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Ajay Subramanian

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First Name:Ajay
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Last Name:Subramanian
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RePEc Short-ID:psu174
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http://www.rmi.gsu.edu/Faculty/pages/subramanian.htm

Research output

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Jump to: Working papers Articles

Working papers

  1. Ajay Subramanian & Jonathan Clarke, 2004. "Dynamic Forecasting Behavior by Analysts: Theory and Evidence," Econometric Society 2004 North American Winter Meetings 546, Econometric Society.
  2. Ping Hu & Jayant Kale & Ajay Subramanian, 2003. "Compensation, Career Concerns, and Relative Risk Choices by Mutual Fund Managers: Theory and Evidence," Levine's Bibliography 666156000000000349, UCLA Department of Economics.

Articles

  1. Ping Hu & Jayant R. Kale & Marco Pagani & Ajay Subramanian, 2011. "Fund Flows, Performance, Managerial Career Concerns, and Risk Taking," Management Science, INFORMS, vol. 57(4), pages 628-646, April.
  2. Fu, Richard & Subramanian, Ajay, 2011. "Leverage and debt maturity choices by undiversified owner-managers," Journal of Corporate Finance, Elsevier, vol. 17(4), pages 888-913, September.
  3. Yahel Giat & Steve T. Hackman & Ajay Subramanian, 2010. "Investment under Uncertainty, Heterogeneous Beliefs, and Agency Conflicts," Review of Financial Studies, Society for Financial Studies, vol. 23(4), pages 1360-1404, April.
  4. Ciccotello, Conrad S. & Fu, Richard & Subramanian, Ajay, 2010. "Commercializing public technology through cooperative R&D," Economics Letters, Elsevier, vol. 108(2), pages 113-115, August.
  5. Clarke, Jonathan & Subramanian, Ajay, 2006. "Dynamic forecasting behavior by analysts: Theory and evidence," Journal of Financial Economics, Elsevier, vol. 80(1), pages 81-113, April.
  6. Ajay Subramanian, 2004. "Option Pricing on Stocks in Mergers and Acquisitions," Journal of Finance, American Finance Association, vol. 59(2), pages 795-829, April.
  7. Ajay Subramanian & Robert A. Jarrow, 2001. "The Liquidity Discount," Mathematical Finance, Wiley Blackwell, vol. 11(4), pages 447-474.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Ajay Subramanian & Jonathan Clarke, 2004. "Dynamic Forecasting Behavior by Analysts: Theory and Evidence," Econometric Society 2004 North American Winter Meetings 546, Econometric Society.

    Cited by:

