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Recent Publications

As a Carnegie Research I institution, high-impact research plays a prominent role at UC and in the College of Business . This Recent Publications site showcases current faculty and doctoral student research.


Michael Ferguson, PhD - Assistant Professor
  • “Equilibrium ‘Anomalies',” with Richard L. Shockley, Journal of Finance, forthcoming.
  • “Execution Costs and Their Intraday Variation in Futures Markets,” with Steven C. Mann, Journal of Business, 74 (2001), 125-160.
  • “What Constitutes Evidence of Discrimination in Lending?,” with Stephen R. Peters, Journal of Finance, 50 (1995), 739-748. Reprinted in The Economics of Housing (John M. Quigley, ed.), London: Edward Elgar Publishing, 1997.
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Hui Guo, PhD - Assistant Professor
  • Average Idiosyncratic Volatility in G7 Countries, with Robert Savickas, forthcoming, Review of Financial Studies
  • Is the Value Premium a Proxy for Time-Varying Investment Opportunities: Some Time Series Evidence, with Robert Savickas, Zijun Wang and Jian Yang, forthcoming, Journal of Financial and Quantitative Analysis
  • Time-Varying Risk Premia and The Cross Section of Stock Returns, Journal of Banking and Finance, July 2006, 30(7), pp. 2087-2107
  • Uncovering the Risk-Return Relation in the Stock Market, with Robert Whitelaw, Journal of Finance, June 2006, 61(3), pp. 1433-1463
  • On the Out-of-Sample Predictability of Stock Market Returns, Journal of Business, March 2006, 79(2), pp. 645-70
  • Idiosyncratic Volatility, Stock Market Volatility, and Expected Stock Returns, with Robert Savickas, Journal of Business and Economic Statistics, January 2006, 24(1), pp. 43-56
  • Limited Stock Market Participation and Asset Prices in a Dynamic Economy, Journal of Financial and Quantitative Analysis, September 2004, 39(3), pp. 495-516
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Brian Hatch, PhD - Associate Professor
  • Toward a National Market System for U.S. Exchange-listed Equity Options, Journal of Finance, 59:933-62, 2004, with Robert Battalio and Robert Jennings
  • All Else Equal? A Multidimensional Analysis of Retail Market Order Execution Quality, Journal of Financial Markets 6:143-162, 2003, with Robert Battalio and Robert Jennings
  • The Impact of Specialist Firm Acquisitions on Market Quality, Journal of Financial Economics 66:139-67, 2002, with Shane Johnson
  • Does the Limit Order Routing Decision Matter?, Review of Financial Studies, 15:159-194, 2002, with Robert Battalio, Jason Greene, and Robert Jennings
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Yong H. Kim, PhD - Professor of Finance
  • "The Effect of Price Limits: Initial Public Offerings vs. Seasoned Equity Offerings" forthcoming in International Review of Finance, 2008, 8 (4) with J. Yang.
  • "Financial Contracts for CEOs: Expropriation or Effective Corporate Governance?" forthcoming in International Finance Review, 2008, 9, with O. Maisondieu-Laforge and Y. S. Kim.
  • The Effect of Price Limits on Intraday Volatility and Information Asymmetry," forthcoming in Pacific-Basin Finance Journal, with J. Yang
  • "Relative Performance of Trading Halts and Price Limits:Evidence from the Spanish Stock Exchange", International Review of Economics and Finance, 17 (2), 2008, 197-215, with J. Yague and J. Yang.
  • "Financial Contracting and Operating Performance: The Case for OBRA and Efficient Contracting" Corporate Ownership & Control, 4 (4), 2007, 217-227, with O. Maisondieu-Laforge and Y. S. Kim
  • "The Relationship Between the Assets Liquidity and Trading Liquidity: An Empirical Investigation," Global Business and Finance Review, 12 (1), 2007, 37-52, with X Zhou
  • "Earnings Management and CEO Cash Compensation," International Journal of Finance, 16 (4), 2004, 3224-45, with H. Jo and Y. Kim
  • "What Makes Circuit Breakers Attractive to Financial Markets? A Survey," Financial Markets, Institutions, and Instruments, Vol. 13, No. 3, August 2004, pp. 109-146, with J. Yang
  • "Can Composite Value Measures Enhance Portfolio Performance?” Journal of Investing, Vol. 13, No.4, Winter 2004, pp. 42-48, with M. Dhatt and S. Mukherji
  • "Agency Costs and Efficiency of Business Capital Investment: Evidence from Quarterly Capital Expenditures," Journal of Corporate Finance, Vol.8, No. 2, 2002, pp. 139-158, with H.Shin
  • "An International Investigation of the Influence of Growth Opportunities on Firm Liquidity," International Journal of Finance, Vol. 13, No. 1, 2001, pp. 2044-57, with S. Mukherji and Y.Lee.
