- Mortgage and lease markets.
- Term structure modeling.
- Mutual funds and risk management.
- Employee stock options (ESOs).
Selected Recent Publications
"Financial Flexibility, Bank Capital Flows, and Asset Prices", forthcoming, Journal of Finance (with C. Parlour and J. Walden).
"Estimation of Dynamic Term
Structure Models", forthcoming, Quarterly Journal of Finance (with G. Duffee).
- "The Bear's Lair: Indexed Credit Default Swaps and the Subprime Mortgage Crisis",
forthcoming, Review of Financial Studies
(with N. Wallace).
- "Revisiting Asset
Pricing Puzzles in an Exchange Economy",
Review of Financial Studies 24, 629-674, 2011
(with C. Parlour and J. Walden).
- "Optimal Exercise of Executive Stock
Options and Implications for Firm Cost",
Journal of Financial Economics 98, 315-337, 2010 (with
J. Carpenter and N. Wallace).
"Human Capital, Bankruptcy
and Capital Structure", Journal of
Finance 65, 891-926, 2010 (with Jonathan Berk and Josef
Zechner) (nominated for the Brattle prize).
"A Liquidity-Based Model of Closed-End
Funds," Review of Financial Studies 22, 257-297, 2009 (with
Martin Cherkes and Jacob Sagi) (Best Paper, 2006 Utah Winter Finance Conference).
"An Empirical Test of a
Contingent Claims Lease Valuation Model" Journal
of Real Estate Research 31, 1-26, 2008 (with Nancy Wallace).
"Managerial Ability, Compensation, and the
Closed-End Fund Discount", Journal of Finance 62, 529-556
2007 (with Jonathan Berk) (nominated for Smith-Breeden award).
Nonparametric Model of Term Structure Dynamics and the Market Price of
Interest Rate Risk", Journal of Finance 52, 1973-2002,
1997 (nominated for Smith-Breeden award).
"Rational Prepayment and the
Valuation of Mortgage-Backed Securities", Review of Financial
Studies 8, 677-708, 1995.
list of published and working papers
Writing Finance Papers in LaTeX
- I have recently written a document providing recommendations for writing finance papers using LaTeX and related tools.
- The document includes LaTeX style files and BibTeX format files, along with sample paper outlines, to make your paper meet the formatting requirements of the Journal of Finance, Journal of Financial Economics, and Review of Financial Studies.
Last modified: Sat Jun 2 16:58:04 Pacific Standard Time 2012