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Publications

by alumni of

University of Florida → Warrington College of Business

These are publications listed in RePEc written by alumni of the above institution who are registered with the RePEc Author Service and listed in the RePEc Genealogy. List of alumni. For a list of publications by current members of the department, see here. Register yourself.

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

| Working papers | Journal articles |

Working papers

2023

  1. Gurdip Bakshi & John Crosby & Xiaohui Gao, 2023, "Dark Matter in (Volatility and) Equity Option Risk Premiums," Papers, arXiv.org, number 2303.16371, Mar.

2020

  1. Giulio Girardi & Kathleen W. Hanley & Stanislava Nikolova & Loriana Pelizzon & Mila Getmansky Sherman, 2020, "Portfolio Similarity and Asset Liquidation in the Insurance Industry," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2020:13.

2013

  1. Olivia S. Mitchell & Christopher C. Geczy & Robert Novy-Marx & Raimond Maurer & Donald E. Fuerst & Christopher M. Bone & Donald J. Segal & Martin G. Clarke & Frank J. Fabozzi & Deborah Lucas & David F, 2013, "Technical Review Panel for the Pension Insurance Modeling System (PIMS)," Working Papers, University of Michigan, Michigan Retirement Research Center, number wp290, Sep.

2011

  1. Babbel, David F. & Herce, Miguel A., 2011, "Stable Value Funds: Performance to Date," Working Papers, University of Pennsylvania, Wharton School, Weiss Center, number 11-01, Jan.

2010

  1. Dutta, Kabir K. & Babbel, David F., 2010, "Scenario Analysis in the Measurement of Operational Risk Capital: A Change of Measure Approach," Working Papers, University of Pennsylvania, Wharton School, Weiss Center, number 10-10, Sep.
  2. Babbel, David F., 2010, "A Note on Scenario Analysis in the Measurement of Operational Risk Capital: A Change of Measure Approach," Working Papers, University of Pennsylvania, Wharton School, Weiss Center, number 10-26, Sep.

2002

  1. Kabir K. Dutta & David F. Babbel, 2002, "On Measuring Skewness and Kurtosis in Short Rate Distributions: The Case of the US Dollar London Inter Bank Offer Rates," Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania, number 02-25, Jun.
  2. Kabir K. Dutta & David F. Babbel, 2002, "Extracting Probabilistic Information from the Prices of Interest Rate Options: Tests of Distributional Assumptions," Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania, number 02-26, Jun.

2001

  1. David F. Babbel & Craig B. Merrill & Mark F. Meyer & Meiring de Villiers, 2001, "The Effect of Transaction Size on Off-the-Run Treasury Prices," Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania, number 01-03, Feb.

1998

  1. David F. Babbel, 1998, "Components of Insurance Firm Value and the Present Value of Liabilities," Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania, number 98-18, Jul.

1997

  1. David F. Babbel & Anthony M. Santomero, 1997, "Risk Management by Insurers: An Analysis of the Process," Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania, number 96-16, Feb.
  2. David F. Babbel & Craig Merrill, 1997, "Economic Valuation Models for Insurers," Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania, number 97-44, Oct.

1996

  1. Babbel, D.F., 1996, "Insuring Sovereign Debt Against Default," World Bank - Discussion Papers, World Bank, number 328.

1995

  1. Babbel, David F. & Merrill, Craig & Panning, William, 1995, "Default risk and the effective duration of bonds," Policy Research Working Paper Series, The World Bank, number 1511, Sep.
  2. McIsaac, Donald A. & Babbel, David F., 1995, "The World Bank primer on reinsurance," Policy Research Working Paper Series, The World Bank, number 1512, Sep.

1991

  1. David F. Babbel & Laurence K. Eisenberg, 1991, "Quantity-adjusting options and forward contracts," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 91-15.
  2. David F. Babbel & Laurence K. Eisenberg, 1991, "Generalized put-call parity," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 91-9.

1985

  1. David F. Babbel and Jaime Cuevas Dermody., 1985, "Optimal Insurance of the Common Form Under Moral Hazard," Research Program in Finance Working Papers, University of California at Berkeley, number 154, Aug.
  2. David F. Babbel and Eisaku Ohtsuka., 1985, "Aspects of Optimal Multiperiod Life Insurance," Research Program in Finance Working Papers, University of California at Berkeley, number 156, Aug.

Undated

  1. David F. Babbel & Laurence K. Eisenberg, undated, "Generalized Put-Call Parity (Reprint 040)," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research, number 23-91.
  2. David F. Babbel & Laurence K. Eisenberg, undated, "Quantity-Adjusting Options and Forward Contracts (Revised: 29-91)," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research, number 24-91.
  3. David F. Babbel & Laurence K. Eisenberg, undated, "Quantity-Adjusting Options and Forward Contracts (Revision of 24-91) (Reprint 041)," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research, number 29-91.

