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.


Shaun A. Bond - Associate Professor of Real Estate
  • Bond, S.A., Loizou, P. and McAllister, P., (2008) “Lease Maturity and Initial Rent: Is There a Term Structure for UK Commercial Property Leases?” The Journal of Real Estate Finance and Economics, 36(4), pp 451-469.
  • Bond, S.A., Hwang, S., Mitchell, P., and Satchell, S.E., (2007) “Will Private Equity and Hedge Funds Replace Real Estate in Mixed-Asset Portfolios?”, Journal of Portfolio Management, Special Real Estate Issue, Fall 2007.
  • Bond, S.A. and Hwang, S., (2007) “Smoothing, Nonsynchronous Appraisal and Cross-Sectional Aggregation in Real Estate Price Indices”, Real Estate Economic, 35(3), pp 349-382.
  • Bond, S.A, Hwang, S., Lin, Z. and Vandell, K. (2007), “Marketing Period Risk in a Portfolio Context: Theory and Empirical Estimates from the UK Commercial Real Estate Market”. Journal of Real Estate Finance and Economics 34(4), pp 447-461.
  • Bond, S.A. and Satchell, S.E. (2006), “Asymmetry, Loss Aversion and Forecasting.” The Journal of Business, 79(4), pp 1809-1830.
  • Bond, S.A. and Satchell, S.E. (2006), “Asymmetry and Downside Risk in Foreign Exchange Markets.”, European Journal of Finance, 12(4), pp 313-332.
  • Bond, S.A., Hwang, S. and Richards, K. (2006) “Optimal Allocation to Real Estate Incorporating Illiquidity Risk”. Journal of Asset Management, 7(1), pp 2-16. (summarised in CFA Digest, February 2007).
  • Bond, S.A., Dungey, M and Fry, R. (2006) “A web of shocks: Crises Across Asian Real Estate Markets.”, Journal of Real Estate Finance and Economics, 32, pp 253-274.
  • Bond, S.A. and Hwang, S. (2003) A Measure of Fundamental Volatility in the Commercial Property Market, Real Estate Economics, 31(4), p577-600.
  • Bond, S.A., Karolyi, G.A. and Sanders, A.B. (2003) International Real Estate Returns: A Multifactor, Multicountry Approach. Real Estate Economics, 31(3), p481-500.
  • Bond, S.A. and Patel, K. (2003) The Conditional Distribution of Real Estate Returns: Are Higher Moments Time Varying? Journal of Real Estate Finance and Economics, 26, 2, pp 319-339.
  • Bond, S.A. and Satchell, S.E. (2002) Statistical Properties of the Sample Semi-Variance. Applied Mathematical Finance, 9(4), p 219-239.
  • Bond, S.A. (2001) ‘A Review of Asymmetric Conditional Density Functions in Autoregressive Conditional Heteroscedasticity Models', in Knight, J. and Satchell, S.E.(eds) Return Distributions in Finance, Butterworth and Heinemann, Oxford.
  • Bond, S.A. (1998) ‘An Econometric Model of Downside Risk', in Knight, J. and Satchell, S.E. (eds) Forecasting Volatility in the Financial Markets, Butterworth and Heinemann, Oxford.
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Michael Ferguson, PhD - Associate Professor of Finance
  • “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
  • Dealer Attention, the Speed of Quote Adjustment to Information, and Net Dealer Revenue, Journal of Banking and Finance, 33:1531-42, 2009, with Alex Boulatov, Shane Johnson, and Adam Lei
  • 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 and Department Head
  • "The Magnet Effect of Price Limits: A Logit Approach" Journal Empirical Finance, 16 (5), 2009, 830-837, with P. Hsieh and J. Yang.
  • "The Effect of Price Limits: Initial Public Offerings vs. Seasoned Equity Offerings" International Review of Finance, 9 (3), 2009, 295-318, with J. Yang.
  • "The Effect of Price Limits on Intraday Volatility and Information Asymmetry," Pacific-Basin Finance Journal, 16 (5), 2008, 522–538, 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 Leverage and Growth Opportunity in Japan" International Journal of Business Research, 8, 2008, 1-14, with H. Jo
  • "Financial Contracts for CEOs: Expropriation or Effective Corporate Governance?" International Finance Review, 9, 2008, 187-206, with O. Maisondieu-Laforge and Y. S. Kim.
