance, European Finance Association, volume 12, issue 4, pages 735-765.
  5. Detemple, Jérôme & Rindisbacher, Marcel, 2008, "Dynamic asset liability management with tolerance for limited shortfalls," Insurance: Mathematics and Economics, Elsevier, volume 43, issue 3, pages 281-294, December.
  6. Dirk Hackbarth & Erwan Morellec, 2008, "Stock Returns in Mergers and Acquisitions," Journal of Finance, American Finance Association, volume 63, issue 3, pages 1213-1252, June, DOI: 10.1111/j.1540-6261.2008.01356.x.
  7. Hackbarth, Dirk, 2008, "Managerial Traits and Capital Structure Decisions," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 43, issue 4, pages 843-881, December.

2007

  1. Albuquerque, Rui, 2007, "Optimal currency hedging," Global Finance Journal, Elsevier, volume 18, issue 1, pages 16-33.
  2. Detemple, Jerome & Rindisbacher, Marcel, 2007, "Monte Carlo methods for derivatives of options with discontinuous payoffs," Computational Statistics & Data Analysis, Elsevier, volume 51, issue 7, pages 3393-3417, April.
  3. Dirk Hackbarth & Christopher A. Hennessy & Hayne E. Leland, 2007, "Can the Trade-off Theory Explain Debt Structure?," The Review of Financial Studies, Society for Financial Studies, volume 20, issue 5, pages 1389-1428, 2007 04.
  4. Berrada, Tony & Hugonnier, Julien & Rindisbacher, Marcel, 2007, "Heterogeneous preferences and equilibrium trading volume," Journal of Financial Economics, Elsevier, volume 83, issue 3, pages 719-750, March.

2006

  1. Detemple, Jerome & Garcia, Rene & Rindisbacher, Marcel, 2006, "Asymptotic properties of Monte Carlo estimators of diffusion processes," Journal of Econometrics, Elsevier, volume 134, issue 1, pages 1-68, September.
  2. Hackbarth, Dirk & Miao, Jianjun & Morellec, Erwan, 2006, "Capital structure, credit risk, and macroeconomic conditions," Journal of Financial Economics, Elsevier, volume 82, issue 3, pages 519-550, December.

2005

  1. Albuquerque, Rui & Loayza, Norman & Serven, Luis, 2005, "World market integration through the lens of foreign direct investors," Journal of International Economics, Elsevier, volume 66, issue 2, pages 267-295, July.
  2. Jér^me Detemple & Marcel Rindisbacher, 2005, "Closed‐Form Solutions For Optimal Portfolio Selection With Stochastic Interest Rate And Investment Constraints," Mathematical Finance, Wiley Blackwell, volume 15, issue 4, pages 539-568, October, DOI: 10.1111/j.1467-9965.2005.00250.x.
  3. Detemple, Jérôme & Garcia, René & Rindisbacher, Marcel, 2005, "Intertemporal asset allocation: A comparison of methods," Journal of Banking & Finance, Elsevier, volume 29, issue 11, pages 2821-2848, November.
  4. Jérôme Detemple & René Garcia & Marcel Rindisbacher, 2005, "Asymptotic Properties of Monte Carlo Estimators of Derivatives," Management Science, INFORMS, volume 51, issue 11, pages 1657-1675, November, DOI: 10.1287/mnsc.1050.0398.
  5. Jérôme Detemple & René Garcia & Marcel Rindisbacher, 2005, "Representation formulas for Malliavin derivatives of diffusion processes," Finance and Stochastics, Springer, volume 9, issue 3, pages 349-367, July, DOI: 10.1007/s00780-004-0151-6.

