Recent Publications
Banking
“A Model of Liquidity Hoarding and Term Premia in Inter-Bank Markets,” Viral V. Acharya and David Skeie (2011), Journal of Monetary Economics Volume 58, Issue 5
“Labor Income Dynamics at Business-cycle Frequencies: Implications for Portfolio Choice,” Anthony W. Lynch and Sinan Tan (2011), Journal of Financial Economics Volume 101, Issue 2
“Crisis Resolution and Bank Liquidity,"Viral V. Acharya, Hyun-Song Shin and Tanju Yorulmazer (2011), Review of Financial Studies Volume 24, Issue 6
"Explaining the Magnitude of Liquidity Premia: The Roles of Return Predictability, Wealth Shocks and State-dependent Transaction Costs,” Anthony W. Lynch and Sinan Tan (2011), Journal of Finance Volume 66, Issue 4
“Finance and Efficiency: Do Bank Branching Regulations Matter?," Viral V. Acharya, Jean Imbs and Jason Sturges (2011), Review of Finance Volume 15, Issue 1
“Rollover Risk and Market Freezes,"Viral V. Acharya, Douglas Gale and Tanju Yorulmazer (2011), Journal of Finance Volume 66, Issue 4
“The International Transmission of Bank Liquidity Shocks: Evidence from an Emerging Market,” Philipp Schnabl (2012), Journal of Finance Volume 67, Issue 3
“Why Surplus Consumption in the Habit Model May be Less Persistent than You Think,” Anthony W. Lynch and Oliver Randall (2011)
“Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees,” Bryan Kelly, Hanno Lustig, and Stijn Van Nieuwerburgh (2011)
“The Seeds of a Crisis: A Theory of Bank Liquidity and Risk Taking over the Business Cycle,” Viral V. Acharya and Hassan Naqvi (2011)
“Imperfect Competition in the Inter-Bank Market for Liquidity as a Rationale for Central Banking,"Viral V. Acharya, Denis Gromb and Tanju Yorulmazer, American Economic Journal: Microeconomics
Volume 4, No. 2
“Dissecting the Effect of Credit Supply on Trade: Evidence from Matched Credit-Export Data,” Daniel Paravisini, Veronica Rappoport, Philipp Schnabl, and Daniel Wolfenzon (2011)
“Multiple Risky Assets, Transaction Costs and Return Predictability: Allocation Rules & Implications for U.S. Investors,” Anthony W. Lynch and Sinan Tan, Journal of Financial and Quantitative Analysis 45:1015-1053
“Caught Between Scylla and Charybdis? Regulating Bank Leverage When There is Rent-Seeking and Risk-Shifting,” Viral V. Acharya, Hamid Mehran and Anjan Thakor, Review of Corporate Finance Studies 5 (1)
(2016)
“Measuring Systemic Risk,” Viral V. Acharya, Lasse Heje Pedersen, Thomas Philippon and Matthew Richardson (2010)
“Efficient Bank Recapitalization,” Thomas Philippon and Philipp Schnabl (2010)
“Do Global Banks Spread Global Imbalances? Asset-Backed Commercial Paper During the Financial Crisis of 2007-09,” Viral V. Acharya and Philipp Schnabl, IMF Economic Review 58: 37-73 (2010).
