Research

 

The Department seeks to be a source of high-impact scholarly research on important issues in Finance, Real Estate, Insurance, and Risk Management.  Our goal is to consistently produce research that appears in the best journals in our fields.  The list below provides a record of publications by our faculty in the very best finance, insurance, risk management and real estate journals. (The author with a current UC affiliation or with a UC affiliation at the time of publication or acceptance is highlighted in bold.)

 

Forthcoming

“Dynamic Portfolio Choice with Linear Rebalancing Rules,” forthcoming, Ciamac Moallemi and Mehmet Sağlam, Journal of Financial and Quantitative Analysis.

“Time-Varying Beta and the Value Premium,”, forthcoming, Hui Guo, Chaojiang Wu, and Yan Yu, Journal of Financial and Quantitative Analysis.

“The Cross Section of Expected Real Estate Returns: Insights from Investment-based Asset Pricing,” forthcoming, Shaun Bond and Chen Xue, Journal of Real Estate Finance and Economics.

“Incentivizing Green Single-Family Construction: Identifying Effective Government Policies and Their Features,” forthcoming, Shaun Bond and Avis Devine, Journal of Real Estate Finance and Economics.

“Certification Matters: Green Talk is Cheap Talk”, forthcoming, Shaun Bond and Avis Devine, Journal of Real Estate Finance and Economics.

 

2017

“A Burning Question: Does Arson Increase when Local House Prices Decrease?” 2017, Mike Eriksen and James Carson, Journal of Risk and Insurance.

 

2016

“The Corporate Value of (Corrupt) Lobbying,” 2016, Alexander Borisov, Nandini Gupta, and Eitan Goldman, Review of Financial Studies.

“Optimal Inside Debt Compensation and the Value of Equity and Debt,” 2016, Timothy Campbell, Neal Galpin, and Shane Johnson, Journal of Financial Economics.

“A Better Measure of Institutional Informed Trading,” 2016, Hui Guo and Buhui Qiu, Contemporary Accounting Research.

“The Impact of Employment on Parental Co-Residence,”, 2016, Gary Engelhardt, Mike Eriksen, and Nadia Greenhalgh-Stanley, Real Estate Economics.

 

2015

“Digesting anomalies: An investment approach,” 2015, Chen Xue, Kewei Hou, and Lu Zhang, Review of Financial Studies.

“Housing Vouchers and the Price of Rental Housing,” 2015, Mike Eriksen and Amanda Ross, American Economic Journal: Economic Policy.

“Firm Mortality and Natal Financial Care,”, 2015, Utpal Bhattacharya, Alexander Borisov, and Xiaoyun Yu, Journal of Financial and Quantitative Analysis.

“Trading Patterns and Market Integration in Overlapping Financial Markets,” 2015, P. Chelley‑Steeley, Brian Kluger, J. Steeley, and P. Adams, Journal of Financial and Quantitative Analysis.

“The Impact of Leveraged and Inverse ETFs on Underlying Real Estate Returns,” 2015, Qing Bai, Shaun Bond, and Brian Hatch, Real Estate Economics.

 

2014

“On the Relation between EGARCH Idiosyncratic Volatility and Expected Stock Returns,” 2014, Hui Guo, Haim Kassa, and Mike Ferguson, Journal of Financial and Quantitative Analysis.

 

2013

“The Asset Growth Effect and Market Efficiency: Insights from International Stock Markets,” 2013, Akiko Watanabe, Yan Xu, Tong Yao, and Tong Yu, Journal of Financial Economics, 526-563.

“A supply approach to valuation,” 2013, Chen Xue, Frederico Belo, and Lu Zhang , Review of Financial Studies, 26, 3029-3067.

“The cost of latency in high-frequency trading, 2013, Mehmet Saglam and Ciamac Moallemi, Operations Research 61, 1070-1086.

“The Impact of Housing Vouchers on Mobility and Neighborhood Attributes,” 2013, Mike Eriksen and Amanda Ross, Real Estate Economics, 255-277.

“The Impact of Second Loans on Subprime Mortgage Defaults,” 2013, Mike Eriksen, James Kau, and Keenan Donald, Real Estate Economics.

 

2012

“Shareholder Influence over Director Nomination via Proxy Access: Implications for Agency Conflict and Stakeholder Value,” 2012, Joanna Campbell, Timothy Campbell, David Sirmon, Len Bierman, and Chris Tuggle, Strategic Management Journal.

“Commercial Real Estate Returns: An Anatomy of Smoothing in Asset and Index Returns,” 2012, Shaun Bond, S. Hwang, and G. Marcato, Real Estate Economics, 40, 637-661.

“A Class of Discrete Transformation Survival Model with Application to Default Probability Prediction,” Adam A. Ding, Shaonan Tian, Yan Yu, and Hui Guo, Journal of the American Statistical Association.

 

2011

“CEO Optimism and Forced Turnover,” 2011, Timothy Campbell, Mike Gallmeyer, Shane Johnson, Jessica Rutherford, and Brooke Stanley, Journal of Financial Economics, 695-712.