  • "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, 13 (3), August 2004, 109-146, with J. Yang
  • "Can Composite Value Measures Enhance Portfolio Performance?” Journal of Investing, 13 (4), Winter 2004, 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, 8 (2), 2002, 139-158, with H.Shin
  • "An International Investigation of the Influence of Growth Opportunities on Firm Liquidity," International Journal of Finance, 13 (1), 2001, 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, 4, 2001, 189-202, with H. Jo and E. Kang.
  • "The Value Premium for Small-Capitalization Stocks," Financial Analysts Journal, 55 (5), Sept./Oct. 1999, 60-68, with M. Dhatt and S. Mukherji.
  • "Relations Between Stock Returns and Fundamental Variables: Evidence from a Segmented Market,” Asia-Pacific Financial Markets, 6 (3), 1999, 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, 61-68, with P. Fanara and S. Mukherji.
  • "The Effect of Stock Splits on the Ownership Structure of Firms," Journal of Corporate Finance, 3 (2), 1997, 167-188, with S. Mukherji and M. Walker.
  • "A Fundamental Analysis of Korean Stock Returns," Financial Analysts Journal, 53 (3), May/June 1997, 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, 32 (2), May 1997, 249-272, with M. Dhatt and S. Mukherji.
  • "The Role of Stock Dividends in Korea," Global Finance Journal, 8 (2), 1997, 297-311, with M. Dhatt and S. Mukherji.
  • "The Demise of Stock Splits in Korea," International Journal of Finance, 8 (4), 1996, 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, 183-202, with M. Dhatt and S. Mukherji.
  • "Seasoned Equity Issues: The Korean Experience," Pacific-Basin Finance Journal, 4 (1), 1996, 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, 7 (1), 1996, 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, 3, 1996, 151-168, with J. Choi and D. Ghosh.
  • "Adverse Selection, Investment Opportunities and Uninsured Rights Issues: Evidence from Korea" (abstract), Journal of Finance, 49 (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, 20 (2), Winter 1995, 43-58, with D. McConaughy and M. Dhatt.
  • "Japanese Stock Price Reactions to Stock Dividend Distributions," Pacific-Basin Finance Journal, 2 (1), March 1994, 43-60, with M. Dhatt and S. Mukherji.
  • "Finacial Theorny, Corporate Strategy and Analytic Hierarchy Process," Essays in Honor of Professor B.K. Shim, Seoul National University Press, Feb. 1994, 515-44, with V. Srinivasan. (Invited Article)
  • "Payment Systems in a Rapidly Developing Asian Economy," Journal of Cash Management, 14 (1), Jan./Feb. 1994, 50-53, with K. Sudhakar.
  • "Corporate Efficiency, Profitability, and Value Changes after the IPO," Journal of Small Business Finance, 3 (2), 1994, 167-170, with D. McConaughy and M. Dhatt.
  • "The Changing World of Banking and Finance," Essays in Honor of Professor S.W. Kang, 1993, 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, 1993,120-139, with B. N. Stedman.
  • "A Contingent Claims Analysis of Trade Credit," Financial Management, 21 (3), Autumn 1992, 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, 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, 4 (B), 1990, 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, 17 (3), 1990, 381-390, with K. H. Chung.
  • "Economic Analysis of Inventory Systems: A Further Clarifying Analysis," The Engineering Economist, 35 (1), Fall 1989, 75-80, with K. H. Chung.
  • "Inventory Management Under Uncertainty: A Financial Theory for the Transactions Motive," Managerial and Decision Economics, 10 (4), December 1989, 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, 3, 1989, 75-93, with V. Srinivasan and P. J. Bolster.
  • "Designing Expert Financial Systems: A Case Study of Corporate Credit Management," Financial Management, 1988, 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, 381-397, with V. Srinivasan.
  • "Credit Granting: A Comparative Analysis of Classification Procedures," Journal of Finance, 42 (3), 1987, 665-681, with V. Srinivasan.
  • "Effective Cash Management Through Variance Analysis," Canadian Cash Management Journal (CMAC), 3 (2), 1987, 41-45, with V. Srinivasan. (Invited Article)
  • "The Bierman Hausman Credit Granting Model: A Note," Management Science, 33 (10), 1987, 1361-1362, with V. Srinivasan.
  • "Evaluating Interrelated Capital Projects: An Alternative Framework," The Engineering Economist, 33 (1), 1987, 13-30, with V. Srinivasan.
  • "Decision Support for Integrated Cash Flow Management," Decision Support Systems, 2 (4), 1986, 347-363, with V. Srinivasan.
