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Publications

by members of

University of Virginia → McIntire School of Commerce

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

2023

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

2017

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

2015

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

2011

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

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, Society for Economic Dynamics, number 1223.

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, Society for Economic Dynamics, number 769.

2007

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

2006

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

2005

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

2003

  1. Thierry Foucault & Ailsa Roell & Patrik Sandas, 2003, "Market Making with Costly Monitoring: An Analysis of the SOES Controversy," Post-Print, HAL, number hal-00459778, DOI: 10.1093/rfs/hhg005.

2002

  1. Hollifield, Burton & Sandås, Patrik & Miller, Robert A. & Slive, Joshua, 2002, "Liquidity Supply and Demand in Limit Order Markets," CEPR Discussion Papers, Centre for Economic Policy Research, number 3676, Dec.

Undated

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

Journal articles

2024

  1. Brent Kitchens & Robert Parham & Chris Yung, 2024, "Is news really news? The effects of selective disclosure regulations," Review of Finance, European Finance Association, volume 28, issue 6, pages 1991-2015.

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, volume 58, issue 5, pages 2190-2227, August.

2021

  1. Wang, Wei & Yung, Chris, 2021, "IPO quantity revisions," Journal of Banking & Finance, Elsevier, volume 132, issue C, DOI: 10.1016/j.jbankfin.2021.106199.

2019

  1. Yung, Chris, 2019, "Entrepreneurial manipulation with staged financing," Journal of Banking & Finance, Elsevier, volume 100, issue C, pages 273-282, DOI: 10.1016/j.jbankfin.2018.06.016.

2018

  1. Ehling, Paul & Gallmeyer, Michael & Heyerdahl-Larsen, Christian & Illeditsch, Philipp, 2018, "Disagreement about inflation and the yield curve," Journal of Financial Economics, Elsevier, volume 127, issue 3, pages 459-484, DOI: 10.1016/j.jfineco.2018.01.001.
  2. Paul Ehling & Michael Gallmeyer & Sanjay Srivastava & Stathis Tompaidis & Chunyu Yang, 2018, "Portfolio Tax Trading with Carryover Losses," Management Science, INFORMS, volume 64, issue 9, pages 4156-4176, September, DOI: 10.1287/mnsc.2017.2733.
  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, volume 8, issue 1, pages 36-76.

2017

  1. Marcel Fischer & Michael Gallmeyer, 2017, "Taxable and Tax-Deferred Investing with the Limited Use of Losses," Review of Finance, European Finance Association, volume 21, issue 5, pages 1847-1873.
  2. 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., volume 7, issue 04, pages 1-39, December, DOI: 10.1142/S2010139217500112.
  3. 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, volume 123, issue 2, pages 337-356, DOI: 10.1016/j.jfineco.2016.11.003.
  4. Timothy Erickson & Robert Parham & Toni M. Whited, 2017, "Fitting the errors-in-variables model using high-order cumulants and moments," Stata Journal, StataCorp LLC, volume 17, issue 1, pages 116-129, March.
  5. 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., volume 7, issue 03, pages 1-43, September, DOI: 10.1142/S2010139217500070.
  6. Chris Yung, 2017, "Venture Capital and the Market for Talent during Booms and Busts," Review of Finance, European Finance Association, volume 21, issue 5, pages 1875-1899.

2016

  1. Fischer, Marcel & Gallmeyer, Michael F., 2016, "Heuristic portfolio trading rules with capital gain taxes," Journal of Financial Economics, Elsevier, volume 119, issue 3, pages 611-625, DOI: 10.1016/j.jfineco.2016.01.024.
  2. Yung, Chris, 2016, "Making Waves: To Innovate or Be a Fast Second?," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 51, issue 2, pages 415-433, April.

2015

  1. Chava, Sudheer & Gallmeyer, Michael & Park, Heungju, 2015, "Credit conditions and stock return predictability," Journal of Monetary Economics, Elsevier, volume 74, issue C, pages 117-132, DOI: 10.1016/j.jmoneco.2015.06.004.
  2. Ying Xiao & Chris Yung, 2015, "Extrapolation Errors in IPOs," Financial Management, Financial Management Association International, volume 44, issue 4, pages 713-751, October.
  3. Pinheiro, Roberto & Yung, Chris, 2015, "CEOs in family firms: Does junior know what he's doing?," Journal of Corporate Finance, Elsevier, volume 33, issue C, pages 345-361, DOI: 10.1016/j.jcorpfin.2015.01.010.

