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Publications

by members of

McIntire School of Commerce
University of Virginia
Charlottesville, Virginia (United States)

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 | Software components |

Working papers

Undated material is listed at the end

2023

  1. Robert Parham, 2023. "Facts of US Firm Scale and Growth 1970-2019: An Illustrated Guide," Papers 2302.02485, arXiv.org.
  2. Robert Parham, 2023. "The Difference-of-Log-Normals Distribution: Properties, Estimation, and Growth," Papers 2302.02486, arXiv.org.

2017

  1. Hollifield, Burton & Sandås, Patrik & Todd, Andrew, 2017. "Latency Arbitrage When Markets Become Faster," Working Paper Series 338, Sveriges Riksbank (Central Bank of Sweden).

2015

  1. Kaniel, Ron & Parham, Robert, 2015. "WSJ Category Kings - the impact of media attention on consumer and mutual fund investment decisions," CEPR Discussion Papers 10923, C.E.P.R. Discussion Papers.
  2. Paul Ehling & Michael Gallmeyer & Christian Heyerdahl-Larsen & Philipp Illeditsch, 2015. "Disagreement about inflation and the yield curve," Working Papers 1532, Banco de España.

2011

  1. Thierry Foucault & Ailsa Roell & Patrik Sandas, 2011. "Imperfect Market Monitoring and SOES Trading," Working Papers hal-00607040, HAL.

2009

  1. Philipp Illeditsch & Michael Gallmeyer & Christian Heyerdahl-Larsen & Paul Ehling, 2009. "Beliefs about Inflation and the Term Structure of Interest Rates," 2009 Meeting Papers 1223, Society for Economic Dynamics.

2008

  1. Stathis Tompaidis & Sanjay Srivastava & Michael Gallmeyer & Paul Ehling, 2008. "Portfolio Choice with Capital Gain Taxation and the Limited Use of Losses," 2008 Meeting Papers 769, Society for Economic Dynamics.

2007

  1. Michael F. Gallmeyer & Burton Hollifield & Francisco Palomino & Stanley E. Zin, 2007. "Arbitrage-Free Bond Pricing with Dynamic Macroeconomic Models," NBER Working Papers 13245, National Bureau of Economic Research, Inc.

2006

  1. A. Cevdet Aydemir & Michael Gallmeyer & Burton Hollifield, 2006. "Financial Leverage Does Not Cause the Leverage Effect," 2006 Meeting Papers 263, Society for Economic Dynamics.
  2. Stephan Dieckmann & Michael Gallmeyer, 2006. "Pricing Rare Event Risk in Emerging Markets," 2006 Meeting Papers 305, Society for Economic Dynamics.

2005

  1. Michael Gallmeyer & Burton Hollifield & Stanley E. Zin, 2005. "Taylor Rules, McCallum Rules and the Term Structure of Interest Rates," NBER Working Papers 11276, National Bureau of Economic Research, Inc.
  2. Fahlenbrach, Rudiger & Sandas, Patrik, 2005. "Market Frictions and Seemingly Anomalous Co-movements of Index Options and Index Futures Quotes," Working Paper Series 2005-10, Ohio State University, Charles A. Dice Center for Research in Financial Economics.

2003

  1. Thierry Foucault & Ailsa Roell & Patrik Sandas, 2003. "Market Making with Costly Monitoring: An Analysis of the SOES Controversy," Post-Print hal-00459778, HAL.

2002

  1. Hollifield, Burton & Sandås, Patrik & Miller, Robert A. & Slive, Joshua, 2002. "Liquidity Supply and Demand in Limit Order Markets," CEPR Discussion Papers 3676, C.E.P.R. Discussion Papers.