2004

  1. Andrea Marcello Buffa, 2004, "Strategic Insider Trading with Imperfect Information: A Trading Volume Analysis," Rivista di Politica Economica, SIPI Spa, volume 94, issue 6, pages 101-143, November-.
  2. Bodie, Zvi & Detemple, Jerome B. & Otruba, Susanne & Walter, Stephan, 2004, "Optimal consumption-portfolio choices and retirement planning," Journal of Economic Dynamics and Control, Elsevier, volume 28, issue 6, pages 1115-1148, March.
  3. Mark Broadie & Jerome B. Detemple, 2004, "ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications," Management Science, INFORMS, volume 50, issue 9, pages 1145-1177, September, DOI: 10.1287/mnsc.1040.0275.

2003

  1. Albuquerque, Rui, 2003, "The composition of international capital flows: risk sharing through foreign direct investment," Journal of International Economics, Elsevier, volume 61, issue 2, pages 353-383, December.
  2. Jérôme B. Detemple & Ren Garcia & Marcel Rindisbacher, 2003, "A Monte Carlo Method for Optimal Portfolios," Journal of Finance, American Finance Association, volume 58, issue 1, pages 401-446, February, DOI: 10.1111/1540-6261.00529.
  3. Detemple, Jerome B. & Karatzas, Ioannis, 2003, "Non-addictive habits: optimal consumption-portfolio policies," Journal of Economic Theory, Elsevier, volume 113, issue 2, pages 265-285, December.
  4. Jérôme Detemple & Angel Serrat, 2003, "Dynamic Equilibrium with Liquidity Constraints," The Review of Financial Studies, Society for Financial Studies, volume 16, issue 2, pages 597-629.

2002

  1. Detemple, Jerome B., 2002, "Asset pricing in an intertemporal partially-revealing rational expectations equilibrium," Journal of Mathematical Economics, Elsevier, volume 38, issue 1-2, pages 219-248, September.
  2. Jérôme Detemple & Weidong Tian, 2002, "The Valuation of American Options for a Class of Diffusion Processes," Management Science, INFORMS, volume 48, issue 7, pages 917-937, July, DOI: 10.1287/mnsc.48.7.917.2815.
  3. J. B. Detemple, 2002, "Book Reviews," Journal of Economics, Springer, volume 75, issue 2, pages 189-194, March, DOI: 10.1007/s007120200014.

2000

  1. Albuquerque, Rui & Rebelo, Sergio, 2000, "On the dynamics of trade reform," Journal of International Economics, Elsevier, volume 51, issue 1, pages 21-47, June.
  2. Broadie, Mark & Detemple, Jerome & Ghysels, Eric & Torres, Olivier, 2000, "Nonparametric estimation of American options' exercise boundaries and call prices," Journal of Economic Dynamics and Control, Elsevier, volume 24, issue 11-12, pages 1829-1857, October.
  3. Broadie, Mark & Detemple, Jerome & Ghysels, Eric & Torres, Olivier, 2000, "American options with stochastic dividends and volatility: A nonparametric investigation," Journal of Econometrics, Elsevier, volume 94, issue 1-2, pages 53-92.
  4. Jérôme Detemple & Carlton Osakwe, 2000, "The Valuation of Volatility Options," Review of Finance, European Finance Association, volume 4, issue 1, pages 21-50.

1999

  1. Detemple, Jerome & Sundaresan, Suresh, 1999, "Nontraded Asset Valuation with Portfolio Constraints: A Binomial Approach," The Review of Financial Studies, Society for Financial Studies, volume 12, issue 4, pages 835-872.

1998

  1. Jérôme Detemple, 1998, "Generalized optimal stopping problems and financial markets, by Dennis Wong," International Journal of Stochastic Analysis, Hindawi, volume 11, pages 1-2, January, DOI: 10.1155/S1048953398000161.
  2. JÊrÆme B. Detemple & Piero Gottardi, 1998, "Aggregation, efficiency and mutual fund separation in incomplete markets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 11, issue 2, pages 443-455.