"Do Buyouts (Still) Create Value?"  2011, Shourun Guo, Edith S. Hotchkiss, and Weihong Song, Journal of Finance 66, 479-517.

“Accruals and Conditional Equity Premium,” 2011, Hui Guo and Xiaowen Jiang, Journal of Accounting Research.

“IPO First-Day Return and Ex Ante Equity Premium,” 2011, Hui Guo, Journal of Financial and Quantitative Analysis, 46, 871-905.

 

2010

“Crowd Out, Stigma, and the Effect of Place-based Subsidized Housing,” 2010, Mike Eriksen and Stuart Rosenthal, Journal of Public Economics.

"Alpha and Persistence in Real Estate Fund Performance", 2010, S.A. Bond and P. Mitchell, Journal of Real Estate Finance and Economics, 41, 53-79.

"Volatilities and Momentum Returns in Real Estate Investment Trusts,” 2010, John Glascock and K. Hung, Journal of Real Estate Finance and Economics, 41, 126-149.

 

2009

"Are Fairness Opinions Fair? The Case of Mergers and Acquisitions,” 2009, D. Kisgen, J. Qian, and Weihong Song, Journal of Financial Economics, 91.

"Is the Value Premium a Proxy for Time-Varying Investment Opportunities: Some Time Series Evidence,” 2009, Hui Guo, Robert Savickas, J. Yang, and Z. Wang, Journal of Financial and Quantitative Analysis, 44, 133-154.

"Probability Judgment Error and Speculation in Laboratory Asset Market Bubbles,” 2009, L. F. Ackert, N. Charaput, R. Deaves, and Brian Kluger, Journal of Financial and Quantitative Analysis, 44, 719-744.

 

2008

"Average Idiosyncratic Volatility in G7 Countries,” 2008, Hui Guo and Robert Savickas, Review of Financial Studies, 1259-1296.

“Do Mutual Funds Profit from Accruals Anomalies?”, Ashiq Ali, Xuanjuan Chen, Tong Yao, and Tong Yu, Journal of Accounting Research.

“Effects of Individual Development Accounts on Asset Purchases and Saving Behavior: Evidence from a Controlled Experiment,” 2008, Gregory Mills, William Gale, Rhiannon Patterson, Gary Engelhardt, Mike Eriksen, and Emil Apostolov, Journal of Public Economics.

“Catastrophic Losses and Firm Profitability: Evidence from 9/11,” 2008, Xuanjuan Chen, Helen Doerpinghaus, Bingxuan Lin, and Tong Yu, Journal of Risk and Insurance.

“The Wealth Effect of Demutualization: Evidence from the U.S. Property-Liability and Life Insurance Industries,” 2008, Gene Lai, Michael McNamara, and Tong Yu, Journal of Risk and Insurance.

 

2007

“Do Mutual Funds Time the Market? Evidence from Portfolio Holdings,” 2007, George Jiang, Tong Yao, and Tong Yu, Journal of Financial Economics.

"Lease Maturity and Initial Rent: Is There a Term Structure for UK Commercial Property Leases," 2007, Shaun A. Bond, P. Loizou, and P. McAllister, Journal of Real Estate Finance and Economics, 36, 451-469.

"Marketing Period Risk in a Portfolio Context: Theory and Empirical Estimates from the UK Commercial Real Estate Market,” 2007, Shaun A. Bond, S. Hwang, Z. Lin, and K Vandell, Journal of Real Estate Finance and Economics, 34, 447-461.

"Smoothing, Nonsynchronous Appraisal and Cross-Sectional Aggregation in Real Estate Price Indices,” 2007, Shaun A. Bond and S. Hwang, Real Estate Economic, 35, 349-382.

 

2006

"Uncovering the Risk-Return Relation in the Stock Market,” 2006, Hui Guo and Robert Whitelaw, Journal of Finance, 61,1433-1463.

"An Equilibrium Model of Incentive Contracts in the Presence of Information Manipulation,” 2006, Eitan Goldman and Steve L. Slezak, Journal of Financial Economics, 80, 603-626.

"Asymmetry, Loss Aversion and Forecasting.” 2006, Shaun A. Bond and S.E. Satchell, Journal of Business, 79, 1809-1830.

"On the Out-of-Sample Predictability of Stock Market Returns,” 2006, Hui Guo, Journal of Business, 79, 645-670.

"A web of shocks: Crises Across Asian Real Estate Markets,” 2006, Shaun A. Bond, M. Dungey, and R. Fry, Journal of Real Estate Finance and Economics, 32, 253-274.

“How Does Background Risk Affect Investment Risk-taking? Evidence from Insurers’ Corporate Bond Portfolios,” 2006, Xuanjuan Chen, Tong Yao, and Tong Yu, Geneva Paper on Risk and Insurance: Issues and Practice.

 

2005

“Cash Balance Plan Conversions: Evidence on the Excise Tax and Implicit Contracts,” Greg Niehaus and Tong Yu, Journal of Risk and Insurance.