    1. Citci, Haluk & Inci, Eren, 2012. "The Masquerade Ball of the CEOs and the Mask of Excessive Risk," MPRA Paper 35979, University Library of Munich, Germany.
    2. Choi, Hyung Suk & Clarke, Jonathan & Ferris, Stephen P. & Jayaraman, Narayanan, 2009. "The effects of regulation on industry structure and trade generation in the US securities industry," Journal of Banking & Finance, Elsevier, vol. 33(8), pages 1434-1445, August.
    3. Régis Breton & Sébastien Galanti & Christophe Hurlin & Anne-Gaël Vaubourg, 2013. "Does the firm-analyst relationship matter in explaining analysts' earnings forecast errors?," Working Papers hal-00862996, HAL.
    4. Rocco Ciciretti & Gerald P. Dwyer & Iftekhar Hasan, 2009. "Investment analysts' forecasts of earnings," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 545-568.
    5. Hilary, Gilles & Hsu, Charles, 2011. "Endogenous overconfidence in managerial forecasts," Journal of Accounting and Economics, Elsevier, vol. 51(3), pages 300-313, April.
    6. Kempf, Alexander & Ruenzi, Stefan & Thiele, Tanja, 2008. "Employment risk, compensation incentives and managerial risk taking: Evidence from the mutual fund industry," CFR Working Papers 07-02, University of Cologne, Centre for Financial Research (CFR).
    7. Papastamos, Dimitrios & Matysiak, George & Stevenson, Simon, 2015. "Assessing the accuracy and dispersion of real estate investment forecasts," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 141-152.
    8. Nikolaos Theriou & George Mlekanis & Dimitrios Maditinos, 2011. "Herding the Mutual Fund Managers in the Athens Stock Exchange," European Research Studies Journal, European Research Studies Journal, vol. 0(4), pages 131-154.
    9. Ramnath, Sundaresh & Rock, Steve & Shane, Philip, 2008. "The financial analyst forecasting literature: A taxonomy with suggestions for further research," International Journal of Forecasting, Elsevier, vol. 24(1), pages 34-75.
    10. Anne-Gael Vaubourg & Valdete Berisha-Krasniqui & Sébastien Galanti & Christophe Hurlin & Régis Breton, 2013. "We study whether financial analysts' concern for preserving good relationships with firms' managers motivates them to issue pessimistic or optimistic forecasts. Based on a dataset of one-yearahead EPS," Larefi Working Papers 1304, Larefi, Université Bordeaux 4.
    11. M. Fern'andez-Mart'inez & M. A S'anchez-Granero & Mar'ia Jos'e Mu~noz Torrecillas & Bill McKelvey, 2016. "A comparison among some Hurst exponent approaches to predict nascent bubbles in $500$ company stocks," Papers 1601.04188, arXiv.org.
    12. Jerry, Sun, 2011. "The Effect of Analyst Coverage on the Informativeness of Income Smoothing," The International Journal of Accounting, Elsevier, vol. 46(3), pages 333-349, September.
    13. Dimitrios Papastamos & George Matysiak & Simon Stevenson, 2014. "A Comparative Analysis of the Accuracy and Uncertainty in Real Estate and Macroeconomic Forecasts," Real Estate & Planning Working Papers rep-wp2014-06, Henley Business School, Reading University.
    14. Bizer, Kilian & Meub, Lukas & Proeger, Till & Spiwoks, Markus, 2014. "Strategic coordination in forecasting: An experimental study," Center for European, Governance and Economic Development Research Discussion Papers 195, University of Goettingen, Department of Economics.
    15. Bosquet, K. & de Goeij, P. C. & Smedts, K., 2009. "Coexistence and Dynamics of Overconfidence and Strategic Incentives," Discussion Paper 2009-81, Tilburg University, Center for Economic Research.
    16. Derann Hsu & Cheng-Huei Chiao, 2011. "Relative accuracy of analysts’ earnings forecasts over time: a Markov chain analysis," Review of Quantitative Finance and Accounting, Springer, vol. 37(4), pages 477-507, November.
    17. Marinovic, Iván & Ottaviani, Marco & Sorensen, Peter, 2013. "Forecasters’ Objectives and Strategies," Handbook of Economic Forecasting, Elsevier.

Articles

  1. Ping Hu & Jayant R. Kale & Marco Pagani & Ajay Subramanian, 2011. "Fund Flows, Performance, Managerial Career Concerns, and Risk Taking," Management Science, INFORMS, vol. 57(4), pages 628-646, April.

    Cited by:

    1. Citci, Haluk & Inci, Eren, 2012. "The Masquerade Ball of the CEOs and the Mask of Excessive Risk," MPRA Paper 35979, University Library of Munich, Germany.
    2. Buzzacchi, Luigi & Scellato, Giuseppe & Ughetto, Elisa, 2015. "Investment stage drifts and venture capital managerial incentives," Journal of Corporate Finance, Elsevier, vol. 33(C), pages 118-128.
    3. Jennifer Huang & Clemens Sialm & Hanjiang Zhang, 2009. "Risk Shifting and Mutual Fund Performance," NBER Working Papers 14903, National Bureau of Economic Research, Inc.
    4. Kempf, Alexander & Ruenzi, Stefan & Thiele, Tanja, 2008. "Employment risk, compensation incentives and managerial risk taking: Evidence from the mutual fund industry," CFR Working Papers 07-02, University of Cologne, Centre for Financial Research (CFR).
    5. Amparo Soler Domínguez & Juan Carlos Matallín Sáez & Emili Tortosa-Ausina, 2013. "Does active management add value? New evidence from a quantile regression approach," Working Papers. Serie EC 2013-02, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    6. Cuthbertson, Keith & Nitzsche, Dirk & O'Sullivan, Niall, 2016. "A review of behavioural and management effects in mutual fund performance," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 162-176.
    7. Hobbs, Jeffrey & Singh, Vivek, 2015. "A comparison of buy-side and sell-side analysts," Review of Financial Economics, Elsevier, vol. 24(C), pages 42-51.
    8. Agarwal, Vikas & Ma, Linlin & Mullally, Kevin, 2015. "Managerial multitasking in the mutual fund industry," CFR Working Papers 13-10 [rev.], University of Cologne, Centre for Financial Research (CFR).
    9. Buchner, Axel & Wagner, Niklas F., 2017. "Rewarding risk-taking or skill? The case of private equity fund managers," Journal of Banking & Finance, Elsevier, vol. 80(C), pages 14-32.
    10. Jun, Xiao & Li, Mingsheng & Yugang, Chen, 2017. "Catering to behavioral demand for dividends and its potential agency issue," Pacific-Basin Finance Journal, Elsevier, vol. 46(PB), pages 269-291.
    11. Agarwal, Vikas & Gay, Gerald D. & Ling, Leng, 2014. "Window dressing in mutual funds," CFR Working Papers 11-07 [rev.3], University of Cologne, Centre for Financial Research (CFR).
    12. J. Carlos Matallín-Sáez & Amparo Soler-Domínguez & Emili Tortosa-Ausina, 2013. "Does active management add value? New evidence from a quantile regression," Working Papers 2013/01, Economics Department, Universitat Jaume I, Castellón (Spain).
    13. Agarwal, Vikas & Ma, Linlin, 2013. "Managerial multitasking in the mutual fund industry," CFR Working Papers 13-10, University of Cologne, Centre for Financial Research (CFR).