  • "Investors' Cognizance and Stock Price Responses to Dividend Initiation," Advances in Working Capital Management,(edited by Y.H. Kim), Oxford, UK: Elsevier Science, Vol. 4, 2001, pp. 189-202, with H. Jo and E. Kang.
  • "The Value Premium for Small-Capitalization Stocks," Financial Analysts Journal, Vol. 55, No. 5, Sept./Oct. 1999, pp. 60-68, with M. Dhatt and S. Mukherji.
  • "Relations Between Stock Returns and Fundamental Variables: Evidence from a Segmented Market,” Asia-Pacific Financial Markets, Vol. 6, No. 3, 1999, pp. 221-233, with M. Dhatt and S. Mukherji.
  • "International Diversification of U.S. Portfolios with Segmented Markets," Emerging Markets Finance and Investments (edited by J. Choi and J. Doukas), Westport, CT: Greenwood Publishing Group, Inc., 1998, pp. 61-68, with P. Fanara and S. Mukherji.
  • "The Effect of Stock Splits on the Ownership Structure of Firms," Journal of Corporate Finance, Vol. 3, No. 2, 1997, pp. 167-188, with S. Mukherji and M. Walker.
  • "A Fundamental Analysis of Korean Stock Returns," Financial Analysts Journal, Vol. 53, No. 3, May/June 1997, pp. 75-80, with S. Mukherji and M. Dhatt.
  • "Did the 1986 Tax Reform Act Affect Market Reactions to Stock Split? A Test of the Tax-Option Hypothesis," The Financial Review, Vol. 32, No. 2, May 1997, pp. 249-272, with M. Dhatt and S. Mukherji.
  • "The Role of Stock Dividends in Korea," Global Finance Journal, Vol. 8, No. 2, 1997, pp. 297-311, with M. Dhatt and S. Mukherji.
  • "The Demise of Stock Splits in Korea," International Journal of Finance, Vol. 8, No. 4, 1996, pp. 338-351, with S. Mukherji and Y. Lee.
  • "Stock Dividends in Korea: A Test of Different Hypotheses, " Research in Finance, (edited by A.H. Chen and K.C. Chan), Greenwich, CT: JAI Press, 1996, pp. 183-202, with M. Dhatt and S. Mukherji.
  • "Seasoned Equity Issues: The Korean Experience," Pacific-Basin Finance Journal, Vol. 4, No. 1, 1996, pp. 31-43, with M. Dhatt and S. Mukherji.
  • "Is the Stock Dividend Ex-Day Effect Due to Market Microstructure? Contrary Evidence from Korea," Global Finance Journal, Vol. 7, No. 1, 1996, pp. 87-97, with M. Dhatt and S. Mukherji.
  • "Optimum Cash Balances for International Firms," Advances in Working Capital Management, (edited by Y.H. Kim), Greenwich, CT: JAI Press, Vol. 3, 1996, pp. 151-168, with J. Choi and D. Ghosh.
  • "Adverse Selection, Investment Opportunities and Uninsured Rights Issues: Evidence from Korea" (abstract), The Journal of Finance, Vol. 49, No. 3, July 1995, with M. Dhatt and S. Mukherji.
  • "Agency Costs, Market Discipline and Market Timing: Evidence from Post-IPO Operating Performance," Entrepreneurship: Theory and Practice, Vol. 20, No. 2, Winter 1995, pp. 43-58, with D. McConaughy and M. Dhatt.
  • "Japanese Stock Price Reactions to Stock Dividend Distributions," Pacific-Basin Finance Journal, Vol. 2, No. 1, March 1994, pp. 43-60, with M. Dhatt and S. Mukherji.
  • "Financial Theory, Corporate Strategy and Analytic Hierarchy Process," Essays in Honor of Professor B.K. Shim, Seoul National University Press, Feb. 1994, pp. 515-44. (Invited Article)
  • "Payment Systems in a Rapidly Developing Asian Economy," Journal of Cash Management, Vol. 14, No. 1, Jan./Feb. 1994, pp. 50-53, with K. Sudhakar.
  • "Corporate Efficiency, Profitability, and Value Changes after the IPO," Journal of Small Business Finance, Vol. 3, No. 2, 1994, pp. 167-170, with D. McConaughy and M. Dhatt.
  • "The Changing World of Banking and Finance," Essays in Honor of Professor S.W. Kang, 1993, pp. 3-24. (Invited Lead Article)
  • "Managerial Preferences and Investment Decisions Under Uncertainty: A Gamma Preference Framework," Capital Budgeting Under Uncertainty: New and Advanced Perspectives, (edited by R. Aggarwal) Englewood Cliffs, NJ: Prentice Hall, 1993, pp. 120-139, with B. N. Stedman.