Undated

  1. Michael Gallmeyer & Burton Hollifield & Duane Seppi, "undated". "Liquidity Discovery and Asset Pricing," GSIA Working Papers 2004-10, Carnegie Mellon University, Tepper School of Business.
  2. Michael Gallmeyer & Burton Hollifield, "undated". "An Examination of Heterogeneous Beliefs with a Short Sale Constraint," GSIA Working Papers 2002-E2, Carnegie Mellon University, Tepper School of Business.
  3. Michael Gallmeyer & Sanjay Srivastava, "undated". "No Arbitrage and the Tax Code," GSIA Working Papers 2003-E37, Carnegie Mellon University, Tepper School of Business.
  4. A Cevdet Aydemir & Michael Gallmeyer & Burton Hollifield, "undated". "Financial leverage and the leverage effect: A market and firm analysis," GSIA Working Papers 2007-E31, Carnegie Mellon University, Tepper School of Business.
  5. Stephan Dieckmann & Michael Gallmeyer, "undated". "The Equilibrium Allocation of Diffusive and Jump Risks with Heterogeneous Agents," GSIA Working Papers 2003-E36, Carnegie Mellon University, Tepper School of Business.
  6. Suleyman Basak & Michael Gallmeyer, "undated". "Capital Market Equilibrium with Differential Taxation," GSIA Working Papers 1999-E1, Carnegie Mellon University, Tepper School of Business.
  7. Michael Gallmeyer & Duane Seppi, "undated". "Derivative Security Induced Price Manipulation," GSIA Working Papers 2000-E41, Carnegie Mellon University, Tepper School of Business.
  8. Michael Gallmeyer, "undated". "Beliefs and Volatility," GSIA Working Papers 2000-E42, Carnegie Mellon University, Tepper School of Business.
  9. Michael Gallmeyer & Ron Kaniel & Stathis Tompaidis, "undated". "Two Stock Portfolio Choice with Capital Gain Taxes and Short Sales," GSIA Working Papers 2001-E21, Carnegie Mellon University, Tepper School of Business.
  10. Süleyman Basak & Mike Gallmeyer, "undated". "Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two-Country Dynamic Monetary Equilibrium," Rodney L. White Center for Financial Research Working Papers 09-98, Wharton School Rodney L. White Center for Financial Research.
  11. Burton Hollifield & Robert Miller & Patrik Sandas & Joshua Slive, "undated". "Liquidity Supply and Demand: Empirical Evidence from the Vancouver Stock Exchange," GSIA Working Papers 1999-E19, Carnegie Mellon University, Tepper School of Business.

Journal articles

2023

  1. Campbell, T. Colin & Gallmeyer, Michael & Petkevich, Alex, 2023. "The Only Constant Is Change: Nonconstant Volatility and Implied Volatility Spreads," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 58(5), pages 2190-2227, August.

2021

  1. Wang, Wei & Yung, Chris, 2021. "IPO quantity revisions," Journal of Banking & Finance, Elsevier, vol. 132(C).

2019

  1. Yung, Chris, 2019. "Entrepreneurial manipulation with staged financing," Journal of Banking & Finance, Elsevier, vol. 100(C), pages 273-282.

2018

  1. Ehling, Paul & Gallmeyer, Michael & Heyerdahl-Larsen, Christian & Illeditsch, Philipp, 2018. "Disagreement about inflation and the yield curve," Journal of Financial Economics, Elsevier, vol. 127(3), pages 459-484.
  2. Paul Ehling & Michael Gallmeyer & Sanjay Srivastava & Stathis Tompaidis & Chunyu Yang, 2018. "Portfolio Tax Trading with Carryover Losses," Management Science, INFORMS, vol. 64(9), pages 4156-4176, September.
  3. David A Chapman & Michael F Gallmeyer & J Spencer Martin, 2018. "Aggregate Tail Risk and Expected Returns," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 8(1), pages 36-76.

2017

  1. Kaniel, Ron & Parham, Robert, 2017. "WSJ Category Kings – The impact of media attention on consumer and mutual fund investment decisions," Journal of Financial Economics, Elsevier, vol. 123(2), pages 337-356.
  2. Timothy Erickson & Robert Parham & Toni M. Whited, 2017. "Fitting the errors-in-variables model using high-order cumulants and moments," Stata Journal, StataCorp LP, vol. 17(1), pages 116-129, March.
  3. Chris Yung, 2017. "Venture Capital and the Market for Talent during Booms and Busts," Review of Finance, European Finance Association, vol. 21(5), pages 1875-1899.
  4. Marcel Fischer & Michael Gallmeyer, 2017. "Taxable and Tax-Deferred Investing with the Limited Use of Losses," Review of Finance, European Finance Association, vol. 21(5), pages 1847-1873.
  5. Michael Gallmeyer & Burton Hollifield & Francisco Palomino & Stanley Zin, 2017. "Term Premium Dynamics and the Taylor Rule," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 7(04), pages 1-39, December.
  6. Stefan Frey & Patrik Sandås, 2017. "The Impact of Iceberg Orders in Limit Order Books," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 7(03), pages 1-43, September.