  2. Fu, Richard & Subramanian, Ajay, 2011. "Leverage and debt maturity choices by undiversified owner-managers," Journal of Corporate Finance, Elsevier, vol. 17(4), pages 888-913, September.

    Cited by:

    1. Anjos, Fernando & Kang, Chang-Mo, 2017. "Managerial myopia, financial expertise, and executive-firm matching," Journal of Corporate Finance, Elsevier, vol. 43(C), pages 464-479.
    2. Daskalakis, Nikolaos & Balios, Dimitrios & Dalla, Violetta, 2017. "The behaviour of SMEs' capital structure determinants in different macroeconomic states," Journal of Corporate Finance, Elsevier, vol. 46(C), pages 248-260.
    3. Cucculelli, Marco & Marchionne, Francesco, 2012. "Market opportunities and owner identity: Are family firms different?," Journal of Corporate Finance, Elsevier, vol. 18(3), pages 476-495.
    4. Keasey, Kevin & Martinez, Beatriz & Pindado, Julio, 2015. "Young family firms: Financing decisions and the willingness to dilute control," Journal of Corporate Finance, Elsevier, vol. 34(C), pages 47-63.

  3. Yahel Giat & Steve T. Hackman & Ajay Subramanian, 2010. "Investment under Uncertainty, Heterogeneous Beliefs, and Agency Conflicts," Review of Financial Studies, Society for Financial Studies, vol. 23(4), pages 1360-1404, April.

    Cited by:

    1. Giat, Yahel & Subramanian, Ajay, 2013. "Dynamic contracting under imperfect public information and asymmetric beliefs," Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2833-2861.
    2. Michele Dell'Era & Luis Santos-Pinto, 2011. "Entrepreneurial Overconfidence, Self-Financing and Capital Market Efficiency," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 11.06, Université de Lausanne, Faculté des HEC, DEEP, revised Nov 2012.
    3. Campbell, T. Colin, 2014. "CEO optimism and the board's choice of successor," Journal of Corporate Finance, Elsevier, vol. 29(C), pages 495-510.
    4. Jovanovic, Boyan & Prat, Julien, 2010. "Dynamic Incentive Contracts under Parameter Uncertainty," CEPR Discussion Papers 8136, C.E.P.R. Discussion Papers.
    5. Alonso, Ricardo & Câmara, Odilon, 2016. "Bayesian persuasion with heterogeneous priors," LSE Research Online Documents on Economics 67950, London School of Economics and Political Science, LSE Library.
    6. Thibaut Mastrolia & Dylan Possamai, 2015. "Moral hazard under ambiguity," Papers 1511.03616, arXiv.org, revised Oct 2016.
    7. Hae Won (Henny) Jung & Ajay Subramanian, 2014. "Capital Structure under Heterogeneous Beliefs," Review of Finance, European Finance Association, vol. 18(5), pages 1617-1681.
    8. Martin Szydlowski, 2012. "Ambiguity in Dynamic Contracts," Discussion Papers 1543, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    9. Chuluun, Tuugi & Graham, Carol, 2016. "Local happiness and firm behavior: Do firms in happy places invest more?," Journal of Economic Behavior & Organization, Elsevier, vol. 125(C), pages 41-56.
    10. Alonso, Ricardo & Câmara, Odilon, 2014. "Persuading skeptics and reaffirming believers," LSE Research Online Documents on Economics 58680, London School of Economics and Political Science, LSE Library.