  • "A Contingent Claims Analysis of Trade Credit," Financial Management, Vol. 21, No. 3, Autumn 1992, pp. 95-103, with P. D. Adams and S. B. Wyatt.
  • "Designing and Implementing Knowledge Based Systems for Corporate Financial Applications Using Relational Database Management Systems," Expert Systems in Finance, (edited by D. E. O'Leary and P. R. Watkins), Elsevier Science Publishers, 1992, pp. 101-123, with V. Srinivasan and B. Ruparel.
  • "International Cash Management: State of the Art and Research Directions," Advances in Financial Planning and Forecsting: International Dimensions, (edited by C.F. Lee and R. Aggarwal), Greenwich, CT: JAI Press, Vol. 4, Part B, 1990, pp. 161-193, with V. Srinivasan and S.E. Moeller.
  • "An Integrated Evaluation of Credit and Inventory: A Cash Flow Approach," Journal of Business Finance and Accounting, Vol. 17, No. 3, 1990, pp. 381-390, with K. H. Chung.
  • "Economic Analysis of Inventory Systems: A Further Clarifying Analysis," The Engineering Economist, Vol. 35, No.1, Fall 1989, pp. 75-80, with K. H. Chung.
  • "Inventory Management Under Uncertainty: A Financial Theory for the Transactions Motive," Managerial and Decision Economics, Vol. 10, No. 4, December 1989, pp. 291-298, with K. H. Chung.
  • "A Framework for Integrating the Leasing Alternative with Capital Budgeting Decision," Advances in Financial Planning and Forecasting, (edited by C. F. Lee), Greenwich, CT: JAI Press, Vol. 3, 1989, pp. 75-93, with V. Srinivasan and P. J. Bolster.
  • "Designing Expert Financial Systems: A Case Study of Corporate Credit Management," Financial Management, Vol. 17, No. 3, 1988, pp.3244, with V. Srinivasan. The winner of the 1988 Credit Research Foundation Award for the best paper in the economics of credit management. Reprinted in part in Management Information Systems, 4th ed., Macmillan Publishing Co., R McLeod, Jr., 1990 and in Artificial Intelligence in Financial Services, Ballinger Publishing Co., J Keyes, 1990.
  • "Integrating Corporate Strategy and Multinational Capital Budgeting: An Analytical Framework," (edited by S. J. Khoury and A. Ghosh), Recent Developments in International Banking and Finance, Lexington, MA: D. C. Heath and Company, 1988, pp. 381-397, with V. Srinivasan.
  • "Credit Granting: A Comparative Analysis of Classification Procedures," The Journal of Finance, Vol. 42, No. 3, July 1987, pp. 665-681, with V. Srinivasan.
  • "Effective Cash Management Through Variance Analysis," Canadian Cash Management Journal (CMAC), Vol. 3, No. 2, 1987, pp. 41-45, with V. Srinivasan. (Invited Article)
  • "The Bierman Hausman Credit Granting Model: A Note," Management Science, Vol. 33, No. 10, October 1987, pp. 1361-1362, with V. Srinivasan.
  • "Evaluating Interrelated Capital Projects: An Alternative Framework," The Engineering Economist, Vol. 33, No. 1, Fall 1987, pp. 13-30, with V. Srinivasan.
  • "Decision Support for Integrated Cash Flow Management," Decision Support Systems, Vol. 2, No. 4, 1986, pp. 347-363, with V. Srinivasan.
  • "Abandonment Value in Capital Budgeting: A Mathematical Programming Approach," Computers and Operations Research, Vol. 13, No. 6, 1986, pp. 721-733, with V. Srinivasan and A. F. Thompson.
  • "The Impact of Corporate Pension Plan Reversions on Retirement Benefits," Journal of Insurance Issues and Practice, Vol. 9, No. 2, June 1986, pp. 44-56, with F. W. McKenna, A. F. Thompson and P. W. Glasgo.
  • "Managerial Risk Preferences, Real Pension Costs, and Long Run Corporate Pension Investment Policy," Journal of Risk and Insurance, Vol. 53, No. 1, March 1986, pp. 29-48, with F. W. McKenna. (Lead Article)
  • "Corporate Cash Management in a Developing Economy: The Case of India," The Journal of Cash Management, Vol. 6, No. 3, May June 1986, pp. 44 49. with V. Srinivasan and S. P. S. Gulati.
  • "Evaluating Investment in Inventory Policy: A Net Present Value Framework," The Engineering Economist, Vol. 31, No. 2, Winter 1986, pp. 119 136, with G. C. Philippatos and K. H. Chung. Reprinted in Readings on Short-Term Financial Management, 3rd ed. (edited by K. V. Smith and G. W. Gallinger), St. Paul, MN: West Publishing Co., 1988. pp. 504 512.
  • "Deterministic Cash Flow Management: State of the Art and Research Directions," OMEGA: The International Journal of Management Science, Vol. 14, No. 2, 1986, pp. 145 166, with V. Srinivasan.