2016

  1. Yung, Chris, 2016. "Making Waves: To Innovate or Be a Fast Second?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 51(2), pages 415-433, April.
  2. Fischer, Marcel & Gallmeyer, Michael F., 2016. "Heuristic portfolio trading rules with capital gain taxes," Journal of Financial Economics, Elsevier, vol. 119(3), pages 611-625.

2015

  1. Ying Xiao & Chris Yung, 2015. "Extrapolation Errors in IPOs," Financial Management, Financial Management Association International, vol. 44(4), pages 713-751, October.
  2. Pinheiro, Roberto & Yung, Chris, 2015. "CEOs in family firms: Does junior know what he's doing?," Journal of Corporate Finance, Elsevier, vol. 33(C), pages 345-361.
  3. Chava, Sudheer & Gallmeyer, Michael & Park, Heungju, 2015. "Credit conditions and stock return predictability," Journal of Monetary Economics, Elsevier, vol. 74(C), pages 117-132.

2013

  1. Dieckmann, Stephan & Gallmeyer, Michael, 2013. "Rare event risk and emerging market debt with heterogeneous beliefs," Journal of International Money and Finance, Elsevier, vol. 33(C), pages 163-187.

2012

  1. Mick, David Glen & Spiller, Stephen A. & Baglioni, Anthony J., 2012. "A systematic self-observation study of consumers' conceptions of practical wisdom in everyday purchase events," Journal of Business Research, Elsevier, vol. 65(7), pages 1051-1059.

2011

  1. Campbell, T. Colin & Gallmeyer, Michael & Johnson, Shane A. & Rutherford, Jessica & Stanley, Brooke W., 2011. "CEO optimism and forced turnover," Journal of Financial Economics, Elsevier, vol. 101(3), pages 695-712, September.

2010

  1. Yung, Chris & Zender, Jaime F., 2010. "Moral hazard, asymmetric information and IPO lockups," Journal of Corporate Finance, Elsevier, vol. 16(3), pages 320-332, June.

2009

  1. Chris Yung, 2009. "Entrepreneurial Financing and Costly Due Diligence," The Financial Review, Eastern Finance Association, vol. 44(1), pages 137-149, February.
  2. Wei Wang & Chris Yung, 2009. "IPO Information Aggregation and Underwriter Quality," Review of Finance, European Finance Association, vol. 15(2), pages 301-325.

2008

  1. David Glen Mick, 2008. "Introduction: The Moment and Place for a Special Issue," Journal of Consumer Research, Journal of Consumer Research Inc., vol. 35(3), pages 377-379, August.
  2. Yung, Chris & Çolak, Gönül & Wei Wang, 2008. "Cycles in the IPO market," Journal of Financial Economics, Elsevier, vol. 89(1), pages 192-208, July.
  3. Michael Gallmeyer & Burton Hollifield, 2008. "An Examination of Heterogeneous Beliefs with a Short-Sale Constraint in a Dynamic Economy," Review of Finance, European Finance Association, vol. 12(2), pages 323-364.

2007

  1. Michael F. Gallmeyer & Burton Hollifield & Francisco J. Palomino & Stanley E. Zin, 2007. "Arbitrage-free bond pricing with dynamic macroeconomic models," Review, Federal Reserve Bank of St. Louis, vol. 89(Jul), pages 305-326.

2006

  1. Gallmeyer, Michael F. & Kaniel, Ron & Tompaidis, Stathis, 2006. "Tax management strategies with multiple risky assets," Journal of Financial Economics, Elsevier, vol. 80(2), pages 243-291, May.

