Outlines of Published Papers
Asset Pricing
- Baele, Lieven, Geert Bekaert, Koen Inghelbrecht, and Min Wei, “Flights to Safety,” American Finance Association 75th Annual Meeting, Boston (2015).
- Bansal, Ravi, and Amir Yaron, “Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles,” The Journal of Finance Vol. 59 (2004), 1481-1509.
- Barro, Robart J, “Rare Disasters and Asset Prices in the Twentieth Century,” The Quarterly Journal of Economics Vol. 121 No. 3 (2006), 823-866.
- Henry, Peter Blair, 2000, “Do stock market liberalizations cause investment booms?” Journal of Financial Economics 58 (2000), 301-334.
- Hirshleifer, David, and Tyler Shumway, “Good Morning Sunshine: Stock Returns and the Weather,” The Journal of Finance, Vol 58, No 3 (2003), 1009-1032.
- Fama, Eugene F., and James D. MacBeth, “Risk, Return, and Equilibrium Empirical Tests,” The Journal of Political Economy, Vol 81, No 3 (1973), 607-636.
- Fama, Eugene F. and Kenneth R. French, 1992, “The Cross-Section of Expected Stock Returns,” The Journal of Finance 47 (2), 427-465.
- Jagannathan, Ravi, and Zhenyu Wang, “The Conditional CAPM and the Cross-section of Expected Returns,” The Journal of Finance, Vol 51, No 1 (1996), 3-53.
- Kim, Myung Jig, Charles R. Nelson, and Richard Startz, “Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence,” The Review of Economic Studies, Vol 58, No 3 (1991), 515-528.
- Kon, Stanley J., “Models of Stock Returns–A Comparison,” The Journal of Finance, Vol 39, No 1 (1984), 147-165.
- Kramer, Charles, “Macroeconomic Seasonality and the January Effect,” The Journal of Finance, Vol 49, No 5 (1994), 1883-1891.
- Lakonishok, Josef, and Seymour Smidt, “Are Seasonal Anomalies Real?” The Review of Financial Studies, Vol 1, No 4 (1988), 403-425.
- Lo, Andrew W., and A. Craig MacKinlay, “Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test,” The Review of Financial Studies, Vol 1 No 1 (1988), 41-66.
- Sullivan, Ryan, Allan Timmerman, and Halbert White, “Dangers of data mining: The case of calendar effects in stock returns,” Journal of Econometrics 105 (2001), 249-286.
- Ang, Andrew, Robert J. Hodrick, Yuhang Xing, and Xiaoyan Zhang, “The Cross-Section of Volatility and Expected Returns”, The Journal of Finance, Vol 61, No 1 (2006), 259-299.
Banking
Corporate Finance
- Almeida, Heitor, Murillo Campello, and Michael S. Weisbach, 2004, “The Cash Flow Sensitivity of Cash,” The Journal of Finance 59 (4), 1777-1804.
- Altman, Edward I., 1984, “A Further Empirical Investigation of the Bankruptcy Cost Question,” The Journal of Finance 39 (4), 1067-1089.
- Bates, Thomas W., Kathleen M. Kahle, and René M. Stulz, 2009, “Why Do U.S. Firms Hold So Much More Cash than They Used To?” Journal of Finance, Vol 64, No. 5 (2009), 1985-2021.
- Bertrand, Marianne, and Sendhil Mullainathan, 2003, “Enjoying the Quiet Life? Corporate Governance and Managerial Preferences,” The Journal of Political Economy 111 (5), 1043-1075.
- Brennan, Michael J., 1995, “Corporate Finance Over the Past 25 Years,” Financial Management, Vol. 24, No. 2, Summer 1995, 9-22.
- Brown, Stephen J., and Jerold B. Warner, 1985, “Using Daily Stock Returns: The Case of Event Studies,” Journal of Financial Economics 14 (1995), 3-31.
- DeMarzo, Peter M., Michael J. Fishman, Zhiguo He, and Neng Wang, 2012, “Dynamic Agency and the q Theory of Investment,” The Journal of Finance, Vol. 67, No. 6 (2012), 2295-2340.
- Erel, Isil, Yeejin Jang, and Michael S. Weisbach, “Do Acquisitions Relieve Target Firms’ Financial Constraints?” Journal of Finance, forthcoming as of Aug 2014
- Hart, Oliver, and John Moore, “Debt and Seniority: An Analysis of the Role of Hard Claims in Constraining Management,” The American Economic Review, Vol 85, No 3 (1995), 567-585.
- Holmström, B., “Managerial Incentive Problems: A Dynamic Perspective,” Review of Economic Studies 66 (1999), 169-182.
- Jensen, Michael C., 1986, “Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers,” The American Economic Review 76 (2), 323-329.
- Jensen, Michael C. and William H. Meckling, “Theory of the Firm: Managerial Behavior, Agency Costs and Ownership Structure,” Journal of Financial Economics, Vol 3, No 4 (1976), 305-360.
- Miller, Merton H., “Debt and Taxes,” The Journal of Finance, Vol 32, No 2 (1977), 261-275.
- Modigliani, Franco, and Merton Miller, 1958, “The Cost of Capital, Corporation Finance, and the Theory of Investment,” The American Economic Review, Vol. 48, No. 3, 261-297.
- Parrino, Robert, and Michael S. Weisbach, 1999, “Measuring investment distortions arising from stockholder-bondholder conflicts,” The Journal of Financial Economics 53, 3-42.
- Rauh, Joshua 2006, “Investment and Financing Constraints: Evidence from the Funding of Corporate Pension Plans,” The Journal of Finance 61 (1), 33-71.
- Stein, Jeremy, “Efficient Capital Markets, Inefficient Firms: A Model of Myopic Corporate Behavior,” The Quarterly Journal of Economics (1989), 655-669.
Econometrics
- Leamer, Edward E., “Let’s Take the Con Out of Econometrics,” The American Economic Review, Vol 73, No 1 (1983), 31-43.
- Mayer, Thomas, “Data mining: a reconsideration,” Journal of Economic Methodology 7:2 (2000), 183-194.
- McCloskey, Donald N., “The Loss Function Has Been Mislaid,” The American Economic Review Vol 75, No 2 (1985), 201-205.
Gregory D. Allen 