Recent Publications and Accepted Papers
- "A Review of Merton's Model of the Firm's Capital Structure with its Wide Applications," (2013), in the Annual Review of Financial Economics, 5
- "Liability Investment with Downside Risk," with Andrew Ang and Bingxu Chen, (2013), forthcoming in the Journal of Portfolio Management
- "On the Design of Contingent Capital with a Market Trigger," with Zhenyu Wang, (2013), forthcoming in the Journal of Finance
- "Managing Corporate Liquidity: Strategies and Pricing Implications," with A. Asvanunt and M. Broadie, (2011), in the International Journal of Theoretical and Applied Finance, 14(3)
- “Development of financial markets in Asia and the Pacific: the international financial crisis and policy challenges,” BIS Papers, No 52, The international financial crisis and policy challenges in Asia and the Pacific , Proceedings of the wrap-up conference of the Asian Research Programme, Shanghai, 6–8 August 2009. Monetary and Economic Department, July 2010.
- “Collateral Values By Asset Class: Evidence from Primary Securities Dealers”, with Leonardo Bartolini, Spence Hilton, and Christopher Tonetti, (2011), in the Review of Financial Studies, 24(1), 248-278
- “Y2K Options and the Liquidity Premium in Treasury Markets,” with Zhenyu Wang,(2009) in the Review of Financial Studies, 22(3), 1021-1056
- “The Impact of Collateralization on Swap Rates,” with Michael Johannes, in the Journal of Finance, VOL. LXII, NO. 1 February 2007.
- “Optimal Debt and Equity Values in the Presence of Chapter 7 and Chapter 11,” with Mark Broadie and Mikhail Chernov, in the Journal of Finance, VOL. LXII, NO. 3 June 2007.
- “Investment under Uncertainty with Strategic Debt Service,” with Neng Wang, in the American Economic Review, Volume 97, No 2, (May 2007), pages 256-261.
Recent Working Papers
- "Bank Liability Structure," with Zhenyu Wang. (2014)
- “Risk Management Framework for Hedge Funds: role of Funding and Redemption Options on Leverage,” with
John Dai. Under review. (2013).
- “Growth Options and Optimal Default Under Liquidity Constraints: The Role of Cash Balances,” with Mark
Broadie and Asvanunt Attakrit, (2013). Under review.
- “Financing Real Options,” with Neng Wang, under Revision. (2013).
- “The Dollar Squeeze of the Financial Crisis,” (2011) with Jean-Marc Bottazzi, Jaime Luque, and Mario
- “Bankruptcy Code, Optimal Liability Structure and Secured Short-Term Debt,” with Jun Kyung Auh,
Sample of Past Publications (with links)
- “Asset Prices and Default-free Term Structure in an Equilibrium Model of Default,” with Ganlin Chang, in the Journal of Business
- “Bidder Behavior in Multiunit Auctions: Evidence from Swedish Treasury Auctions,” with Kjell Nyborg, and Kristian Rydqvist, in the Journal of Political Economy, Volume 78, No 3, (2005), pages 997-1021.
- “Debt Valuation, Renegotiation, and Optimal Dividend Policy,” with Hua Fan, in the Review of Financial Studies, Volume 110, No 2, (April 2002), pages 394-424.
- “Continuous-Time Methods in Finance: A Review and an Assessment,” in the Journal of Finance, Volume 13, No. 4, (Winter 2000), pages 1057-1099.
- “Nontraded Asset Valuation with Portfolio Constraints: A Binomial Approach,” with Jerome Detemple, in the Review of Financial Studies, VOL LV, NO 4, (August 2000), pages 1569-1622.
- “Valuation, optimal asset allocation and retirement incentives of pension plans,” with Fernando Zapatero, in the Review of Financial Studies, Volume 12, No. 4, (1999), pages 835-872.
- “Design and Valuation of Debt Contracts,” with Ronald Anderson, in the Review of Financial Studies, Volume 9, No. 1, (Spring 1996), pages 37-68.
- "Discriminatory versus Uniform Treasury Auctions: Evidence from when-issued transactions,” with Kjell Nyborg, in the Journal of Financial Economics, Volume 9, Volume 42, (1996), pages 63-104.
- “Intertemporally Dependent Preferences and the Volatility of Consumption and Wealth,” in the Review of Financial Studies, Volume 2, No. 1, (1989), pages 37-68.
Sample of past publications (no links)
- "A continuous time equilibrium model of forward prices and futures prices in a multigood economy,” with Scott Richard, in the Journal of Financial Economics, Volume 9, (1981), pages 347-371.
- “Constant Absolute Risk Aversion Preferences and Constant Equilibrium Interest Rates,” in the Journal of Finance, Volume 38, No 1, (1983), pages 205-212.
- “The Relationship Between Spot and Futures Prices in Stock Index Futures Markets: Some Preliminary Evidence,” with David Modest, in the Journal of Futures Markets, (Summer 1983), pages 15-41.
- “Consumption and Equilibrium Interest Rates in Stochastic Production Economies,” in the Journal of Finance, Volume 39, No 1, (1984), pages 77-92.
- “Equilibrium Valuation of Natural Resources,” in the Journal of Business, Volume 57, No 4, (October 1948), pages 493-518.
- “The Valuation of Options on Futures Contracts,” with Krishna Ramaswamy, in the Journal of Finance, Volume 40, No 5, (December 1985), pages 1319-1340.
- “The Valuation of Floating Rate Instruments: Theory and Evidence,” with Krishna Ramaswamy, in the Journal of Financial Economics, Volume 17, No 2, (1986), pages 251-272.
- “Futures Prices on Yields, Forward Prices, and Implied Forward Prices from Term Structure,” in the Journal of Financial and Quantitative Analysis, Volume 26, No 3 (September 1991), pages 409-424.
- "Interest Rate Swaps: An empirical investigation", with Tong-sheng Sun and Ching Wang, in the Journal of Financial Economics, Vol. 34, No. 1, (August 1993), pp. 77-99.
- “Strategic Analysis of Contingent Claims,” with Ronald Anderson, in European Economic Review, Volume 40, No 3-5, (April 1996), pages 871-881.