  4. Clarke, Jonathan & Subramanian, Ajay, 2006. "Dynamic forecasting behavior by analysts: Theory and evidence," Journal of Financial Economics, Elsevier, vol. 80(1), pages 81-113, April. See citations under working paper version above.
  5. Ajay Subramanian, 2004. "Option Pricing on Stocks in Mergers and Acquisitions," Journal of Finance, American Finance Association, vol. 59(2), pages 795-829, April.

    Cited by:

    1. Borochin, Paul & Yang, Jie, 2017. "Options, equity risks, and the value of capital structure adjustments," Journal of Corporate Finance, Elsevier, vol. 42(C), pages 150-178.
    2. Gelman, Sergey & Wilfling, Bernd, 2009. "Markov-switching in target stocks during takeover bids," Journal of Empirical Finance, Elsevier, vol. 16(5), pages 745-758, December.
    3. Borochin, Paul & Golec, Joseph, 2016. "Using options to measure the full value-effect of an event: Application to Obamacare," Journal of Financial Economics, Elsevier, vol. 120(1), pages 169-193.
    4. Paul A. Borochin, 2014. "When Does a Merger Create Value? Using Option Prices to Elicit Market Beliefs," Financial Management, Financial Management Association International, vol. 43(2), pages 445-466, June.
    5. Paul Borochin & Jie Yang, 2016. "Options, Equity Risks, and the Value of Capital Structure Adjustments," Finance and Economics Discussion Series 2016-097, Board of Governors of the Federal Reserve System (U.S.).
    6. Sebehela, Tumellano, 2015. "Rationally financing an acquisition," Journal of Economics and Business, Elsevier, vol. 81(C), pages 1-20.
    7. Van Tassel, Peter, 2016. "Merger options and risk arbitrage," Staff Reports 761, Federal Reserve Bank of New York.
    8. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.

  6. Ajay Subramanian & Robert A. Jarrow, 2001. "The Liquidity Discount," Mathematical Finance, Wiley Blackwell, vol. 11(4), pages 447-474.

    Cited by:

    1. Hua He & Harry Mamaysky, 2001. "Dynamic Trading Policies With Price Impact," Yale School of Management Working Papers ysm244, Yale School of Management, revised 01 Jan 2002.
    2. Feng, Shih-Ping & Hung, Mao-Wei & Wang, Yaw-Huei, 2014. "Option pricing with stochastic liquidity risk: Theory and evidence," Journal of Financial Markets, Elsevier, vol. 18(C), pages 77-95.
    3. Brunovský, Pavol & Černý, Aleš & Komadel, Ján, 2018. "Optimal trade execution under endogenous pressure to liquidate: Theory and numerical solutions," European Journal of Operational Research, Elsevier, vol. 264(3), pages 1159-1171.
    4. Koichi Matsumoto, 2007. "Portfolio Insurance with Liquidity Risk," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 14(4), pages 363-386, December.
    5. Anna Obizhaeva & Jiang Wang, 2005. "Optimal Trading Strategy and Supply/Demand Dynamics," NBER Working Papers 11444, National Bureau of Economic Research, Inc.
    6. Bruder, Benjamin & Pham, Huyên, 2009. "Impulse control problem on finite horizon with execution delay," Stochastic Processes and their Applications, Elsevier, vol. 119(5), pages 1436-1469, May.
    7. Erhan Bayraktar & Masahiko Egami, 2007. "The Effects of Implementation Delay on Decision-Making Under Uncertainty," Papers math/0703833, arXiv.org.
    8. Samuel N. Cohen & Lukasz Szpruch, 2011. "A limit order book model for latency arbitrage," Papers 1110.4811, arXiv.org.
    9. Gill, Ryan & Lee, Kiseop & Song, Seongjoo, 2007. "Computation of estimates in segmented regression and a liquidity effect model," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 6459-6475, August.
    10. Erhan Bayraktar & Masahiko Egami, 2007. "A Unified Treatment of Dividend Payment Problems under Fixed Cost and Implementation Delays," Papers math/0703825, arXiv.org, revised Jan 2009.
    11. Matthew Pritsker, 2005. "Large investors: implications for equilibrium asset, returns, shock absorption, and liquidity," Finance and Economics Discussion Series 2005-36, Board of Governors of the Federal Reserve System (U.S.).
    12. Egami, Masahiko & Young, Virginia R., 2009. "Optimal reinsurance strategy under fixed cost and delay," Stochastic Processes and their Applications, Elsevier, vol. 119(3), pages 1015-1034, March.
    13. Takashi Kato, 2011. "An Optimal Execution Problem with a Geometric Ornstein-Uhlenbeck Price Process," Papers 1107.1787, arXiv.org, revised Jul 2014.
    14. Ku, Hyejin & Lee, Kiseop & Zhu, Huaiping, 2012. "Discrete time hedging with liquidity risk," Finance Research Letters, Elsevier, vol. 9(3), pages 135-143.
    15. Vathana Ly Vath & Mohamed Mnif & Huyên Pham, 2007. "A model of optimal portfolio selection under liquidity risk and price impact," Finance and Stochastics, Springer, vol. 11(1), pages 51-90, January.
    16. Christian A. Johnson, 2002. "Value at Risk: Teoría y Aplicaciones," Working Papers Central Bank of Chile 136, Central Bank of Chile.
    17. Torsten Schöneborn, 2016. "Adaptive basket liquidation," Finance and Stochastics, Springer, vol. 20(2), pages 455-493, April.
    18. Mauricio Junca, 2011. "Stochastic impulse control on optimal execution with price impact and transaction cost," Papers 1103.3482, arXiv.org, revised Jan 2013.
    19. Pierre Giot & Joachim Grammig, 2006. "How large is liquidity risk in an automated auction market?," Empirical Economics, Springer, vol. 30(4), pages 867-887, January.
    20. Kensuke Ishitani & Takashi Kato, 2013. "Mathematical Formulation of an Optimal Execution Problem with Uncertain Market Impact," Papers 1301.6485, arXiv.org, revised Jun 2015.
    21. Christian A. Johnson, 2000. "Value at Risk Ajustado por Liquidez: Una Aplicación a los Bonos Soberanos Chilenos," Working Papers Central Bank of Chile 76, Central Bank of Chile.
    22. Etienne Chevalier & M’hamed Gaïgi & Vathana Ly Vath & Mohamed Mnif, 2017. "Optimal Market Dealing Under Constraints," Journal of Optimization Theory and Applications, Springer, vol. 173(1), pages 313-335, April.
    23. Fragnière, Emmanuel & Gondzio, Jacek & Tuchschmid, Nils & Zhang, Qun, 2010. "Non-parametric liquidity-adjusted VaR model: a stochastic programming approach," Journal of Financial Transformation, Capco Institute, vol. 28, pages 109-116.
    24. Baojun Bian & Min Dai & Lishang Jiang & Qing Zhang & Yifei Zhong, 2011. "Optimal Decision for Selling an Illiquid Stock," Journal of Optimization Theory and Applications, Springer, vol. 151(2), pages 402-417, November.
    25. Takashi Kato, 2014. "An optimal execution problem with market impact," Finance and Stochastics, Springer, vol. 18(3), pages 695-732, July.
    26. Somayeh Moazeni & Thomas Coleman & Yuying Li, 2013. "Regularized robust optimization: the optimal portfolio execution case," Computational Optimization and Applications, Springer, vol. 55(2), pages 341-377, June.
    27. James R. Thompson, 2007. "Counterparty Risk in Insurance Contracts: Should the Insured Worry about the Insurer?," Working Papers 1136, Queen's University, Department of Economics.
    28. Alexander Schied & Torsten Schöneborn, 2009. "Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets," Finance and Stochastics, Springer, vol. 13(2), pages 181-204, April.
    29. Ting, Christopher & Warachka, Mitch & Zhao, Yonggan, 2007. "Optimal liquidation strategies and their implications," Journal of Economic Dynamics and Control, Elsevier, vol. 31(4), pages 1431-1450, April.

More information

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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 2 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-FIN: Finance (1) 2004-12-02
  2. NEP-LAB: Labour Economics (1) 2003-11-16
  3. NEP-RMG: Risk Management (1) 2003-11-16

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