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Recent Publications

Author(s) Title/Publication
Viral V. Acharya
Bart Lambrecht
 “A Theory of Income Smoothing when Insiders Know More than Outsiders," forthcoming, Review of Financial Studies.
Viral V. Acharya
Bruce Tuckman
“Unintended Consequences of Lender of Last Resort Facilities: The Case of Illiquid Leverage," forthcoming, IMF Economic Review.
Viral V. Acharya
Stephen Schaefer
Yili Zhang
“Liquidity Risk and Correlation Risk: A Clinical Study of the General Motors and Ford Downgrade of 2005," forthcoming, Quarterly Journal of Finance.
Viral V. Acharya 
Itamar Drechsler
Philipp Schnabl
“A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk," forthcoming, Journal of Finance.
Viral V. Acharya 
Nada Mora
“A Crisis of Banks as Liquidity Providers," forthcoming, Journal of Finance.
Viral V. Acharya
Sascha Steffen
“The Greatest Carry Trade Ever? Understanding Eurozone Bank Risks," Journal of Financial Economics, 2015, 115, 215-236.
Viral V. Acharya
Robert Engle
Diane Pierret
“Testing Macro-prudential Stress Tests: The Risk of Regulatory Risk Weights," Journal of Monetary Economics, 2014, 65, 36-53.
Viral V. Acharya
Heitor Almeida
Filippo Ippolito
Ander Perez
“Credit Lines as Monitored Liquidity Insurance: Theory and Evidence,"
Journal of Financial Economics, 2014, 112, 287-319.
Viral V. Acharya
Ramin Baghai
Krishnamurthy Subramanian
“Wrongful Discharge Laws and Innovation," Review of Financial Studies, 2014, 27, 301-346.
Viral V. Acharya
Alberto Bisin
“Counterparty Risk Externality: Centralized versus Over-the-counter Markets," Journal of Economic Theory, 2014, 149, 153-182.
Edward Altman
B. Branch
“The Bankruptcy System’s Chapter 22 Recidivism Problem: How Serious is it?,” the Financial Review, Vol. 50, No. 1, 2015.
Edward Altman
J. Forssbeck (ed.) 
L. Oxelheim (ed.)
“Transparent and Unique Sovereign Default Risk Assessment,” Chapter 5 in The Oxford Handbook of Economic and Institutional Transparency, Oxford University Press, 2015.
Edward Altman
B. Kuehne
“Special Commentary: a note on credit market bubbles,” International Journal of Banking & Finance, Vol. 5, No. 4, 2014. 
Edward Altman “Revisiting the Recidivism-Chapter 22 Phenomenon in the U.S. Bankruptcy System,” Brooklyn Journal of Corporate, Financial & Commercial Law, Vol. 8, No. 2, Spring 2014.
Edward Altman
E. Kalotay
“Ultimate Recovery Mixtures,” Journal of Banking & Finance, Vol. 40, No. 1, March 2014.
Edward Altman
J. Gonzalez-Heres
P. Chen
S. Shin
“The Return/Volatility Tradeoff of Distressed Corporate Debt Portfolios,” The Journal of Portfolio Management, Winter 2014.
Edward Altman “The Role of Distressed Debt Markets and Trends in Bankrutpcy,” American Bankruptcy Institute Law Review. Vol. 22, No. 1, Winter 2014.
Edward Altman
B. Kuehne
“Defaults and Returns in the High-Yield Bond Market,” Journal of Financial Management and Markets, Vol. 1, No. 2, 2014.
Itamar Drechsler “Risk Choice Under High-Water Marks”, Review of Financial Studies, 27(7), July 2014, 2052- 2096.
Robert Engle
Eric Jondeau
Michael Rockinger
“Systemic Risk in Europe,” forthcoming in Review of Finance, 2014.
Robert Engle
Abhishek Mistry
“Priced Risk and Asymmetric Volatility in the Cross-Section of Skewness,” Journal of Econometrics (September 2014), Volume 182, pages 135-144.