 

2004

"Are Judgement Errors Reflected in Market Prices and Allocations? Experimental Evidence Based on the Monty Hall Problem" 2004, Brian Kluger and Steve B. Wyatt, Journal of Finance, 59, 969-997.

"Limited Stock Market Participation and Asset Prices in a Dynamic Economy.” 2004, Hui Guo, Journal of Financial and Quantitative Analysis, 39, 495-516.

"Toward a National Market System for U.S. Exchange-Listed Equity Options,” 2004, Robert Battalio, Brian Hatch, and Robert Jennings, Journal of Finance, 59, 933-962.

 

2003

"Delegated Portfolio Management and Prolonged Mispricing" 2003, Eitan Goldman and Steve L. Slezak, the Journal of Finance.

"Equilibrium Anomalies" 2003, Michael Ferguson and Richard Schockley, Journal of Finance, 58, 2549-2580.

"International Real Estate Returns: A Multifactor, Multicountry Approach,” 2003, Shaun A. Bond, G. A. Karolyi, and A. B. Sanders, Real Estate Economics, 31, 481-500.

"A Measure of Fundamental Volatility in the Commercial Property Market,” 2003, Shaun A. Bond, and S. Hwang, Real Estate Economics, 31, 577-600.

"On The Impossibility Of Weak-Form Efficient Markets,” 2003, Steve Slezak, Journal of Financial and Quantitative Analysis, 38.

"The Conditional Distribution of Real Estate Returns: Are Higher Moments Time Varying?,” 2003, Shaun A. Bond, and K. Patel, Journal of Real Estate Finance and Economics, 26, 319-339.  

“Do Property and Liability Insurance Underwriting Margins Have Unit Roots?”, 2003, Scott Harrington and Tong Yu, Journal of Risk and Insurance.

 

2002

"Does the Limit Order Routing Decision Matter?,” 2002, Robert Battalio, Jason Greene, Brian Hatch and Robert Jennings , Review of Financial Studies, 15, 159-194.

"Preferencing, Internalization Of Order Flow And Tacit Collusion: Evidence From Experiments" 2002, Brian Kluger and Steve B. Wyatt, Journal of Financial and Quantitative Analysis.

"The Impact of Specialist Firm Acquisitions on Market Quality,” 2002, Brian Hatch and Shane Johnson, Journal of Financial Economics, 66, 139-67.

 

2001

"Execution Costs and Their Intraday Variation in Futures Markets,” 2001, Mike Ferguson and Steven C. Mann, Journal of Business, 74, 125-160.

 

2000

"Indexed Executive Stock Option" 2000, Shane Johnson and Yisong Tian, Journal of Financial Economics, 57, 35-64.

"Is Lending Discrimination Always Costly?,” 2000, Mike Ferguson and Stephen R. Peters , Journal of Real Estate Finance and Economics, 21, 23-44.

"The Value and Incentive Effects of Non-traditional executive stock option plans" 2000, Shane Johnson and Yisong Tian, Journal of Financial Economics, 57, 3-34.

"Two Decades of Commercial Property Returns: A Repeated-Measures Regression-Based Version of the NCREIF Index,” 2000, David Geltner and William Goetzmann, Journal of Real Estate Finance & Economics.

 

Pre 2000

“REIT-based pure play portfolios:  The case of property types,” 1998, Brian Kluger and David Geltner, Real Estate Economics 26, 581-612.

“SOES Trading and Market Volatility,” 1997, Brian Hatch, Robert Battalio, and Robert Jennings, Journal of Financial and Quantitative Analysis, 32:225-38.

“What Constitutes Evidence of Discrimination in Lending?,”1995, Michael Ferguson and Stephen R. Peters, Journal of Finance, 50, 739-748.

“Atheory of the dynamics of security returns around market closures,” 1994, Steve Slezak, Journal of Finance, 49, 1163-1212.

“Insider trading, outside search and resource allocation:  Why firms and society may disagree on insider trading restrictions,” 1994, Steve Slezak, Naveen Khanna, and Michael Bradley, Review of Financial Studies 7, 575-608.

“Integrating auction and search markets:  The slow Dutch auction,” 1992, Brian Kluger, Paul Adams, and Steve Wyatt, Journal of Real Estate Finance and Economics 5, 239-253

"Credit Granting: A Comparative Analysis of Classification Procedures," 1987, Yong Kim and V. Srinivasan, Journal of Finance, 42, 665-681.

"The Bierman-Hausman Credit Granting Model: A Note," 1987, Yong Kim and V. Srinivasan, Management Science, 33, 1361-1362.

"Evaluating Investment in Accounts Receivable: A Wealth Maximizing Framework," 1978, Yong Kim and J. C. Atkins, Journal of Finance, 33, 403-412.

“Estimation of Time-Independent Markov Processes with Aggregate Data: A Comparison of Techniques.” 1981, Christine Kelton, Econometrica; 49:517-518.