Huining Henry CAO
Professor of Finance
1. “Differences of Opinion of Public Information and Speculative Trading in Stocks and Options,” with Hui Ou-Yang, 2008, Review of Financial Studies, presented at 2004 CIFC, 2005 AFA, 2005 WFA, and won the third place best paper award at 2004 CIFC and best paper award most relevant to practitioners at 2005 WFA.
2. “Inventory Information,” H. H. Cao, Martin Evans and Rich Lyons, Journal of Business, 2006, 79：325-364.
3. “Model Uncertainty, Limited Market Participation and Asset Prices,” H. H. Cao, Tan Wang and Harold H. Zhang, Review of Financial Studies, 2005，1219 - 1251.
4. “The Dynamics of International Equity Market Expectations,” Michael J. Brennan, H. H. Cao, Norman Strong and Xinzhong Xu, Journal of Financial Economics, 2005，257-288.
5. “Product Strategy for Innovators in Markets with Network Effects,” Sun, B., Xie, J. and H. H. Cao, Marketing Science, 2004, 243-254.
6. “Sidelined Investors, Trading-Generated News, and Security Returns,” H. H. Cao, J. Coval and D. Hirshleifer, Review of Financial Studies, 2002, 15, 615-648.
7. “Imperfect Competition Among Informed Traders,” K. Back, H. H. Cao and G. Willard, Journal of Finance, 2000, 5, 2117-2155. Nominated for Smith-Breeden Prize.
8. “The Effect of Derivative Assets on Endogenous Information Acquisition and Price Behavior in a Rational Expectations Equilibrium,” H. H. Cao, Review of Financial Studies, 1999, 12, 131-163.
9. “International Portfolio Investment Flows,” Michael J. Brennan and H. H. Cao, Journal of Finance, 1997, 52, 1851-1880, Nominated for Smith-Breeden Prize. Best paper award in emerging market research at NFA. Reprinted in International Library of Critical Writings in Financial Economics, Edited by Richard Roll.
10. “Information, Trade, and Derivative Securities,” Michael J. Brennan and H. H. Cao, Review of Financial Studies, 1996, 9, 163-208.
Professor of Finance
1. “Swap Rates and Credit Quality,” with Darrell Duffie, Journal of Finance 51, pp 921-949, July 1996.
2. “Toeholds and Takeovers,” with Jeremy Bulow and Paul Klemperer, Journal of Political Economy 107, pp 427-454, June 1999.
3. “Prospect Theory and Asset Prices,” with Nicholas Barberis and Tano Santos, Quarterly Journal of Economics 116, pp 1-53, February 2001. (Lead article of the issue; Awarded the
2000 FAME Research Prize; Collected into Advances in Behavioral Finance, Vol. 2,edited by Richard Thaler.)
4. “Mental Accounting, Loss Aversion, and Individual Stock Returns,” with Nicholas Barberis, Journal of Finance 56, pp 1247-1292, August 2001.
5. “Liquidity Shocks and Equilibrium Liquidity Premia,” Journal of Economic Theory 109, pp 104-129, March 2003.
6. “Does Fund Size Erode Performance? Liquidity, Organizational Diseconomies and Active Money Management,” with Joseph Chen, Harrison Hong, and Jeffrey D. Kubik, American Economic Review 94, pp 1276-1302, December 2004.
7. “Individual Preferences, Monetary Gambles, and Stock Market Participation: A Case for Narrow Framing,” with Nicholas Barberis and Richard Thaler, American Economic
Review 96, pp 1069-90, September 2006.
8. “Stocks as Lotteries: The Implications of Probability Weighting for Security Prices,” with Nicholas Barberis, forthcoming in American Economic Review, 2008.
LIU Jun
Professor of Finance
1. “The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads” (with Francis Longstaff and Ravit E. Mandell), forthcoming, Journal of Business.
2. “A Generalized Earning Model of Stock Valuation” (with Andrew Ang), Review of Accounting Studies , v6, n4, 397-425, December, 2001.1
3. “Dynamic Asset Allocation with Event Risk” (with Francis Longstaff and Jun Pan), Journal of Finance, v58, n1, 231-259, February, 2003.
4. “Paper Millionaires: How Valuable is Stock to a Stockholder Who is Restricted from Selling it?”(with Matthias Kahl and Francis Longstaff), Journal of Financial Economics, v67, n3, 385-410,March 2003.
5. “Dynamic Derivative Strategies” (with Jun Pan), Journal of Financial Economics, v69, n3, 401-430, September, 2003.
6. “Conditional Information and Variance Bounds on Pricing Kernels” (with Geert Bekaert), Review of Financial Studies, v17, n2, 339-378, Summer 2004.
