Published Papers

 

The following papers have been published or are forthcoming.  Clicking on any linked title will allow you to review an abstract of the selected paper; some papers can also be downloaded in PDF format.
 

 

1.  "Construction of Economic Index Numbers With An Incomplete Set of Data" (with K. R. Kadiyala), Review of Economics and Statistics, August 1983.

 

2.  "The Cash Management Implications of a Hedged Dividend Capture Strategy" (with S. L. Lummer), Financial Management, Winter 1984.

 

3.  "An Examination of Event Dependency and Structural Change in Security Pricing Models" (with L. J. Lockwood and S. L. Lummer), Journal of Financial and Quantitative Analysis, September 1985.

 

4.  "The Estimation of Missing Observations In Related Time Series Data: Further Results" (with K. R. Kadiyala), Communications in Statistics, December 1985.

 

5.  "A Reexamination of the Covered Call Option Strategy for Corporate Cash Management " (with S. L. Lummer), Financial Management, Summer 1986.


6.  "Risk Arbitrage and the Prediction of Successful Corporate Takeovers" (with M. V. Raymond), Financial Management, Autumn 1986.

 

7.  "Hedged Dividend Capture" (with S. L. Lummer), Midland Corporate Finance Journal, Fall 1986.

 

8.  "Does the Composition of the Market Portfolio Really Matter?" (with G. D. Brown), Journal of Portfolio Management, Winter 1987.

 

9.  "Dutch Auction Rate Preferred Stock" (with M. J. Alderson and S. L. Lummer), Financial Management, Summer 1987.

 

10. "On the Use of Gold as a Fixed Income Security" (with J. S. Howe), Financial Analysts Journal, July-August 1987.

 

11.  "The Benefits of Insured Stocks for Corporate Cash Management" (with M. Statman), Advances in Futures and Options Research Vol. 2, 1987.

 

12.  "Market Overreaction: Magnitude and Intensity" (with W. V. Harlow), Journal of Portfolio Management, Winter 1988.

 

13.  "Risk Aversion, Uncertain Information, and Market Efficiency" (with W. V. Harlow and S. M. Tinic), Journal of Financial Economics, December 1988.

 

14.  "Recent Innovations in Interest Rate Risk Management and the Reintermediation of Commercial Banking" (with D. J. Smith), Financial Management, Winter 1988.

 

15.  "The Swap-Driven Deal" (with D. J. Smith), Intermarket, March 1989.

 

16.  "How Rational Investors Deal With Uncertainty (Or, Reports of the Death of Efficient Markets Theory are Greatly Exaggerated)" (with W. V. Harlow and S. M. Tinic), Journal of Applied Corporate Finance, Fall 1989.  (Also reprinted in Financial Management Collection, Fall 1990, The Revolution in Corporate Finance 2e, Blackwell Publishers, 1992, and The New Corporate Finance: Where Theory Meets Practice, McGraw Hill, 1993.)

 

17.  "Understanding and Assessing Financial Risk Tolerance: A Biological Perspective" (with W. V. Harlow), Financial Analysts Journal, November-December 1990.  (Also reprinted in CFA Candidate Readings - Level II,  1992.)


18.  "Forward Swaps, Swap Options, and the Management of Callable Debt" (with D. J. Smith), Journal of Applied Corporate Finance, Winter 1990.  (Also reprinted in New Developments in Commercial Banking, Blackwell Publishers, 1991; The Financial Derivatives Reader, Kolb Publishing, 1992, The Revolution in Corporate Finance 2e, Blackwell Publishers, 1992, and The New Corporate Finance: Where Theory Meets Practice, McGraw Hill, 1993.)

 

19.  "The Risk and Required Return of Common Stock Following Major Price Innovations" (with W. V. Harlow and S. M. Tinic), Journal of Financial and Quantitative Analysis, March 1993.

 

20.  "Default Risk and Innovations in the Design of Interest Rate Swaps" (with D. J. Smith), Financial Management, Summer 1993.

 

21.  "Institutional Demand and Security Price Pressure: The Case of Corporate Spinoffs" (with W. V. Harlow), Financial Analysts Journal, September-October 1993.

 

22.  "An Empirical Analysis of Interest Rate Swap Spreads" (with W. V. Harlow and D. J. Smith), Journal of Fixed Income, March 1994.

 

23.  "On the Use of Implied Stock Volatilities in the Prediction of Successful Corporate Takeovers" (with G. Barone-Adesi and W. V. Harlow), Advances in Futures and Options Research, Vol. 7, 1994.

24.  “Perspectives on Integration in the Oil Industry: Innovations from the Financial Markets” (with R. Semmens), in Oil in the New World Order (N. Clement and K. Gillespie, eds.), Gainesville, FL; U. of Florida Press, 1995.

25.  "Of Tournaments and Temptations: An Analysis of Managerial Incentives in the Mutual Fund Industry" (with W. V. Harlow and L. T. Starks), Journal of Finance, March 1996.

 

26.  "Getting the Compensation Structure Right in the Mutual Fund Industry" (with L. T. Starks), Strategy & Business, Second Quarter 1997.

 

27.  "The ‘Good Banker/Bad Banker’ Exercise" (with D. J. Smith), Derivatives Strategy, October 2000.

 

28.  "Why Constrain Your Mutual Fund Manager?" (with A. Almazan, M. Carlson, and D. A. Chapman), Journal of Financial Economics, August 2004.

 

29.  “Corporate Governance, Incentives, and Industry Consolidations” (with A. Dittmar and H. Servaes), Review of Financial Studies, Spring 2005.

30.  “The Right Answer to the Wrong Question: Identifying Superior Active Portfolio Management” (with W. V. Harlow), Journal of Investment Management, Fourth Quarter 2006.

31.  “Do Endowment Funds Select the Optimal Mix of Active and Passive Risks?” (with C. Tiu), Journal of Investment Management, First Quarter 2010.

32.  “Asset Allocation and Portfolio Performance: Evidence From University Endowment Funds” (with L. Garlappi and C. Tiu), Journal of Financial Markets, May 2010.

33.  “How Good are the Investment Options Provided by Defined Contribution Plan Sponsors?” (with W. V. Harlow), International Journal of Portfolio Analysis & Management, Vol. 1.1, 2012.

34.  “The Interaction of Spending Policies, Asset Allocation Strategies, and Investment Performance at University Endowment Funds” (with C. Tiu), in How the Financial Crisis and Great Recession Affected Higher Education (J. Brown and C. Hoxby, eds.), Cambridge, MA; NBER, 2015.

35.  “In Search of Unicorns: Private IPOs and the Changing Markets for Private Equity Investments and Corporate Control” (with K. W. Wiles), Journal of Applied Corporate Finance, Summer 2015.

36.  “Perspectives on the Management of University and College Endowments: Asset Allocation, Spending, and Wealth” (with D. Chambers, M. Lemmon, R. Shiller, and R. Smith), Journal of Applied Finance, Vol. 25.1, 2015.

37.  “Improving the Outlook for a Successful Retirement: A Case for Using Downside Hedging” (with W. V. Harlow), Journal of Retirement, Winter 2016.

38.  “Opaque Financial Contracting and Toxic Term Sheets in Venture Capital” (with K. W. Wiles), Journal of Applied Corporate Finance, Winter 2016.

39.  “Market Risk, Mortality Risk, and Sustainable Retirement Asset Allocation: A Downside Risk Perspective” (with W. V. Harlow), Journal of Investment Management, Second Quarter 2016.

40.  “Health State and the Savings Required for a Sustainable Retirement” (with W. V. Harlow), Journal of Retirement, forthcoming.

 

 

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