2005

  1. Yung, Chris, 2005. "Insider trading with private information and moral hazard," Finance Research Letters, Elsevier, vol. 2(2), pages 51-57, June.
  2. Chris Yung, 2005. "IPOs with Buy- and Sell-Side Information Production: The Dark Side of Open Sales," The Review of Financial Studies, Society for Financial Studies, vol. 18(1), pages 327-347.
  3. Dieckmann, Stephan & Gallmeyer, Michael, 2005. "The equilibrium allocation of diffusive and jump risks with heterogeneous agents," Journal of Economic Dynamics and Control, Elsevier, vol. 29(9), pages 1547-1576, September.
  4. Gallmeyer, Michael F. & Hollifield, Burton & Zin, Stanley E., 2005. "Taylor rules, McCallum rules and the term structure of interest rates," Journal of Monetary Economics, Elsevier, vol. 52(5), pages 921-950, July.

2003

  1. McQuarrie, Edward F & Mick, David Glen, 2003. "Visual and Verbal Rhetorical Figures under Directed Processing versus Incidental Exposure to Advertising," Journal of Consumer Research, Journal of Consumer Research Inc., vol. 29(4), pages 579-587, March.
  2. Suleyman Basak & Michael Gallmeyer, 2003. "Capital Market Equilibrium with Differential Taxation," Review of Finance, European Finance Association, vol. 7(2), pages 121-159.

2001

  1. Sandas, Patrik, 2001. "Adverse Selection and Competitive Market Making: Empirical Evidence from a Limit Order Market," The Review of Financial Studies, Society for Financial Studies, vol. 14(3), pages 705-734.

1999

  1. McQuarrie, Edward F & Mick, David Glen, 1999. "Visual Rhetoric in Advertising: Text-Interpretive, Experimental, and Reader-Response Analyses," Journal of Consumer Research, Journal of Consumer Research Inc., vol. 26(1), pages 37-54, June.
  2. Suleyman Basak & Michael Gallmeyer, 1999. "Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two‐Country Dynamic Monetary Equilibrium," Mathematical Finance, Wiley Blackwell, vol. 9(1), pages 1-30, January.

1998

  1. Mick, David Glen & Fournier, Susan, 1998. "Paradoxes of Technology: Consumer Cognizance, Emotions, and Coping Strategies," Journal of Consumer Research, Journal of Consumer Research Inc., vol. 25(2), pages 123-143, September.

1996

  1. Mick, David Glen, 1996. "Are Studies of Dark Side Variables Confounded by Socially Desirable Responding? The Case of Materialism," Journal of Consumer Research, Journal of Consumer Research Inc., vol. 23(2), pages 106-119, September.
  2. McQuarrie, Edward F & Mick, David Glen, 1996. "Figures of Rhetoric in Advertising Language," Journal of Consumer Research, Journal of Consumer Research Inc., vol. 22(4), pages 424-438, March.

1992

  1. McQuarrie, Edward F & Mick, David Glen, 1992. "On Resonance: A Critical Pluralistic Inquiry into Advertising Rhetoric," Journal of Consumer Research, Journal of Consumer Research Inc., vol. 19(2), pages 180-197, September.
  2. Mick, David Glen, 1992. "Levels of Subjective Comprehension in Advertising Processing and Their Relations to Ad Perceptions, Attitudes, and Memory," Journal of Consumer Research, Journal of Consumer Research Inc., vol. 18(4), pages 411-424, March.
  3. Mick, David Glen & Buhl, Claus, 1992. "A Meaning-Based Model of Advertising Experiences," Journal of Consumer Research, Journal of Consumer Research Inc., vol. 19(3), pages 317-338, December.

1990

  1. Mick, David Glen & DeMoss, Michelle, 1990. "Self-Gifts: Phenomenological Insights from Four Contexts," Journal of Consumer Research, Journal of Consumer Research Inc., vol. 17(3), pages 322-332, December.

1986

  1. Mick, David Glen, 1986. "Consumer Research and Semiotics: Exploring the Morphology of Signs, Symbols, and Significance," Journal of Consumer Research, Journal of Consumer Research Inc., vol. 13(2), pages 196-213, September.

Software components

2012

  1. Timothy Erickson & Robert Parham & Toni Whited, 2012. "XTEWREG: Stata module to estimate errors-in-variable model with mismeasured regressors," Statistical Software Components S457525, Boston College Department of Economics, revised 02 Sep 2016.

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