Xavier Gabaix
Matteo Maggiori
“International Liquidity and Exchange Rate Dynamics,” Quarterly Journal of Economics, forthcoming.
Xavier Gabaix “A Sparsity-Based Model of Bounded Rationality,” Quarterly Journal of Economics, vol. 129(4), 2014, p. 1661–1710.
Xavier Gabaix
Augustin Landier
Julien Sauvagnat
“CEO Pay and Firm Size: an Update after the Crisis”, Economic Journal, 2014, vol. 124, p. F40-F59.
Samuel Lee
Mike Burkart
"Signaling to Dispersed Shareholders and Corporate Control," Review of Economic Studies, forthcoming.
Richard Levich
Frank Packer
"Development and Functioning of FX Markets in Asia and the Pacific." in Cross-Border Financial Linkages in Asia and the Pacific, Bank for International Settlements, conference series, 2015 (forthcoming)
Richard Levich
Valerio Poti
“Predictability and 'Good Deals' in Currency Markets,” International Journal of Forecasting, 2015. (forthcoming)
Richard Levich
Momtchil Pojarliev
“Evaluating Absolute Return Managers,” Financial Markets and Portfolio Management, February 2014, Vol. 28, no. 1, pp. 95-103.
Richard Levich (ed.)
Momtchil Pojarliev (ed.) 
"The Role of Currency for Institutional Portfolios," Risk Books, London, UK. 2014.
Richard Levich
Momtchil Pojarliev
“Should investors avoid or seek out currency risk? How to resolve a long-standing puzzle,” Journal of Financial Perspectives, 2014 Vol. 2, Issue 3, pp. 59-64.
Richard Levich
Momtchil Pojarliev
“A Case for Currency in Institutional Portfolios,” in M. Pojarliev and R. Levich (eds.), The Role of Currency for Institutional Portfolios, Risk Books, 2014.
Richard Levich
Valerio Poti
Pierpaolo Pattitoni
Paolo Cucurachi
"Predictability, Trading Rule Profitability and Learning in Currency Markets," International Review of Financial Analysis, May 2014, Vol. 33, pp. 117-29. 
Richard Levich “Counterparty Risk and the Choice of Trading Venues: Currency Futures vs. Forward Markets,” Open Markets, The CME Group, 2014. (forthcoming)
Alexander Ljungqvist
Florian Heider
"As Certain as Debt and Taxes: Estimating the Tax Sensitivity of Leverage from State Tax Changes," Journal of Financial Economics, 2015. (forthcoming)
Alexander Ljungqvist
John Asker
Joan Farre-Mensa 
"Corporate Investment and Stock Market Listing: A Puzzle?", Review of Financial Studies, 2015
Alexander Ljungqvist
Mary Brooks Billings
Karthik Balakrishnan 
Bryan T. Kelly
"Shaping Liquidity: On the Causal Effects of Voluntary Disclosure," Journal of Finance, 2014
Alexander Ljungqvist
Yael V. Hochberg 
Annette Vissing-Jorgensen 
"Informational Holdup and Performance Persistence in Venture Capital," Review of Financial Studies, 2014.
Thomas Michael Mertens
Tarek A. Hassan
"Information Aggregation in a DSGE Model", NBER Annual in Macroeconomics, 2014.
Holger M. Mueller
Xavier Giroud
"Capital and Labor Reallocation within Firms", Journal of Finance (Forthcoming). 
Holger M. Mueller
Mike Burkart
Denis Gromb
Fausto Panunzi
"Legal Investor Protection and Takeovers", Journal of Finance 69, 1129-1165, 2014 .
Thomas Philippon “Has the U.S. Finance Industry Become Less Efficient?”, American Economic Review, 2014 (Forthcoming).
Anthony Saunders
Berg
Steffen
“The Total Cost of Corporate Borrowing: Don’t Forget the Fees”, Journal of Finance (Forthcoming).