Journal articles

2025

  1. Gurdip Bakshi & John Crosby & Xiaohui Gao, 2025, "Do investors gain by selling the tails of return distributions?," Mathematical Finance, Wiley Blackwell, volume 35, issue 2, pages 297-336, April, DOI: 10.1111/mafi.12447.

2024

  1. Gurdip Bakshi & Xiaohui Gao & Zhaowei Zhang, 2024, "What Insights Do Short-Maturity (7DTE) Return Predictive Regressions Offer about Risk Preferences in the Oil Market?," Commodities, MDPI, volume 3, issue 2, pages 1-23, May.
  2. Xiaohui Gao, 2024, "Madam Yellen is right about minimum wage policies: evidence from millions of sole proprietors," Review of Quantitative Finance and Accounting, Springer, volume 63, issue 4, pages 1233-1249, November, DOI: 10.1007/s11156-024-01289-x.

2023

  1. Bakshi, Gurdip & Gao, Xiaohui & Xue, Jinming, 2023, "Recovery with Applications to Forecasting Equity Disaster Probability and Testing the Spanning Hypothesis in the Treasury Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 58, issue 4, pages 1808-1842, June.
  2. Bakshi, Gurdip & Crosby, John & Gao, Xiaohui & Hansen, Jorge W., 2023, "Treasury option returns and models with unspanned risks," Journal of Financial Economics, Elsevier, volume 150, issue 3, DOI: 10.1016/j.jfineco.2023.103736.

2022

  1. Gurdip Bakshi & Xiaohui Gao & Zhaodong Zhong, 2022, "Decoding Default Risk: A Review of Modeling Approaches, Findings, and Estimation Methods," Annual Review of Financial Economics, Annual Reviews, volume 14, issue 1, pages 391-413, November, DOI: 10.1146/annurev-financial-111720-09.
  2. Gurdip Bakshi & John Crosby & Xiaohui Gao, 2022, "Dark Matter in (Volatility and) Equity Option Risk Premiums," Operations Research, INFORMS, volume 70, issue 6, pages 3108-3124, November, DOI: 10.1287/opre.2022.2360.
  3. Murray, Scott & Nikolova, Stanislava, 2022, "The Bond-Pricing Implications of Rating-Based Capital Requirements," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 57, issue 6, pages 2177-2207, September.

2021

  1. Gurdip Bakshi & Xiaohui Gao & George Panayotov, 2021, "A Theory of Dissimilarity Between Stochastic Discount Factors," Management Science, INFORMS, volume 67, issue 7, pages 4602-4622, July, DOI: 10.1287/mnsc.2020.3690.
  2. Girardi, Giulio & Hanley, Kathleen W. & Nikolova, Stanislava & Pelizzon, Loriana & Sherman, Mila Getmansky, 2021, "Portfolio similarity and asset liquidation in the insurance industry," Journal of Financial Economics, Elsevier, volume 142, issue 1, pages 69-96, DOI: 10.1016/j.jfineco.2021.05.050.
  3. Kathleen Weiss Hanley & Stanislava Nikolova, 2021, "Rethinking the Use of Credit Ratings in Capital Regulations: Evidence From the Insurance Industry
    [Causes of the financial crisis]    ," The Review of Corporate Finance Studies, Society for Financial Studies, volume 10, issue 2, pages 347-401.

2018

  1. David F. Babbel & Miguel A. Herce, 2018, "Stable Value Funds Performance," Risks, MDPI, volume 6, issue 1, pages 1-40, February.
  2. Gurdip Bakshi & Fousseni Chabi-Yo & Xiaohui Gao, 2018, "A Recovery that We Can Trust? Deducing and Testing the Restrictions of the Recovery Theorem," The Review of Financial Studies, Society for Financial Studies, volume 31, issue 2, pages 532-555.
  3. Hanley, Kathleen W. & Jagolinzer, Alan D. & Nikolova, Stanislava, 2018, "Strategic estimation of asset fair values," Journal of Accounting and Economics, Elsevier, volume 66, issue 1, pages 25-45, DOI: 10.1016/j.jacceco.2018.01.004.

2015

  1. Babbel, David F., 2015, "Evaluating pension insurance pricing," Journal of Pension Economics and Finance, Cambridge University Press, volume 14, issue 2, pages 186-201, April.
  2. Xiaohui Gao & Tse-Chun Lin, 2015, "Do Individual Investors Treat Trading as a Fun and Exciting Gambling Activity? Evidence from Repeated Natural Experiments," The Review of Financial Studies, Society for Financial Studies, volume 28, issue 7, pages 2128-2166.

2014

  1. Kabir K. Dutta & David F. Babbel, 2014, "Scenario Analysis in the Measurement of Operational Risk Capital: A Change of Measure Approach," Journal of Risk & Insurance, The American Risk and Insurance Association, volume 81, issue 2, pages 303-334, June.

2013

  1. Gao, Xiaohui & Ritter, Jay R. & Zhu, Zhongyan, 2013, "Where Have All the IPOs Gone?," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 48, issue 6, pages 1663-1692, December.
  2. Gergana Jostova & Stanislava Nikolova & Alexander Philipov & Christof W. Stahel, 2013, "Momentum in Corporate Bond Returns," The Review of Financial Studies, Society for Financial Studies, volume 26, issue 7, pages 1649-1693.