“Securitization without Risk Transfer,” Viral V. Acharya, Philipp Schnabl and Gustavo Suarez, Journal of Financial Economics, Volume 107, Issue 3
“Precautionary Hoarding of Liquidity and Inter-Bank Markets: Evidence from the Sub-prime Crisis," Viral V. Acharya and Ouarda Merrouche, Review of Finance
“Aggregate Risk and the Choice between Cash and Lines of Credit," Viral V. Acharya, Heitor Almeida and Murillo Campello, Journal of Finance, Volume 68, Issue 5
“A Theory of Systemic Risk and Design of Prudential Bank Regulation,” Viral V. Acharya, Journal of Financial Stability 5:3:224-255
“Dividends and Bank Capital in the Financial Crisis of 2007-09,” Viral V. Acharya, Irvind Gujral, Nirupama Kulkarni and Hyun-Song Shin (2009)
“Cash-in-the-Market Pricing and Optimal Resolution of Bank Failures,” Viral V. Acharya and Tanju Yorulmazer, Review of Financial Studies 21:2705-2742
“Information Contagion and Bank Herding," Viral V. Acharya and Tanju Yorulmazer, Journal of Money, Credit and Banking 40:1: 215-31
"The Effect of the Source of Capital on Corporate Liquidity," Yakov Amihud, Sreedhar Bharath and Anthony Saunders (2008)
Investment Banking
“A Tax on Systemic Risk,” Viral V. Acharya, Lasse H. Pedersen, Thomas Philippon and Matthew Richardson (2010), NBER Quantifying Systemic Risk, eds, Joseph Haubrich and Andrew Lo
“Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees,” Bryan Kelly, Hanno Lustig, and Stijn Van Nieuwerburgh (2011)
"Competition and the Structure of Vertical Relationships in Capital Markets," John Asker and Alexander Ljungqvist, Journal of Political Economy, Vol. 118, No. 3
“Measuring Systemic Risk,” Viral V. Acharya, Lasse Heje Pedersen, Thomas Philippon and Matthew Richardson (2010)
"Scaling the Hierarchy: How and Why Investment Banks Compete for Syndicate Co-Management Appointments," Alexander Ljungqvist, Felicia C. Marston, and William J. Wilhelm Jr., Review of Financial Studies 22:10: 3977-4007
"Rewriting History," Alexander Ljungqvist, Christopher J. Malloy, and Felicia C. Marston, Journal of Finance 64:4:1935-1960
"Conflicts of Interest in Sell-side Research and the Moderating Role of Institutional Investors," Alexander Ljungqvist, Felicia C. Marston, Hong Yan, Laura T. Starks, and Kelsey D. Wei, Journal of Financial Economics, Volume 85, Issue 2
Insurance
“A Tax on Systemic Risk,” Viral V. Acharya, Lasse H. Pedersen, Thomas Philippon and Matthew Richardson (2010), NBER Quantifying Systemic Risk, eds, Joseph Haubrich and Andrew Lo
“The Joy of Giving or Assisted Living? Using Strategic Surveys to Separate Bequest and Precautionary Motives,” John Ameriks, Andrew Caplin, Steven Laufer, and Stijn Van Nieuwerburgh, Journal of Finance 66:2:519-561
“Counterparty Risk Externality: Centralized versus Over-the-counter Markets,” Viral V. Acharya and Alberto Bisin (2010)
"Measuring Systemic Risk,” Viral V. Acharya, Lasse Heje Pedersen, Thomas Philippon and Matthew Richardson (2010)
"Background Risk and Trading in a Full-Information Rational Expectations Economy," Richard C. Stapleton, Marti G. Subrahmanyam, and Qi Zeng (2012)
"Incremental Risk Vulnerability," Guenter Franke, Richard C. Stapleton, and Marti G. Subrahmanyam (2005)
Asset Management
"Networking as a Barrier to Entry and the Competitive Supply of Venture Capital," Alexander Ljungqvist, Yael V. Hochberg and Yang Lu, Journal of Finance 65:5 (2010)
"Margin-Based Asset Pricing and Deviations from the Law of One Price," Nicolae Garleanu and Lasse Heje Pedersen, Review of Financial Studies, (2011) 24 (6):
"Two Monetary Tools: Interest Rates and Haircuts," Adam Ashcraft, Nicolae Garleanu, and Lasse H. Pedersen (2010), NBER Macroeconomics Annual
"Time-Varying Predictability in Mutual Fund Returns," Kacperczyk, Marcin, Vincent Glode, Burton Holliffield, and Shimon Kogan (2011)
"Rational Attention Allocation over the Business Cycle," Kacperczyk, Marcin, Stijn van Nieuwerburgh, and Laura Veldkamp (2011)
"Implicit Guarantees and Risk Taking," Marcin Kacperczyk and Philipp Schnabl (2011)
"Leverage Aversion and Risk Parity," Cliff Asness, Andrea Frazzini, and Lasse Heje Pedersen, Financial Analysts Journal, Volume 68, Number 1
“Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns,” Turan G. Bali, Nusret Cakici, and Robert F. Whitelaw, Journal of Financial Economics 99:2:427-446 (2011)