Anthony Saunders
Li
Shao
“Do Transactional Loans Behave Differently from Relationship Loans”, Journal of Money Credit and Banking (Forthcoming).
Anthony Saunders
Massoud
Hassan
Song
“Should Short Selling of Stock be Restricted?”, Journal of Banking and Finance (Forthcoming).
Anthony Saunders
Li
Shao
“Regulation Fair Disclosure and Credit Markets, Journal of Banking and Finance (Forthcoming).
Anthony Saunders “Is Basel Turning Banks Into Public Utilities?", Journal of Financial Perspectives (Forthcoming).
Anthony Saunders “The Regulatory Experience in the US and the Lessons for a European Banking Union", Journal of Financial Perspectives (Forthcoming).
Philipp Schnabl
Daniel Paravisini
Veronica Rappoport
Daniel Wolfenzon
“Dissecting the Effect of Credit Supply on Trade: Evidence from Matched Credit-Export Data”, Review of Economic Studies (Forthcoming).
Johannes Stroebel
Pablo Kurlat
"Testing for Information Asymmetries in Real Estate Markets", Review of Financial Studies (Forthcoming).
Johannes Stroebel "Asymmetric Information about Collateral Values", Journal of Finance (Forthcoming).
Johannes Stroebel
Stefano Giglio
Matteo Maggiori
"Very Long-Run Discount Rates", Quarterly Journal of Economics, 130 (1), February 2015.
Johannes Stroebel
Sumit Agarwal
Souphala Chomsisengphet
Neale Mahoney
"Regulating Consumer Financial Products: Evidence from Credit Cards", Quarterly Journal of Economics, 130 (1), February 2015.
Johannes Stroebel
Sumit Agarwal
Souphala Chomsisengphet
Neale Mahoney
"A Simple Framework for Estimating Consumer Benefits from Regulating Hidden Fees", Journal of Legal Studies, 43(S2), June 2014.
 
Marti G. Subrahmanyam
P. Augustin
D.Y. Tang
S.Q. Wang
"Credit Default Swaps: A Survey," Foundations and Trends in Finance, December 2014. 
Marti G. Subrahmanyam
D.Y. Tang
S.Q. Wang
"Does the Tail Wag the Dog? The Effect of Credit Default Swaps on Credit Risk," Review of Financial Studies, October 2014. 
Marti G. Subrahmanyam
R. Jankowitsch
F. Nagler
"The Determinants of Recovery Rates in the US Corporate Bond Market," Journal of Financial Economics, October 2014. 
Rangarajan K. Sundaram "CDS Auctions and Recovery Rates: An Appraisal", Journal of Derivatives (Forthcoming).
Robert Whitelaw
Jacob Boudoukh
Matthew Richardson
"New Evidence on the Forward Premium Puzzle", 2014, Journal of Financial and Quantitative Analysis (Forthcoming).
Robert Whitelaw
Turan Bali
Nusret Cakici
"Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?", 2014, Review of Asset Pricing Studies (Forthcoming).
Robert Whitelaw
Salvatore Bruno
Ludwig Chincarini
"An Alternative Method to Construct Levered Indexes", 2014, Journal of Index Investing, Vol. 5, No. 2, pp. 34-47.
Jeffrey Wurgler
Malcom Baker
“Would Stricter Capital Requirements Raise the Cost of Capital? Bank Capital Regulation and the Low Risk Anomaly”, May 2015, American Economic Review Papers & Proceedings (Forthcoming).
David L. Yermack
David K.C. Lee ed.
“Is Bitcoin a Real Currency?”, The Handbook of Digital Currency (Elsevier, 2015).
David L. Yermack
Raymond da Silva Rosa
Michael Kingsbury
“Evidence on the Influence Acquired and Premiums Paid by Creeping Blockholders," Sydney Law Review (Forthcoming).
David L. Yermack “Tailspotting: Identifying and profiting from CEO vacation trips,” Journal of Financial Economics 113, 252-269 (August 2014).