7. “Losing Money on Arbitrages: Optimal Dynamic Portfolio Choice in Markets with ArbitrageOpportunities” (with Francis Longstaff), Review of Financial Studies, v17, n3, 611-641, Fall, 2004.
8. “How to Discount Cashflows with Time-Varying Expected Returns” (with Andrew Ang), Journal of Finance, v59, n6, 2745-2783, December, 2004.
9. “An Equilibrium Model of Rare Event Premia” (with Jun Pan and TanWang), Review of Financial Studies, v18, n1, 131-164, Spring 2005.
10. “Why Stocks May Disappoint” (with Andrew Ang and Geert Bekaert), Journal of Financial Economics,v76, n3, 471-508, 2005.
11. “Portfolio Selection in Stochastic Environments”, Review of Financial Studies, v20, n1, 1-39,January, 2007.
12. “Risk, Return and Dividends” (with Andrew Ang), v85, n2, 1-38, August, 2007, Journal of Financial Economics.
13. “Information, Diversification, and Asset Pricing” (with Jing Liu and Jack Hughes), v82, n3, 705-730, Accounting Review.
14. “Debt Policy, Corporate Taxes, and Discount Rates” (with Mark Grinblatt), Forthcoming, Journal of Economic Theory.
15. “On the relation between expected returns and implied cost of capital,” with John Hughes and Jun Liu, conditional acceptance at the Review of Accounting Studies.
MEI Jianping
Professor of Finance
1. "A Semi-autoregression Approach to the Arbitrage Pricing Theory", Journal of Finance,1993, 48, 599-620.
2. "Where Do Betas Come From? Asset Pricing Dynamics and the Sources of Systematic Risk", (with J. Campbell), Review of Financial Studies, 1993, 6, 567-592.
3. "Explaining the Cross-section of Returns under a Multi-Factor Model", Journal of Financial and Quantitative Analysis, 1993, 28, 331-345.
4. "Measuring International Economic Linkage with Stock Market Data", (with J. Ammer),Journal of Finance, 1996, 51, 1743-1764.
5. "Have
6. Art as Investment and the Underperformance of Masterpieces: Evidence from 1875-2000, (With M. Moses), American Economic Review, 2002, December, 1656-1668.
7. Vested Interests and Biased Price Estimates: Evidence from An Auction Market (with M.Moses), Journal of Finance, 2005, 60, 2409-2436.
8. Market manipulation: A comprehensive study of stock pools, (with G. Jiang and P.Mahoney) Journal of Financial Economics, 2005, 77, 147-170
9. Turning Over Turnover, (with M. Cremers), Review of Financial Studies, forthcoming, 2008
Professor of Finance
1. “The Illusionary Nature of Momentum Profits” (with Lesmond and Schill) Journal of Financial Economics, Volume: 71，Issue: 2 ，February, 2004.
2. “Credit Derivatives in Banking: Useful Tools for Managing Risk?” (with Gregory Duffee,
3. “An Analysis of Default Correlation and Multiple Defaults” Review of Financial Studies, May 2001.
4. “Time to Build and Investment” Review of Economics and Statistics, 82 (2000), 273-282.
5. “Informational Asymmetry and Market Imperfections: Another Solution to the Equity Premium Puzzle” Journal of FinanciZal and Quantitative Analysis, 34 (1999), pp 445-464.
OU-YANG Hui
Adjunct Professor of Finance
1. “Capital Structure, Debt Maturity, and Stochastic Interest Rates” (with
2. “Optimal Contracts in a Continuous-Time Delegated Portfolio Management Problem,” Review of Financial Studies, 16, 173-208, (2003); Awarded the Barclays Global Investors/ MichaelBrennan Runner-Up (Second Place) Award for the best paper published in Volume 16
3. “An Equilibrium Model of Asset Pricing and Moral Hazard,” Review of Financial Studies, 18,1219-1251, (2005)
4. “Incentives and Performance in the Presence of Wealth Effects and Endogenous Risk” (with M.Guo), Journal of Economic Theory, 129, 150-191, (2006)
5. “Prospect Theory and Liquidation Decisions” (with A. S. Kyle and
6. “Estimation of Continuous-Time Models with an Application to Equity Volatility” (with G.Bakshi and
7. “Differences of Opinion of Public Information and Speculative Trading in Stocks and Options”(with H. Cao); Review of Financial Studies, forthcoming, Winner of the Society of Quantitative Analysts Award at the 2005 Western Finance Association Meetings,
WANG Jiang
Visiting Professor of Finance
1. “Liquidity and Market Crashes”, with J. Huang, Review of Financial Studies, forthcoming, 2008.
