Financial Economics and Institutions

Research

Select Faculty Research

Jing Ai

 

  • "A Robust Unsupervised Method for Fraud Rate Estimation,” with Patrick L. Brockett, Linda L. Golden, and Montserrate Guillen. 2012. Forthcoming, Journal of Risk and Insurance?
  • “Enterprise Risk Management through Strategic Allocation of Capital,” with Patrick L. Brockett, William W. Cooper, and Linda L. Golden. 2012. Journal of Risk and Insurance, 79 (1), 29-55.
  • “Assessing Consumer Fraud Risk in Insurance Claims with Discrete and Continuous Data,” with Patrick L. Brockett and Linda L. Golden. 2009. North American Actuarial Journal, 13 (4), 438-458.
Rosita Chang

 

  • “Are Lifecyle Funds Getting a Bum Rap? A Comprehensive Comparison of Lifecycle versus lifestyle Retirement Strategies from Accumulation through Withdrawal,” (co-authored with Qianqiu Liu, John Robinson, and Jack DeJong), 2011, The Journal of Wealth Management 14(2), 68-84.
  • “How does the Call Market Method Affect Price Efficiency? Evidence from the Singapore Stock Market,” (co-authored with S. Ghon Rhee, Gregory Stone, and Ning Tong) 2008, Journal of Banking and Finance 32, 2205-2219.
  • “Intra-Day Arbitrage Opportunities in Foreign Exchange and Eurocurrency Markets,” (co-authored with S. Ghon Rhee), 1992, Journal of Finance 47, 363-379.
  • “Inflation-Caused Wealth-Transfer: A Case for the Insurance Industry,” (co-authored with Blair M. Lord and S. Ghon Rhee), 1985, The Journal of Risk and Insurance 52, 627-643.
  • “The Currency-of-Denomination Decision for Debt Financing,” (co-authored with Peter E. Koveos and S. Ghon Rhee, 1985, Journal of International Business Studies 16, 143-150.
Wei Victor Huang

 

  • “Bank Loans with Chinese Characteristics: Inside Debt, Firm Quality, and Market Response,” (co-authored with Warren Bailey and Zhishu Yang), Journal of Financial and Quantitative Analysis, 2011, Vol. 46, No. 6, 1795 - 1830
  • “Return Reversals, Idiosyncratic Risk and Expected Return,” (co-authored with Qianqiu Liu, S. Ghon Rhee, and Liang Zhang), Review of Financial Studies, 2010, Volume 23, issue 1, 147-168.
  • “International Diversification with Large- and Small-cap Stocks,” (ao-authored with Cheol Eun and Sandy Lai), Journal of Financial and Quantitative Analysis, 2008, 43, (2), 489–524.
  • “Financial Integration and Pricing of the World Covariance risk: Large vs. Small-cap Stocks,” Journal of International Money and Finance, 2007, 26 (8), 1311-1337.
  • Rajesh Chakarabarti, Wei Huang, Narayanan Jayaraman, Jinsoo Lee “Price and volume effects of changes in MSCI indices – nature and causes,” (co-authored with Rajesh Chkarabarti, Narayanan Jayaraman, and Jinsoo Lee), Journal of Banking and Finance, 2005, 29 (5), 1237-1264.
Qianqiu Liu

 

  • “Extreme Downside Risk and Expected Stock Returns,” (co-authored with Victor Huang, Ghon Rhee and Feng Wu), forthcoming in the Journal of Banking and Finance.
  • “The 52-Week High Momentum Strategy in International Stock Markets,” (co-authored with Ming Liu and Tongshu Ma), Journal of International Money and Finance, Vol. 30, No. 1, 2011, 180-204.
  • “Return Reversals, Idiosyncratic Risk, and Expected Returns,” (co-authored with Victor Huang, S. Ghon Rhee, and Liang Zhang), Review of Financial Studies, Vol. 23, No. 1, 2010, 147-168.
  • “On Portfolio Optimization: How and When Do We Benefit from High-Frequency Data,” Journal of Applied Econometrics, Vol. 24, No. 4, 2009, 560-582.
  • “Reality Check: The Implications of Applying Sustainable Withdrawal Rate Analysis to Real World Portfolios,” (co-authored with Rosita Chang, Jack De Jong, and John Robinson,) Financial Services Review, Vol. 18, No. 2, 2009, 123-139.
S. Ghon Rhee

 

  • “Return Reversals, Idiosyncratic Risk and Expected Returns” (co-authored with Wei Huang, Qianqiu Liu, and Liang Zhang), 2010, Review of Financial Studies 23, 147-168.
  • “How Does the Call Market Method Affect Price Efficiency? Evidence from the Singapore Stock Market” (co-authored with Rosita P. Chang, Gregory R. Stone and Tony Ning Tang), 2008, Journal of Banking and Finance 32, 2205-2219.
  • “Where Does Price Discovery Occur for Stocks Traded in Multiple Markets? Evidence from Hong Kong and London” (co-authored with Sumit Agarwal and Chunlin Liu), 2006, Journal of International Money and Finance 26, 46-63.
  • "Taxes, Keirestsu Affiliation, and Income-Shifting," (co-authored with Jeffrey Gramlich and Piman Limpaphayom), Journal of Accounting and Economics 37 (2004), 203-228.
  • "Price Limit Performance: Evidence from the Tokyo Stock Exchange," (Co-authored with Kenneth Kim), Journal of Finance 52 (June 1997), 885-901.

Research Centers