2009 Working Paper Series
Our working paper series is Library of Congress
ISSN 1936-9344
Click on the title to see the abstract. Click on the  icon to download the entire paper. (You will need the free Acrobat Reader from Adobe).
#09-01
Rollover Risks and Market Freezes
Viral Acharya, Douglas Gale and Tanju Yorulmazer, September 2008
For an updated version of this paper, please see #09-32
#09-02
Inflation Expectations and Risk Premiums in an Arbitrage-Free Model of Nominal and Real Bond Yields
Jens H. E. Christensen, Jose A. Lopez and Glenn D. Rudebusch
#09-03
Internal Capital Markets: The Bright Side of Corporate Politics
Martijn Cremers, Rocco Huang, and Zacharias Sautner, January 2009
#09-04
Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options
Peter Christoffersen, Kris Jacobs and Chayawat Ornthanalai, November 2008
#09-05
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well
Peter Christoffersen, Steven Heston and Kris Jacobs, February 2009
#09-06
Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices
Peter Christoffersen, Kris Jacobs and Karim Mimouni, December 2008
#09-07
Nonlinear Filtering in Affine Term Structure Models: Evidence from the Term Structure of Swap Rates
Peter Christoffrsen, Kris Jacobs, Lotfi Karoui and Karim Mimouni, December 2008
#09-08
Do Supervisory Rating Standards Change Over Time?
John Krainer and Jose A. Lopez
#09-09
Gaming Performance Fees by Portfolio Managers
Dean P. Foster and H. Peyton Young, March 2009
#09-10
Asset Allocation and Location over the Life Cycle with Survival-Contingent Payoffs
Wolfram J. Horneff, Raimond H. Maurer, Olivia S. Mitchell and Michael Z. Stamos, May 2008
#09-11
Managing Contribution and Capital Market Risk in a Funded Public Defined Benefit Plan: Impact of CVaR Cost Constraints
Raimond Maurer, Olivia S. Mitchell and Ralph Rogalla, September 2008
#09-12
Interbank Market Liquidity and Central Bank Intervention
Franklin Allen, Elena Carletti and Douglas Gale, April 2009
This is the preprint version only. For the published version please see: Journal of Monetary Economics, 56(5), July 2009, 649-652.
#09-13
Foreign Entry into Underwriting Services: Evidence from Japan’s “Big Bang” Deregulation
Jose A. Lopez and Mark M. Spiegel, February 2009
#09-14
Do Central Bank Liquidity Facilities Affect Interbank Lending Rates?
Jens H. E. Christensen, Jose A. Lopez and Glenn D.Rudebusch
#09-15
Financial Crises: Theory and Evidence
Franklin Allen, Ana Babus and Elena Carletti, June 2009
Forthcoming, Annual Review of Financial Economics, November 2009
#09-16
Governance Through Exit and Voice: A Theory of Multiple Blockholders
Alex Edmans and Gustavo Manso, January 2009
#09-17
Does the Stock Market Fully Value Intangibles? Employee Satisfaction and Equity Prices
Alex Edmans, June 2009
#09-18
Short-Term Termination Without Deterring Long-Term Investment: A Theory of Debt (Not Dividends)
Alex Edmans, June 2009
#09-19
Takeover Activity and Target Valuations: Feedback Loops in Financial Markets
Alex Edmans, Itay Goldstein and Wei Jiang, May 2009
#09-20
Life Settlements: Signposts to a Principal Asset Class
Sam Rosenfeld
#09-21
Do Investment Banks Have Skill? Performance Persistence of M&A Advisors
Jack Bao and Alex Edmans, July 2009
#09-22
Dynamic Incentive Accounts
Alex Edmans, Xavier Gabaix, Tomasz Sadzik and Yuliy Sannikov, August 2009
#09-23
Bank Liquidity Creation, Monetary Policy, and Financial Crises
Allen N. Berger and Christa H.S. Bouwman, July 2009
Please see Financial Crises and Bank Liquidity Creation (#08-37) for an earlier version of this paper
#09-24
Bank Capital, Survival, and Performance around Financial Crises
Allen N. Berger and Christa H.S. Bouwman, August 2009
Please see Financial Crises and Bank Liquidity Creation(#08-37) for an earlier version of this paper
#09-25
Stable Value Funds:
Performance from 1973 through 2008
David F. Babbel and Miguel A. Herce, September 2009
#09-26
Hedge Funds as Liquidity Providers: Evidence from the Lehman Bankruptcy
George O. Aragon and Philip E. Strahan, August 2009
#09-27
Liquidity Production in 21st Century Banking
Philip E. Strahan, September 2009
This paper is an updated version of #08-03
#09-28
Stakeholder Capitalism, Corporate Governance and Firm Value
Franklin Allen, Elena Carletti, and Robert Marquez, September 2009
This paper is an updated version of #07-39
#09-29
Asset Correlations for Credit Card Defaults
Jonathan Crook and Tony Bellotti
#09-30
Credit Market Competition and Capital Regulation
Franklin Allen, Elena Carletti, and Robert Marquez, September 2009
This paper is an updated version of #05-27
#09-31
Illiquidity and Under-Valuation of Firms
Douglas Gale and Piero Gottardi, October 2009
#09-32
Rollover Risk and Market Freezes
Viral Acharya, Douglas Gale and Tanju Yorulmazer, August 2009
This paper is an updated version of #09-01
#09-33
Financial Connections and Systemic Risk
Franklin Allen, Ana Babus and Elena Carletti, November 2009
#09-34
The Role of Institutional Development in the Prevalence and Value of Family Firms
Raphael Amit, Yuan Ding, Belen Villalonga and Hua Zhang, November 2009
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