“Benchmarks as Limits to Arbitrage: Understanding the Low Volatility Anomaly," Malcolm Baker, Brendan Bradley, and Jeffrey Wurgler, Financial Analysts Journal 67:1:15 (2011)
“The Investment Performance and Market Dynamics of Defaulted Bonds and Bank Loans: 2010 Review and 2011 Outlook,” Edward I. Altman and Brenda J. Kuehne (2011)
“The Index Premium and Its Hidden Cost for Index Funds,” Antti Petajisto, Journal of Empirical Finance 18:2:271-288
“Attention Allocation Over the Business Cycle,” Marcin Kacperczyk, Stijn Van Nieuwerburgh, and Laura Veldkamp (2011)
"Informational Holdup and Performance Persistence in Venture Capital," Yael V. Hochberg, Alexander Ljungqvist, Annette Vissing-Jorgensen, Review of Financial Studies (2013)
“Portfolio performance and agency,” Philip H. Dybvig and Heber K. Farnsworth, and Jennifer N. Carpenter, Review of Financial Studies 23:1-23
“More Insiders, More Insider Trading: Evidence from Private Equity Buyouts,” Viral V. Acharya and Timothy C. Johnson, Journal of Financial Economics 98:3:500-523
"Mutual Fund's R2 as Predictor of Performance," Yakov Amihud and Ruslan Goyenko, Review of Financial Studies 26 (3)
“When Safe Proved Risky: Commercial Paper During the Financial Crisis of 2007-2009,” Marcin T. Kacperczyk and Philipp Schnabl, Journal of Economic Perspectives, 24:1:29-50
"Time Series Momentum," Tobias Moskowitz, Yao Hua Ooi, and Lasse Heje Pedersen, Journal of Financial Economics, 104 (2012)
"Betting Against Beta," Andrea Frazzini and Lasse Heje Pedersen (2010)
“On the economic consequences of index-linked investing,” Jeffrey Wurgler (2010)
Special Report on “The Investment Performance and Market Dynamics of Defaulted Bonds and Bank Loans: 2009 Review and 2010 Outlook,” Edward I. Altman with Brenda Karlin (2010)
Special Report On "Defaults and Returns in the High-Yield Bond and Distressed Debt Market: The Year 2009 in Review and Outlook,” Edward I. Altman with Brenda J. Karlin (2010)
“Active Share and Mutual Fund Performance,” Antti Petajisto(2010)
“Can mutual fund managers pick stocks? Evidence from their trades prior to earnings announcements,” Malcolm Baker, Lubomir Litov, Jessica Wachter, and Jeffrey Wurgler, Journal of Financial and Quantitative Analysis 45:05:1111-1131
“Private Equity versus Plc Boards in the U.K.: A Comparison of Practices and Effectiveness,” Viral V. Acharya, Conor Kehoe and Michael Reyner, Journal of Applied Corporate Finance 21:1:45-56
"Hedge Funds in the Aftermath of the Financial Crisis," Marcin Kacperczyk, Stephen Brown, Alexander Ljungqvist, Anthony Lynch, Lasse Pedersen, and Matthew Richardson. Pp. 1-555 Restoring Financial Stability, eds. Viral Acharya and Matthew Richardson. New Jersey: Wiley and Sons (2009)
“Why Do Demand Curves for Stocks Slope Down?," Antti Petajisto, Journal of Financial and Quantitative Analysis 44:5:1013-1044
"Market Liquidity, Active Investment, and Markets for Information," Samuel Lee (2009)
“How Active Is Your Fund Manager? A New Measure That Predicts Performance,” Martijn Cremers and Antti Petajisto, Review of Financial Studies 22:9:3329-3365
"On the Volatility and Comovement of U.S. Financial Markets Around Macroeconomic News Announcements," Menachem Brenner, Paolo Pasquariello, and Marti Subrahmanyam Journal of Financial and Quantitative Analysis 44:6:1265–1289
"Unobserved Actions of Mutual Funds," Marcin Kacperczyk, Clemens Sialm and Lu Zheng, Review of Financial Studies 21:2379-2416
"Carry Trades and Currency Crashes,"Markus Brunnermeier, Stefan Nagel, and Lasse Heje Pedersen, NBER Macroeconomics Annual 23:313-348
"Dynamic Trading with Predictable Returns and Transaction Costs," Nicolae Garleanu and Lasse Heje Pedersen (2008)
"A Tale of Two Prices: Liquidity and Asset Prices in Multiple Markets," Justin S.P. Chan, Dong Hong and Marti G. Subrahmanyam, Journal of Banking and Finance 32:6:947-960
"Latent Liquidity: A New Measure of Liquidity with an Application to Corporate Bonds," Sriketan Mahanti, Amrut J. Nashikkar, Subrahmanyam Marti, George Chacko and Gaurav Mallik, Journal of Financial Economics 88:2:272-298
"Value and Momentum Everywhere," Cliff Asness, Tobias Moskowitz, and Lasse Heje Pedersen (2008)
"Whom You Know Matters: Venture Capital Networks and Investment Performance," Ljungqvist, Yael V. Hochberg and Yang Lu, Journal of Finance 62:1(02):251-301 (2007).
