2010 Working Papers

#10-01
An Autoregressive Approach to House Price Modeling
Chaitra H. Nagaraja, Lawrence D. Brown and Linda H. Zhao, December 2009

#10-02
On the Size of the Active Management Industry
Lubos Pastor and Robert F. Stambaugh, January 2010

#10-03
Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions
S. Boragan Aruoba and Francis X. Diebold, January 2010

#10-04
Stale Prices and the Performance Evaluation of Mutual Funds
Meijun Qian
Forthcoming, Journal of Financial and Qualitative Analysis

#10-05
High-water Marks and Hedge Fund Compensation
George O. Aragon and Jun “QJ” Qian, December 2009

#10-06
In Defense of Much, But Not All, Financial Innovation
Robert E. Litan

#10-07
Institutional Ownership, Analyst Following and Share Prices
Chitru S. Fernando, Vladimir A. Gatchev and Paul A. Spindt, February 2010

#10-08
Wind-down Plans as an Alternative to Bailouts: The Cross-Border Challenges
Richard J. Herring

#10-09
Living Wills as a Catalyst for Action
Emilios Avgouleas, Charles Goodhart and Dirk Schoenmaker, February 2010

#10-10
Scenario Analysis in the Measurement of Operational
Risk Capital: A Change of Measure Approach
Kabir K. Dutta and David F. Babbel, September 2010
An updated version of this paper appears as Working Paper #12-15. This paper is forthcoming in the Journal of Risk and Insurance.

#10-11
African Financial Systems: A Review
Franklin Allen, Isaac Otchere and Lemma W. Senbet, March 2010

#10-12
The Mortgage and Financial Crises: The Role of Credit Risk Management and Corporate Governance
William W. Lang and Julapa Jagtiani, February 2010
Forthcoming in Atlantic Economic Journal, 2010

#10-13
Tractability in Incentive Contracting
Alex Edmans and Xavier Gabaix, March 2010

#10-14
The Financial Crisis: Miss-Diagnosis and Reactionary Responses
Robert A. Eisenbeis, October 2009

#10-15
Thoughts on the Future of the Hedge Fund Industry
Christopher C. Geczy, April 2010

#10-16
Specialization, Productivity and Financing Constraints
Robert Marquez and M. Deniz Yavuz, April 2010

#10-17
Risk and the CEO Market: Why Do Some Large Firms Hire Highly-Paid, Low-Talent CEOs
Alex Edmans and Xavier Gabaix, May 2010

#10-18
The African Financial Development Gap
Franklin Allen, Elena Carletti, Robert Cull, Jun “QJ” Qian and Lemma Senbet, September 2010
Earlier version of paper

#10-19
Dynamic Incentive Accounts
Alex Edmans, Xavier Gabaix, Tomasz Sadzik and Yuliy Sannikov, May 2010
This is an updated version of #09-22

#10-20
Financial Connections and Systemic Risk
Franklin Allen, Ana Babus and Elena Carletti, July 2010
This is an updated version of #09-33
For a more recent version, please see #10-30

#10-21
How Important are Foreign Ownership Linkages for International Stock Returns?
Söhnke M. Bartram, John Griffin, and David Ng, June 2010

#10-22
The Behavior of Intoxicated Investors: The Role of Institutional Investors in Propagating the Crisis of 2007-2008
Alberto Manconi, Massimo Massa, and Ayako Yasuda, June 2010

#10-23
Behavioral Biases of Mutual Fund Investors
Warren Bailey, Alok Kuman, and David Ng, July 2010

#10-24
Private Equity Fund Returns: Do Managers Actually Leave Money on the Table?
Robert Marquez, Vikram Nanda, and M. Deniz Yavuz, August 16, 2010

#10-25
Breaking Down the Barriers: Competition, Syndicate Structure, and Underwriting Incentives
Anil Shivdasani and Wei-Ling Song, March 2010

#10-26
A Note on Scenario Analysis in the Measurement of Operational Risk Capital: A Change of Measure Approach
David F. Babbel , September 2010

#10-27
How Important Historically Were Financial Systems for Growth in the U.K., U.S., Germany, and Japan?
Franklin Allen, Forrest Capie, Caroline Fohlin, Hideaki Miyajima, Richard Sylla, Geoffrey Wood, and Yishay Yafeh, October 2010

#10-28
Transmission of Bank Liquidity Shocks in Loan and Deposit Markets: The Role of Interbank Borrowing and Market Monitoring
Franklin Allen, Aneta Hryckiewicz, Oskar Kowalewski, and Günseli Tümer-Alkan, November 2010

#10-29
Sterilization in China: Effectiveness and Cost
Chenying Zhang, September 2010

#10-30
Asset Commonality, Debt Maturity and Systemic Risk
Franklin Allen, Ana Babus, and Elena Carletti, November 2010
This is an updated version of #10-20
An updated version of this paper appears at #11-58
Published as “Asset Commonality, Debt Maturity and Systemic Risk” (with A. Babus and E. Carletti), Journal of Financial Economics, 2012, 104, 519-534.