2012

  1. Flannery, Mark J. & Nikolova, Stanislava (Stas) & Öztekin, Özde, 2012, "Leverage Expectations and Bond Credit Spreads," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 47, issue 4, pages 689-714, August.

2010

  1. Gao, Xiaohui & Ritter, Jay R., 2010, "The marketing of seasoned equity offerings," Journal of Financial Economics, Elsevier, volume 97, issue 1, pages 33-52, July.

2008

  1. Babbel, David F., 2008, "Lifetime Financial Advice: Human Capital, Asset Allocation and Insurance. Roger G. Ibbotson, Moshe A. Milevsky, Peng Chen, and Kevin X. Zhu. 2007, Research Foundation of CFA Institute, ISBN 978-1-943205, 95 pages," Journal of Pension Economics and Finance, Cambridge University Press, volume 7, issue 3, pages 365-368, November.
  2. Xiaohui Gao & Miles Livingston, 2008, "The Components of Mutual Fund Fees," Financial Markets, Institutions & Instruments, John Wiley & Sons, volume 17, issue 3, pages 197-223, August, DOI: 10.1111/j.1468-0416.2008.00139.x.

2005

  1. David F. Babbel & Craig Merrill, 2005, "Real and Illusory Value Creation by Insurance Companies," Journal of Risk & Insurance, The American Risk and Insurance Association, volume 72, issue 1, pages 1-22, March, DOI: 10.1111/j.0022-4367.2005.00113.x.
  2. Kabir K. Dutta & David F. Babbel, 2005, "Extracting Probabilistic Information from the Prices of Interest Rate Options: Tests of Distributional Assumptions," The Journal of Business, University of Chicago Press, volume 78, issue 3, pages 841-870, May, DOI: 10.1086/429646.

2004

  1. Babbel, David F. & Merrill, Craig B. & Meyer, Mark F. & de Villiers, Meiring, 2004, "The Effect of Transaction Size on Off-the-Run Treasury Prices," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 39, issue 3, pages 595-611, September.

2002

  1. David Babbel & Jeremy Gold & Craig Merrill, 2002, "Fair Value of Liabilities: The Financial Economics Perspective," North American Actuarial Journal, Taylor & Francis Journals, volume 6, issue 1, pages 12-27, DOI: 10.1080/10920277.2002.10596027.

2001

  1. David F. Babbel, 2001, "Asset/Liability Management for Insurers in the New Era: Focus on Value," Journal of Risk Finance, Emerald Group Publishing Limited, volume 3, issue 1, pages 9-17, April, DOI: 10.1108/eb043479.

1998

  1. David Babbel & Craig Merrill, 1998, "Economic Valuation Models for Insurers," North American Actuarial Journal, Taylor & Francis Journals, volume 2, issue 3, pages 1-15, DOI: 10.1080/10920277.1998.10595716.
  2. David Babbel & Craig Merrill, 1998, "Authors’ Reply: Economic Valuation Models for Insurers - Discussion by Jacques F. Carriere," North American Actuarial Journal, Taylor & Francis Journals, volume 2, issue 3, pages 16-17, DOI: 10.1080/10920277.1998.10595718.

1997

  1. David Babbel, 1997, "“Two Paradigms for The Market Value of Liabilities”, Robert R. Reitano, October 1997," North American Actuarial Journal, Taylor & Francis Journals, volume 1, issue 4, pages 122-125, DOI: 10.1080/10920277.1997.10595658.
  2. David F. Babbel & Craig Merrill & William Panning, 1997, "Default Risk and the Effective Duration of Bonds," Financial Analysts Journal, Taylor & Francis Journals, volume 53, issue 1, pages 35-44, January, DOI: 10.2469/faj.v53.n1.2054.

1996

  1. Craig Merrill & David Babbel, 1996, "Interest‐rate option pricing revisited," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 16, issue 8, pages 859-863, December.

1989

  1. David F. Babbel, 1989, "Insuring banks against systematic credit risk," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 9, issue 6, pages 487-505, December.

1988

  1. Babbel, David F., 1988, "Interest rate dynamics and the term structure : A note," Journal of Banking & Finance, Elsevier, volume 12, issue 3, pages 401-417, September.

1985

  1. Babbel, David F, 1985, "The Price Elasticity of Demand for Whole Life Insurance," Journal of Finance, American Finance Association, volume 40, issue 1, pages 225-239, March.

1983

  1. Babbel, David F & Staking, Kim B, 1983, "A Capital Budgeting Analysis of Life Insurance Costs in the United States: 1950-1979," Journal of Finance, American Finance Association, volume 38, issue 1, pages 149-170, March.
  2. David F Babbel, 1983, "Determining The Optimum Strategy for Hedging Currency Exposure," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, volume 14, issue 1, pages 133-139, March.

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