“Private Equity: Boom and Bust?," Viral V. Acharya, Julian Franks and Henri Servaes, Journal of Applied Corporate Finance 19:4:44-53 (2007)
"Slow Moving Capital," Mark Mitchell, Lasse Heje Pedersen, and Todd Pulvino, American Economic Review P&P 97:215-220. (2007)
Other
"Competition and Bias," Harrison Hong and Marcin Kacperczyk, Quarterly Journal of Economics 125: 41683-1725 (2010)
"Information and Liquidity Trading at Optimal Frequencies,” Emiliano Pagnotta (2010)
"When Everyone Runs for the Exit," Lasse H. Pedersen, International Journal of Central Banking 5:177-199 (2009)
"Market Liquidity and Funding Liquidity,"Markus Brunnermeier and Lasse H. Pedersen, Review of Financial Studies 22:2201-2238 (2009)
“A Model of Liquidity Hoarding and Term Premia in Inter-Bank Markets,” Viral V. Acharya and David Skeie (2011), Journal of Monetary Economics Volume 58, Issue 5
“Labor Income Dynamics at Business-cycle Frequencies: Implications for Portfolio Choice,” Anthony W. Lynch and Sinan Tan (2011), Journal of Financial Economics Volume 101, Issue 2
“Crisis Resolution and Bank Liquidity,"Viral V. Acharya, Hyun-Song Shin and Tanju Yorulmazer (2011), Review of Financial Studies Volume 24, Issue 6
"Explaining the Magnitude of Liquidity Premia: The Roles of Return Predictability, Wealth Shocks and State-dependent Transaction Costs,” Anthony W. Lynch and Sinan Tan (2011), Journal of Finance Volume 66, Issue 4
“Finance and Efficiency: Do Bank Branching Regulations Matter?," Viral V. Acharya, Jean Imbs and Jason Sturges (2011), Review of Finance Volume 15, Issue 1
“Rollover Risk and Market Freezes,"Viral V. Acharya, Douglas Gale and Tanju Yorulmazer (2011), Journal of Finance Volume 66, Issue 4
“The International Transmission of Bank Liquidity Shocks: Evidence from an Emerging Market,” Philipp Schnabl (2012), Journal of Finance Volume 67, Issue 3
“Why Surplus Consumption in the Habit Model May be Less Persistent than You Think,” Anthony W. Lynch and Oliver Randall (2011)
“Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees,” Bryan Kelly, Hanno Lustig, and Stijn Van Nieuwerburgh (2011)
“The Seeds of a Crisis: A Theory of Bank Liquidity and Risk Taking over the Business Cycle,” Viral V. Acharya and Hassan Naqvi (2011)
“Imperfect Competition in the Inter-Bank Market for Liquidity as a Rationale for Central Banking,"Viral V. Acharya, Denis Gromb and Tanju Yorulmazer, American Economic Journal: Microeconomics
Volume 4, No. 2
“Dissecting the Effect of Credit Supply on Trade: Evidence from Matched Credit-Export Data,” Daniel Paravisini, Veronica Rappoport, Philipp Schnabl, and Daniel Wolfenzon (2011)
“Multiple Risky Assets, Transaction Costs and Return Predictability: Allocation Rules & Implications for U.S. Investors,” Anthony W. Lynch and Sinan Tan, Journal of Financial and Quantitative Analysis 45:1015-1053
“Caught Between Scylla and Charybdis? Regulating Bank Leverage When There is Rent-Seeking and Risk-Shifting,” Viral V. Acharya, Hamid Mehran and Anjan Thakor, Review of Corporate Finance Studies 5 (1)
(2016)
“Measuring Systemic Risk,” Viral V. Acharya, Lasse Heje Pedersen, Thomas Philippon and Matthew Richardson (2010)
“Efficient Bank Recapitalization,” Thomas Philippon and Philipp Schnabl (2010)
“Do Global Banks Spread Global Imbalances? Asset-Backed Commercial Paper During the Financial Crisis of 2007-09,” Viral V. Acharya and Philipp Schnabl, IMF Economic Review 58: 37-73 (2010).