2013

  1. Dieckmann, Stephan & Gallmeyer, Michael, 2013, "Rare event risk and emerging market debt with heterogeneous beliefs," Journal of International Money and Finance, Elsevier, volume 33, issue C, pages 163-187, DOI: 10.1016/j.jimonfin.2012.11.017.

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, volume 65, issue 7, pages 1051-1059, DOI: 10.1016/j.jbusres.2011.02.033.

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, volume 101, issue 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, volume 16, issue 3, pages 320-332, June.

2009

  1. Chris Yung, 2009, "Entrepreneurial Financing and Costly Due Diligence," The Financial Review, Eastern Finance Association, volume 44, issue 1, pages 137-149, February, DOI: 10.1111/j.1540-6288.2008.00213.x.
  2. Wei Wang & Chris Yung, 2009, "IPO Information Aggregation and Underwriter Quality," Review of Finance, European Finance Association, volume 15, issue 2, pages 301-325.

2008

  1. 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, volume 12, issue 2, pages 323-364.
  2. David Glen Mick, 2008, "Introduction: The Moment and Place for a Special Issue," Journal of Consumer Research, Journal of Consumer Research Inc., volume 35, issue 3, pages 377-379, August, DOI: 10.1086/591482.
  3. Yung, Chris & Çolak, Gönül & Wei Wang, 2008, "Cycles in the IPO market," Journal of Financial Economics, Elsevier, volume 89, issue 1, pages 192-208, July.

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, volume 89, issue 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, volume 80, issue 2, pages 243-291, May.

2005

  1. Dieckmann, Stephan & Gallmeyer, Michael, 2005, "The equilibrium allocation of diffusive and jump risks with heterogeneous agents," Journal of Economic Dynamics and Control, Elsevier, volume 29, issue 9, pages 1547-1576, September.
  2. 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, volume 52, issue 5, pages 921-950, July.
  3. Yung, Chris, 2005, "Insider trading with private information and moral hazard," Finance Research Letters, Elsevier, volume 2, issue 2, pages 51-57, June.
  4. 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, volume 18, issue 1, pages 327-347.

2003

  1. Suleyman Basak & Michael Gallmeyer, 2003, "Capital Market Equilibrium with Differential Taxation," Review of Finance, European Finance Association, volume 7, issue 2, pages 121-159.
  2. 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., volume 29, issue 4, pages 579-587, March, DOI: 10.1086/346252.

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, volume 14, issue 3, pages 705-734.

1999

  1. 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, volume 9, issue 1, pages 1-30, January, DOI: 10.1111/1467-9965.00061.
  2. 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., volume 26, issue 1, pages 37-54, June, DOI: 10.1086/209549.

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., volume 25, issue 2, pages 123-143, September, DOI: 10.1086/209531.

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., volume 23, issue 2, pages 106-119, September, DOI: 10.1086/209470.
  2. McQuarrie, Edward F & Mick, David Glen, 1996, "Figures of Rhetoric in Advertising Language," Journal of Consumer Research, Journal of Consumer Research Inc., volume 22, issue 4, pages 424-438, March, DOI: 10.1086/209459.

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., volume 19, issue 2, pages 180-197, September, DOI: 10.1086/209295.
  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., volume 18, issue 4, pages 411-424, March, DOI: 10.1086/209270.
  3. Mick, David Glen & Buhl, Claus, 1992, "A Meaning-Based Model of Advertising Experiences," Journal of Consumer Research, Journal of Consumer Research Inc., volume 19, issue 3, pages 317-338, December, DOI: 10.1086/209305.

1990

  1. Mick, David Glen & DeMoss, Michelle, 1990, "Self-Gifts: Phenomenological Insights from Four Contexts," Journal of Consumer Research, Journal of Consumer Research Inc., volume 17, issue 3, pages 322-332, December, DOI: 10.1086/208560.

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., volume 13, issue 2, pages 196-213, September, DOI: 10.1086/209060.

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, Boston College Department of Economics, number S457525, revised 02 Sep 2016.

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