1997

  1. Mark Broadie & Jérôme Detemple, 1997, "The Valuation of American Options on Multiple Assets," Mathematical Finance, Wiley Blackwell, volume 7, issue 3, pages 241-286, July, DOI: 10.1111/1467-9965.00032.
  2. Detemple, Jerome & Murthy, Shashidhar, 1997, "Equilibrium Asset Prices and No-Arbitrage with Portfolio Constraints," The Review of Financial Studies, Society for Financial Studies, volume 10, issue 4, pages 1133-1174.

1996

  1. Detemple, Jerome B. & Giannikos, Christos I., 1996, "Asset and commodity prices with multi-attribute durable goods," Journal of Economic Dynamics and Control, Elsevier, volume 20, issue 8, pages 1451-1504, August.
  2. Broadie, Mark & Detemple, Jerome, 1996, "American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods," The Review of Financial Studies, Society for Financial Studies, volume 9, issue 4, pages 1211-1250.

1995

  1. Detemple, J. & Gottardi, P. & Polemarchakis, H. M., 1995, "The relevance of financial policy," European Economic Review, Elsevier, volume 39, issue 6, pages 1133-1154, June.
  2. Broadie, Mark & Detemple, Jerome, 1995, "American Capped Call Options on Dividend-Paying Assets," The Review of Financial Studies, Society for Financial Studies, volume 8, issue 1, pages 161-191.

1994

  1. Detemple Jerome & Murthy Shashidhar, 1994, "Intertemporal Asset Pricing with Heterogeneous Beliefs," Journal of Economic Theory, Elsevier, volume 62, issue 2, pages 294-320, April.
  2. Guido Kürsteiner & Marcel Rindisbacher, 1994, "Real Business Cycle Models - Some Evidence for Switzerland," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 130, issue 1, pages 21-43, March.

1993

  1. Jérôme Detemple, 1993, "Demande de portefeuille et politique de couverture de risque sous information incomplète," L'Actualité Economique, Société Canadienne de Science Economique, volume 69, issue 1, pages 45-70.

1992

  1. Jerome B. Detemple & Fernando Zapatero, 1992, "Optimal Consumption‐Portfolio Policies With Habit Formation1," Mathematical Finance, Wiley Blackwell, volume 2, issue 4, pages 251-274, October, DOI: 10.1111/j.1467-9965.1992.tb00032.x.

1991

  1. Detemple, Jerome B & Zapatero, Fernando, 1991, "Asset Prices in an Exchange Economy with Habit Formation," Econometrica, Econometric Society, volume 59, issue 6, pages 1633-1657, November.
  2. Detemple, Jerome B., 1991, "Further results on asset pricing with incomplete information," Journal of Economic Dynamics and Control, Elsevier, volume 15, issue 3, pages 425-453, July.
  3. Detemple, Jerome B & Selden, Larry, 1991, "A General Equilibrium Analysis of Option and Stock Market Interactions," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, volume 32, issue 2, pages 279-303, May.

1990

  1. Detemple, Jerome & Jorion, Philippe, 1990, "Option listing and stock returns : An empirical analysis," Journal of Banking & Finance, Elsevier, volume 14, issue 4, pages 781-801, October.
  2. Jerome B. Detemple, 1990, "Financial Innovation, Values and Volatilities when Markets Are Incomplete*," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), volume 15, issue 1, pages 47-53, March.

1988

  1. Michael Adler & Jerome Detemple, 1988, "Hedging with futures in an intertemporal portfolio context," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 8, issue 3, pages 249-269, June.

1987

  1. Jérôme B. Detemple & Richard E. Kihlstrom, 1987, "Acquisition d’information dans un modèle intertemporel en temps continu," L'Actualité Economique, Société Canadienne de Science Economique, volume 63, issue 2, pages 118-137.

1986

  1. Detemple, Jerome B, 1986, "Asset Pricing in a Production Economy with Incomplete Information," Journal of Finance, American Finance Association, volume 41, issue 2, pages 383-391, June.

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