“Securitization without Risk Transfer,” Viral V. Acharya, Philipp Schnabl and Gustavo Suarez, Journal of Financial Economics, Volume 107, Issue 3
“Precautionary Hoarding of Liquidity and Inter-Bank Markets: Evidence from the Sub-prime Crisis," Viral V. Acharya and Ouarda Merrouche, Review of Finance
“Aggregate Risk and the Choice between Cash and Lines of Credit," Viral V. Acharya, Heitor Almeida and Murillo Campello, Journal of Finance, Volume 68, Issue 5
“A Theory of Systemic Risk and Design of Prudential Bank Regulation,” Viral V. Acharya, Journal of Financial Stability 5:3:224-255
“Dividends and Bank Capital in the Financial Crisis of 2007-09,” Viral V. Acharya, Irvind Gujral, Nirupama Kulkarni and Hyun-Song Shin (2009)
“Cash-in-the-Market Pricing and Optimal Resolution of Bank Failures,” Viral V. Acharya and Tanju Yorulmazer, Review of Financial Studies 21:2705-2742
“Information Contagion and Bank Herding," Viral V. Acharya and Tanju Yorulmazer, Journal of Money, Credit and Banking 40:1: 215-31
"The Effect of the Source of Capital on Corporate Liquidity," Yakov Amihud, Sreedhar Bharath and Anthony Saunders (2008)
Investment Banking
“A Tax on Systemic Risk,” Viral V. Acharya, Lasse H. Pedersen, Thomas Philippon and Matthew Richardson (2010), NBER Quantifying Systemic Risk, eds, Joseph Haubrich and Andrew Lo
“Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees,” Bryan Kelly, Hanno Lustig, and Stijn Van Nieuwerburgh (2011)
"Competition and the Structure of Vertical Relationships in Capital Markets," John Asker and Alexander Ljungqvist, Journal of Political Economy, Vol. 118, No. 3
“Measuring Systemic Risk,” Viral V. Acharya, Lasse Heje Pedersen, Thomas Philippon and Matthew Richardson (2010)
"Scaling the Hierarchy: How and Why Investment Banks Compete for Syndicate Co-Management Appointments," Alexander Ljungqvist, Felicia C. Marston, and William J. Wilhelm Jr., Review of Financial Studies 22:10: 3977-4007
"Rewriting History," Alexander Ljungqvist, Christopher J. Malloy, and Felicia C. Marston, Journal of Finance 64:4:1935-1960
"Conflicts of Interest in Sell-side Research and the Moderating Role of Institutional Investors," Alexander Ljungqvist, Felicia C. Marston, Hong Yan, Laura T. Starks, and Kelsey D. Wei, Journal of Financial Economics, Volume 85, Issue 2
Insurance
“A Tax on Systemic Risk,” Viral V. Acharya, Lasse H. Pedersen, Thomas Philippon and Matthew Richardson (2010), NBER Quantifying Systemic Risk, eds, Joseph Haubrich and Andrew Lo
“The Joy of Giving or Assisted Living? Using Strategic Surveys to Separate Bequest and Precautionary Motives,” John Ameriks, Andrew Caplin, Steven Laufer, and Stijn Van Nieuwerburgh, Journal of Finance 66:2:519-561
“Counterparty Risk Externality: Centralized versus Over-the-counter Markets,” Viral V. Acharya and Alberto Bisin (2010)
"Measuring Systemic Risk,” Viral V. Acharya, Lasse Heje Pedersen, Thomas Philippon and Matthew Richardson (2010)
"Background Risk and Trading in a Full-Information Rational Expectations Economy," Richard C. Stapleton, Marti G. Subrahmanyam, and Qi Zeng (2012)
