Finance

Overview

The finance group’s research covers a wide spectrum of topics including empirical and theoretical asset pricing, empirical and theoretical corporate finance, market microstructure, financial econometrics, organizational economics, and banking. More recently, faculty have worked in topics examining the pricing of volatility risk, FX carry trades, corporate governance and activism, private equity, labor and finance, and law and finance.

Members of the group have published in leading journals including The Journal of Finance, Review of Financial Studies, Journal of Financial Economics, Review of Finance, Journal of Financial and Quantitative Analysis, and Management Science. Faculty members frequently present at international conferences including the annual meetings of the American Finance Association, Western Finance Association, and European Finance Association, plus NBER and CEPR meetings.

Team

Publications

2024

• Malkhozov A., Hanson SG., Venter G. Demand-and-Supply Imbalance Risk and Long-Term Swap Spreads, Journal of Financial Economics (2024)

2023

• Nikolowa R., Ferreira D. Prestige, Promotion, and Pay, Journal of Finance (2023)
• Skiadopoulos G., Faccini R., Matin R. Dissecting Climate Risks: Are they Reflected in Stock Prices?, Journal of Banking & Finance (2023)
• Skiadopoulos G., Hiraki K. The Contribution of Transaction Costs to Expected Stock Returns: A Novel Measure, Journal of Derivatives (2023)

2022

• Nikolowa, R., Ferreira, D., Li, J. Corporate Capture of Blockchain Governance, The Review of Financial Studies (2022)

2021

• Buraschi A,. Piatti I., Whelan P. Subjective Bond Returns and Belief Aggregation , Review of Financial Studies (2021)
• Gkionis K., Kostakis A., Skiadopoulos G., Stilger PS. Positive Stock Information in Out-of-the-Money Option Prices, Journal of Banking and Finance (2021)
• Gkionis K., Kostakis A., Skiadopoulos G., Stilger PS. Positive Stock Information in OTM Option Prices, Journal of Banking and Finance (2021)

2020

• Degryse H., Ioannidou V., Liberti J., Sturgess J. When Do Laws and Institutions Affect Recovery Rates on Collateral?, Review of Corporate Finance Studies (2020)

2019

• Hwang B-H., Liberti JM., Sturgess J. Information sharing and spillovers: Evidence from financial analysts, Management Science (2019)
• Kapetanios G., Konstantinidi E., Neumann M., Skiadopoulos G. Jumps in Option Prices and their Determinants: Real-Time Evidence from the E-mini S&P 500 Option Market, Journal of Financial Markets (forthcoming)
• Lambrinoudakis C., Skiadopoulos G., Gkionis K. Capital structure and financial flexibility: Expectations of future shocks , Journal of Banking and Finance (2019)
• Piatti I., Trojani F. Dividend Growth Predictability and the Price–Dividend Ratio, Management Science (2019)

2018

• Bernales A., Cortazar G., Salamunic L., Skiadopoulos G. Learning and Index Option Returns, Journal of Business and Economic Statistics (2018)
• Breedon F. On the Transactions Cost of UK Quantitative Easing, Journal of Banking and Finance (2018)
• Faccini R., Konstantinidi E., Skiadopoulos G., Sarantopoulou S. A New Predictor of U.S. Real Economic Activity: The S&P 500 Option Implied Risk Aversion, Management Science (2018)
• Liberti J., Sturgess J. The Anatomy of a Credit Supply Shock: Evidence from an Internal Credit Market, Journal of Financial and Quantitative Analysis (2018)

2017

• Calomiris C., Larrain M., Liberti J., Sturgess J. How Collateral Laws Shape Lending and Sectoral Activity, Journal of Financial Economics (2017)
• Daskalaki C., Skiadopoulos G., Topaloglou N. Diversification benefits of Commodities: A Stochastic Dominance Efficiency Approach, Journal of Empirical Finance (2017)
• Giannetti M., Liberti J., Sturgess J. Information Sharing and Rating Manipulation, Review of Financial Studies (2017)
• Nikolowa R. Motivate and Select: Relational Contract with persistent Types, Journal of Economics and Management Strategy (2017)
• Olaru I., Zachariadis KE. The Impact of Security Trading on Corporate Restructurings, Review of Finance (2017)

2016

• Breedon F., Rime D., Vitale P. Carry Trades, Order Flow and the Forward Bias Puzzle, Journal of Money Credit and Banking (2016)
• Cvijanovic D., Dasgupta A., Zachariadis KE. Ties that Bind: How Business Connections Affect Mutual Fund Activism, Journal of Finance (2016)
• Konstantinidi E., Skiadopoulos G. How does the Market Variance Risk Premium vary over Time? Evidence from S&P 500 Variance Swap Investment Returns, Journal of Banking and Finance (2016)
• Porras Prado M., Saffi PAC., Sturgess J. Ownership Structure, Limits to Arbitrage and Stock Returns: Evidence from Equity Lending Markets, Review of Financial Studies (2016)

2015

• Aggarwal R., Saffi PAC., Sturgess J. The Role of Institutional Investors in Voting: Evidence from the Securities Lending Market, Journal of Finance (2015)

2014

• Daskalaki C., Kostakis A., Skiadopoulos G. Are there common factors in individual commodity futures returns?, Journal of Banking and Finance (2014)
• Satterthwaite M., Williams S., Zachariadis KE. Optimality versus Practicality: A comparison of two double auction mechanisms, Games and Economic Behavior (2014)

2013

• Breedon F., Ranaldo A. Intraday Patterns in FX returns and order flow, Journal of Money Credit and Banking (2013)
• Neumann M., Skiadopoulos G. Predictable Dynamics in Higher Order Risk-Neutral Moments: Evidence from the S&P 500 Options, Journal of Financial and Quantitative Analysis (2013)

2012

• Jiang G., Konstantinidi E., Skiadopoulos G. Volatility Spillovers and the Effect of News Announcements, Journal of Banking and Finance (2012)

2011

• Acharya VV., Imbs J., Sturgess J. Finance and Efficiency: Do Bank Regulations Matter?, Review of Finance (2011)
• Daskalaki C., Skiadopoulos G. Should Investors include Commodities in their Portfolios after All? New Evidence, Journal of Banking and Finance (2011)
• Kostakis A., Panigirtzoglou N., Skiadopoulos G. Market Timing with Option-Implied Distributions: A Forward-Looking Approach, Management Science (2011)

2010

• Beber A., Breedon F., Buraschi A. Differences in Beliefs and Currency Risk premiums, Journal of Financial Economics (2010)

Events

Seminars

View past seminars