  • "Abandonment Value in Capital Budgeting: A Mathematical Programming Approach," Computers and Operations Research, 13 (6), 1986, 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, 9 (2), 1986, 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, 53 (1), 1986, 29-48, with F. W. McKenna. (Lead Article)
  • "Corporate Cash Management in a Developing Economy: The Case of India," The Journal of Cash Management, 6 (3), May-June 1986, 44-49. with V. Srinivasan and S. P. S. Gulati.
  • "Evaluating Investment in Inventory Policy: A Net Present Value Framework," The Engineering Economist, 312, 1986, 119136, 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., 1988504 512.
  • "Deterministic Cash Flow Management: State of the Art and Research Directions," OMEGA: The International Journal of Management Science, 14 (2), 1986, 145-166, with V. Srinivasan.
  • "Payments Netting in International Cash Management: A Network Optimization Approach," Journal of International Business Studies, 17 (2), 1986, 1-20, with V. Srinivasan. (Lead Article)
  • "Economic Analysis of Inventory Systems: A Clarifying Analysis," International Journal of Production Research, 23 (4), 1985, 761 767, with K. H. Chung.
  • "A Network Optimization Approach to Efficient Cash Management in India," Asia-Pacific Journal of Operational Research, 2, May 1985, 54-65, with V. Srinivasan.
  • "Cash Flow Management: A Decision Support System Approach," The Journal of Cash Management, 4 (6), November-December 1984, 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, 146, 1984, 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, 8 (1), 1983, 2-27, with A. F. Thompson and P. W. Glasgo. (Invited Lead Article)
  • "Evaluating Investment in Accounts Receivable: A Wealth Maximizing Framework," Journal of Finance, 33 (2), 1978, 403-412, with J. C. Atkins. An abstract of the paper was published in The Journal of Economic Literature, 16 (4), 1978, 1785.
  • "Comments and Correction: Opportunity Cost in the Evaluation of Investment in Accounts Receivable," Financial Management, 6 (4), 1977, 71-74, with J. C. Atkins.
  • "A Study on Critical Path Method: Its Fundamentals and Applications," The Korean Business Journal, 3 (2), 1969, 66-92. (Invited Article in Korean)
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Brian Kluger, PhD - Professor of Finance
  • “Financial Engineering and Rationality: Experimental Evidence Based on the Monty Hall Problem.” Journal of Behavioral Finance. Forthcoming. (with D. Friedman)
  • “Probability Judgment Error and Speculation in Laboratory Asset Market Bubbles.” Journal of Financial and Quantitative Analysis. 2009. 44, 719-744. (with L. Ackert, N. Charaput and R. Deaves)
  • “Illustrating the Capital Asset Pricing Model: A Classroom Asset Market.” Perspectives in Economic Education. 2006. 2(1), 34-51. (with P. Adams and M. McBride)
  • “Are Judgment Errors Reflected in Market Prices and Allocations: Experimental Evidence based on the Monty Hall Problem.” Journal of Finance. 2004. 59, 969-997. (with Steve Wyatt)
  • “Preferencing, Internalization of Order Flow and Tacit Collusion: Evidence from Experiments.” Journal of Financial and Quantitative Analysis. 2002. 37, 449-469. (with Steve Wyatt)
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Steve L. Slezak, PhD - Associate Professor of Finance
  • “Can Corporate Governance Save Distressed Firms from Bankruptcy? An Empirical Analysis,” with Eliezer Fich, Review of Quantitative Finance and Accounting, 30(2), February 2008, pp. 225-251.
  • "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
  • Do Buyouts (Still) Create Value? with S. Guo and E. Hotchkiss, forthcoming, Journal of Finance
  • "Are Fairness Opinions Fair? The Case of Mergers and Acquisitions," with D. Kisgen and J. Qian, Journal of Financial Economics 91 (2009), 179-207
  • "Stock Splits as a Manipulation Tool: Evidence from Mergers and Acquisitions", with S. Guo and M. Liu, Financial Management, winter 2008, 695-712
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Michael C. Walker, PhD - Virgil M. Schwarm Professor of Finance and Investments, Emeritus
  • “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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William Whitaker, MBA, PhD - Professor of Finance
  • A Tale of Three Cities: Warsaw, Budapest and Prague, The Institutional Real Estate Letter, 14: 15, 16, 20 and 41, 2002, with Will McIntosh.
  • Why Should U.S. Institutional Investors Consider International Real Estate Investment?, Global Real Estate Perspective, 2001.
  • Style Attributes of Equity REITs, Real Estate Finance, 17: 31-36, 2000, with Youguo Liang.
  • Conjectures on the Impact of Technology on Real Estate, Real Estate Finance, 17: 11-20, 2000, with Bernard Winograd, Philip Conner and Youguo Liang.
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