"Incremental Risk Vulnerability," Guenter Franke, Richard C. Stapleton, and Marti G. Subrahmanyam (2005)
Asset Management
"Networking as a Barrier to Entry and the Competitive Supply of Venture Capital," Alexander Ljungqvist, Yael V. Hochberg and Yang Lu, Journal of Finance 65:5 (2010)
"Margin-Based Asset Pricing and Deviations from the Law of One Price," Nicolae Garleanu and Lasse Heje Pedersen, Review of Financial Studies, (2011) 24 (6):
"Two Monetary Tools: Interest Rates and Haircuts," Adam Ashcraft, Nicolae Garleanu, and Lasse H. Pedersen (2010), NBER Macroeconomics Annual
"Time-Varying Predictability in Mutual Fund Returns," Kacperczyk, Marcin, Vincent Glode, Burton Holliffield, and Shimon Kogan (2011)
"Rational Attention Allocation over the Business Cycle," Kacperczyk, Marcin, Stijn van Nieuwerburgh, and Laura Veldkamp (2011)
"Implicit Guarantees and Risk Taking," Marcin Kacperczyk and Philipp Schnabl (2011)
"Leverage Aversion and Risk Parity," Cliff Asness, Andrea Frazzini, and Lasse Heje Pedersen, Financial Analysts Journal, Volume 68, Number 1
“Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns,” Turan G. Bali, Nusret Cakici, and Robert F. Whitelaw, Journal of Financial Economics 99:2:427-446 (2011)
“Benchmarks as Limits to Arbitrage: Understanding the Low Volatility Anomaly," Malcolm Baker, Brendan Bradley, and Jeffrey Wurgler, Financial Analysts Journal 67:1:15 (2011)
“The Investment Performance and Market Dynamics of Defaulted Bonds and Bank Loans: 2010 Review and 2011 Outlook,” Edward I. Altman and Brenda J. Kuehne (2011)
“The Index Premium and Its Hidden Cost for Index Funds,” Antti Petajisto, Journal of Empirical Finance 18:2:271-288
“Attention Allocation Over the Business Cycle,” Marcin Kacperczyk, Stijn Van Nieuwerburgh, and Laura Veldkamp (2011)
"Informational Holdup and Performance Persistence in Venture Capital," Yael V. Hochberg, Alexander Ljungqvist, Annette Vissing-Jorgensen, Review of Financial Studies (2013)
“Portfolio performance and agency,” Philip H. Dybvig and Heber K. Farnsworth, and Jennifer N. Carpenter, Review of Financial Studies 23:1-23
“More Insiders, More Insider Trading: Evidence from Private Equity Buyouts,” Viral V. Acharya and Timothy C. Johnson, Journal of Financial Economics 98:3:500-523
"Mutual Fund's R2 as Predictor of Performance," Yakov Amihud and Ruslan Goyenko, Review of Financial Studies 26 (3)
“When Safe Proved Risky: Commercial Paper During the Financial Crisis of 2007-2009,” Marcin T. Kacperczyk and Philipp Schnabl, Journal of Economic Perspectives, 24:1:29-50
"Time Series Momentum," Tobias Moskowitz, Yao Hua Ooi, and Lasse Heje Pedersen, Journal of Financial Economics, 104 (2012)
"Betting Against Beta," Andrea Frazzini and Lasse Heje Pedersen (2010)
“On the economic consequences of index-linked investing,” Jeffrey Wurgler (2010)
Special Report on “The Investment Performance and Market Dynamics of Defaulted Bonds and Bank Loans: 2009 Review and 2010 Outlook,” Edward I. Altman with Brenda Karlin (2010)
Special Report On "Defaults and Returns in the High-Yield Bond and Distressed Debt Market: The Year 2009 in Review and Outlook,” Edward I. Altman with Brenda J. Karlin (2010)