2. “Firms as Buyers of Last Resort: Financing Constraints, Stock Returns and Liquidity”, with H.Hong and J.L. Yu, Journal of Financial Economics, forthcoming, 2007.
3. “Trading Volume: Implications of An Intertemporal Asset Pricing Model” (with Andrew Lo), Journal of Finance, forthcoming, 2005.
4. “Evaluating Portfolio Policies: A Duality Approach” (with Martin Haugh and Leonid Kogan), Operations Research, forthcoming, 2005.
5. “The Price Impact and Survival of Irrational Traders”, (with L. Kogan, S. Ross and M. Wester¯eld), Journal of Finance, forthcoming 2005. (Received the FAME Research Prize for 2004.
6. “Asset Prices and Trading Volume Under Fixed Transactions Costs" (with A. Lo and H. Mamaysky), Journal of Political Economy 112 (No. 5), 1054-1090, 2004.
7. “Dynamic Volume-Return Relations of Individual Stocks" (with G. Llorente, R. Michaely, G. Saar), Review of Financial Studies
15, 1005-1047, 2002.
8. “Trading Volume and Asset Prices", Annals of Economics and Finance 3, 299-350, 2002.\Foundations of Technical Analysis: Computational Algorithms, Statistical Inference,and Empirical Implementation" (with A. Lo and H. Mamaysky), Journal of Finance, 55, 1705-1770, 2000.
9. “Trading and Returns Under Periodic Market Closures" (with H. Hong), Journal of
Finance 55, 297-354, 2000.
10. “Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory" (with A. Lo), Review of Financial Studies 13, 257-300, 2000.
11. “The Term Structure of Interest Rates In A Pure Exchange Economy With Heterogeneous Investors," Journal of Financial Economics 41, 75-110, 1996.
12. “Differential Information and Dynamic Behavior of Stock Trading Volume" (with H. He), Review of Financial Studies 8, 919-972, 1995.
13. “Implementing Option Pricing Formulas When Asset Returns Are Predictable" (with A. Lo), Journal of Finance 50, 87-130, 1995.
14. “A Model of Competitive Stock Trading Volume", Journal of Political Economy 102, 127-167, 1994.
15. “Trading Volume and Serial Correlation in Stock Returns" (with J. Campbell and
16. “A Model of Intertemporal Asset Prices Under Asymmetric Information", Review of
Economic Studies 60, 249-282, 1993.
CHEN Zhiwu
Visiting Professor of Finance
1. Informational Content of Option Volume Prior to Takeovers, (with Zhiwu Chen and John Griffin), Journal of Business,78, 2005, 1073-1109.
2. "Do Call Prices and the Underlying Stock Always Move in the Same Direction?" with Gurdip Bakshi and Charles Cao, Review of Financial Studies, Vol. 13, pp 549-584, 2000.
3. "Pricing and Hedging Long-Term Options," with Gurdip Bakshi and Charles Cao, Journal of Econometrics, Vol. 94, 277-318, 2000.
4. "Empirical Performance of Alternative Option Pricing Models," with Gurdip Bakshi and Charles Cao, Journal of Finance, Vol. LII, No. 5, 2003-2049, 1997.
5. "Equilibrium Valuation of Foreign Exchange Claims," with Gurdip Bakshi, Journal of Finance, Vol. LII, No.2, 799-826, 1997.
6. "An Alternative Valuation Model for Contingent Claims," with Gurdip Bakshi, Journal of Financial Economics, Vol. 44, 123-165, 1997.
7. "The Spirit of Capitalism and Stock Market Prices", with Gurdip Bakshi, American Economic Review, Vol. 86, No. 1, 133-157, 1996.
8. "Portfolio Performance Measurement: Theory and Applications," with Peter Knez, Review of Financial Studies, Vol. 9, No. 2, 511-555, 1996.
9. "Inflation, Asset Prices, and the Term Structure of Interest Rates in Monetary Economies," with Gurdip Bakshi, Review of Financial Studies, Vol. 9, No. 1, 237-271, 1996.
10. "Financial Innovation and Arbitrage Pricing in Frictional Economies," Journal of Economic Theory, Vol. 65, No. 1, 117-135, 1995.
11. "Measurement of Market Integration and Arbitrage," with Peter Knez, Review of Financial Studies, Vol. 8, No. 2, 287-325, 1995.
12. "Baby Boom, Population Aging and Capital Markets," with Gurdip S. Bakshi, Journal of Business, Vol. 67, No. 2, 165-202, 1994.
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