  • "Payments Netting in International Cash Management: A Network Optimization Approach," Journal of International Business Studies, Vol. 17, No. 2, Summer 1986, pp. 1 20, with V. Srinivasan. (Lead Article)
  • "Economic Analysis of Inventory Systems: A Clarifying Analysis," International Journal of Production Research, Vol. 23, No. 4, 1985, pp. 761 767, with K. H. Chung.
  • "A Network Optimization Approach to Efficient Cash Management in India," Asia-Pacific Journal of Operational Research, Vol. 2, May, 1985, pp. 54 65, with V. Srinivasan.
  • "Cash Flow Management: A Decision Support System Approach," The Journal of Cash Management, Vol. 4, No. 6, November December 1984, pp. 72 80, with V. Srinivasan. Reprinted in Essentials of Cash Management: A Study Guide Selected Readings, The National Corporate Cash Management (NCCMA), Ch. 7, 1987.
  • "A Net Present Value Framework for Inventory Analysis," International Journal of Physical Distribution, A Special Issue on Interfaces with Marketing and Finance, Vol. 14, No. 6, 1984, pp. 6876, with K. Chung and W. Wood. Translated into Chinese by Beijing Institute of Economics and published in Materials Management Abroad (GUOWAI WUZI GUANLI), No. 3, 1986, pp. 15-19.
  • "Pension Liability Reporting Under ERISA," Employee Benefits Journal, Vol. 8, No. 1, March 1983, pp. 2-27, with A. F. Thompson and P. W. Glasgo. (Invited Lead Article)
  • "Evaluating Investment in Accounts Receivable: A Wealth Maximizing Framework," The Journal of Finance, Vol. 33, No. 2, May 1978, pp. 403-412, with J. C. Atkins. An abstract of the paper was published in The Journal of Economic Literature, Vol. 16, No. 4, December 1978, p. 1785.
  • "Comments and Correction: Opportunity Cost in the Evaluation of Investment in Accounts Receivable," Financial Management, Vol. 6, No. 4, Winter 1977, pp. 71-74, with J. C. Atkins.
  • "A Study on Critical Path Method: Its Fundamentals and Applications," The Korean Business Journal, Vol. 3, No. 2, July 1969, pp. 66-92. (Invited Article in Korean)
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Brian Kluger, PhD - Finance
  • Preferencing, Internalization of Order Flow and Tacit Collusion: Evidence from Experiments in Journal of Financial and Quantitative Analysis, 2002.
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Steve L. Slezak, PhD - Associate Professor, Department Head, Finance
  • "An Equilibrium Model of Incentive Contracts in the Presence of Information Manipulation," with Eitan Goldman, Journal of Financial Economics, June, 2006
  • “Delegated Portfolio Management and Rational Prolonged Mispricing,” with Eitan Goldman, Journal of Finance, 58, February, 2003, pp. 283-311.
  • “On the Impossibility of Weak-Form Efficient Markets.” Journal of Financial and Quantitative Analysis, 38, September, 2003.
  • 'The Effect of Organizational Form on Information Flow and Decision Quality: Informational Cascades in Group Decision-Making,' with Naveen Khanna, Journal of Economics and Management Strategy, 9, Spring, 2000, pp. 115-156.
  • "Insider Trading, Outside Search and Resource Allocation: Why Firms and Society May Disagree on Insider Trading Restrictions," with Naveen Khanna and Michael Bradley, Review of Financial Studies, 7, Fall 1994, pp. 575-608
  • "A Theory of the Dynamics of Security Returns Around Market Closures," Journal of Finance, 49, September 1994, pp. 1163-1212.
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Weihong Song, PhD - Assistant Professor of Finance
  • "Are Fairness Opinions Fair? The Case of Mergers and Acquisitions," with D. Kisgen andJ. Qian, Journal of Financial Economics, forthcoming
  • "Stock Splits as a Manipulation Tool: Evidence from Mergers and Acquisitions", with S. Guo and M. Liu, Financial Management, forthcoming
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Michael C. Walker, PhD - Associate Dean for Program Management
  • “The Relationship Between Accounting Measures of Performance and Market Measures of Risk: The Case of Banks,” the Southern Business and Economic Journal, April 2001 (with S. Jones)
  • “Founding Family Controlled Firms: Efficiency and Value,” Review of Financial Economics Fall 1998 (with D. McConaughy, G. Henderson and C. Mishra)
  • 'The Effect of Stock Splits on the Ownership Structure of Firms,' Journal of Corporate Finance April 1997 (with S. Mukherji and Y. Kim)
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Linus Wilson, PhD - Visiting Assistant Professor
  • "Investment after tragedy," 2006, Economics Bulletin, Vol. 4 no. 18 pp. 1-7.
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