“Active Share and Mutual Fund Performance,” Antti Petajisto(2010)
“Can mutual fund managers pick stocks? Evidence from their trades prior to earnings announcements,” Malcolm Baker, Lubomir Litov, Jessica Wachter, and Jeffrey Wurgler, Journal of Financial and Quantitative Analysis 45:05:1111-1131
“Private Equity versus Plc Boards in the U.K.: A Comparison of Practices and Effectiveness,” Viral V. Acharya, Conor Kehoe and Michael Reyner, Journal of Applied Corporate Finance 21:1:45-56
"Hedge Funds in the Aftermath of the Financial Crisis," Marcin Kacperczyk, Stephen Brown, Alexander Ljungqvist, Anthony Lynch, Lasse Pedersen, and Matthew Richardson. Pp. 1-555 Restoring Financial Stability, eds. Viral Acharya and Matthew Richardson. New Jersey: Wiley and Sons (2009)
“Why Do Demand Curves for Stocks Slope Down?," Antti Petajisto, Journal of Financial and Quantitative Analysis 44:5:1013-1044
"Market Liquidity, Active Investment, and Markets for Information," Samuel Lee (2009)
“How Active Is Your Fund Manager? A New Measure That Predicts Performance,” Martijn Cremers and Antti Petajisto, Review of Financial Studies 22:9:3329-3365
"On the Volatility and Comovement of U.S. Financial Markets Around Macroeconomic News Announcements," Menachem Brenner, Paolo Pasquariello, and Marti Subrahmanyam Journal of Financial and Quantitative Analysis 44:6:1265–1289
"Unobserved Actions of Mutual Funds," Marcin Kacperczyk, Clemens Sialm and Lu Zheng, Review of Financial Studies 21:2379-2416
"Carry Trades and Currency Crashes,"Markus Brunnermeier, Stefan Nagel, and Lasse Heje Pedersen, NBER Macroeconomics Annual 23:313-348
"Dynamic Trading with Predictable Returns and Transaction Costs," Nicolae Garleanu and Lasse Heje Pedersen (2008)
"A Tale of Two Prices: Liquidity and Asset Prices in Multiple Markets," Justin S.P. Chan, Dong Hong and Marti G. Subrahmanyam, Journal of Banking and Finance 32:6:947-960
"Latent Liquidity: A New Measure of Liquidity with an Application to Corporate Bonds," Sriketan Mahanti, Amrut J. Nashikkar, Subrahmanyam Marti, George Chacko and Gaurav Mallik, Journal of Financial Economics 88:2:272-298
"Value and Momentum Everywhere," Cliff Asness, Tobias Moskowitz, and Lasse Heje Pedersen (2008)
"Whom You Know Matters: Venture Capital Networks and Investment Performance," Ljungqvist, Yael V. Hochberg and Yang Lu, Journal of Finance 62:1(02):251-301 (2007).
“Private Equity: Boom and Bust?," Viral V. Acharya, Julian Franks and Henri Servaes, Journal of Applied Corporate Finance 19:4:44-53 (2007)
"Slow Moving Capital," Mark Mitchell, Lasse Heje Pedersen, and Todd Pulvino, American Economic Review P&P 97:215-220. (2007)
Other
"Competition and Bias," Harrison Hong and Marcin Kacperczyk, Quarterly Journal of Economics 125: 41683-1725 (2010)
"Information and Liquidity Trading at Optimal Frequencies,” Emiliano Pagnotta (2010)
"When Everyone Runs for the Exit," Lasse H. Pedersen, International Journal of Central Banking 5:177-199 (2009)
"Market Liquidity and Funding Liquidity,"Markus Brunnermeier and Lasse H. Pedersen, Review of Financial Studies 22:2201-2238 (2009)