Department of
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Finance Department

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Ang, James and Carol Boyer, Forthcoming, "Distinguishing Quality within the IPO market", Advances in Investment Analysis and Portfolio Management.

Ang, James and Carol Boyer, 2007, "Finance and Politics: The Wealth Effects of the Special Interest Group Influence during the Nationalization and Privatization of Conrail", Cambridge Journal of Economics, Online.

Coats, P. and R. Parker, Forthcoming, "EUR/USD Exchange Rates: Evidence of Robust Neuro-connections," Journal of International Business Studies.

Coats, Pamela, Forthcoming, "Capturing Underlying Rules of Movement for Currency Exchange Rates: Artificial Neuro-relationships," International Journal of Applied Forecasting.

Coats, P. and J. Herring, Forthcoming, "Underestimates of Longevity vs. Savings, Options and Solutions: Longitudinal Evidence form the Near Elderly," Working Paper Series on AHEAD Research; National Institute on Aging.

Yung, C., G. Çolak, and W. Wang, "Cycles in the IPO Market," 2007, with C. Yung and W. Wang, forthcoming in Journal of Financial Economics.

Çolak, Gönül and Toni M. Whited, "Spin-offs, Divestitures, and Conglomerate Investment," with Toni M. Whited, Review of Financial Studies, 20 (2007): 557-595.

Boney, Vaneesha, James Doran and Dave Peterson, 2007, "The Effect of SPIDER Exchange Traded Funds on the Cash Flow of Funds of Index Mutual Funds", 6th Annual Guide to Exchange Traded Funds.

Doran, James, 2007, "The Influence of Tracking Error on Volatility Risk Premium Estimation," Journal of Risk, Vol 9, No.3, pp.1-36.

Banerjee, P., J. Doran and D. Peterson, 2007, "Implied Volatility and Future Portfolio Returns", Journal of Banking and Finance, Vol. 31, No. 10, pp. 3183-3199.

Doran, J., D. Peterson and B. Tarrant, 2007, "Is there Information in the Volatility Skew? Predicting Market Crashes", Journal of Futures Markets, Vol. 27, No. 10, pp. 921-959.

Bhattacharya, U., P. Groznik and B. Haslem, Forthcoming, "Is CEO Certification of Earnings Numbers Value-Relevant?", Journal of Empirical Finance.

Bhattacharya, U., N. Galpin and B. Haslem, Forthcoming, "The Homecourt Advantage in International Corporate Litigation", Journal of Law and Economics.

Carbo, Humphrey, Maudos, and Molyneux, Forthcoming, "Cross-Country Comparisons of Competition and Pricing Power in European Banking", Journal of International Money and Finance.

Carbo and Humphrey, Forthcoming, "Technological Innovation in Banking: The Shift to ATMs and Implicit Pricing of Network Convenience", in a book on European banking.

Carbo, S., D. Humphrey and R. Lopez, 2007, "Opening the Black Box: Finding the Source of Cost Inefficiency", Journal of Productivity Analysis, Vol. 27, No. 3, pp. 209-220.

Carbo, S., D. Humphrey and R. Lopez, 2007, "Do Cross-Country Differences in Bank Efficiency Support a Policy of 'National Champions'?", Journal of Banking and Finance, Vol. 31, Issue 7, pp. 2173-2188.

Inci, Ahmet, Forthcoming, "Japanese Yen Futures Returns, Spot Returns, and Risk Premium", Global Finance Journal.

Inci, Ahmet, Forthcoming, "US-Swiss Term Structures, Exchange Rates, and Risk Premia", Global Finance Journal.

Inci, A. and B. Lu, 2007, "Currency Futures-Spot Basis and Risk Premium", Journal of International Financial Markets, Institutions, and Money, Vol. 17.2, pp. 180-197.

Arkes, Hall, David Hirshleifer, Danling Jiang and Sonya Lim, Forthcoming, "Reference point adaptation: Tests in the domain of security trading," Organizational Behavior and Human Decision Processes.

Lee, Bong Soo and Sei-Wan Kim, Forthcoming, Stock Returns, Asymmetric Volatility, Risk Aversion, and Business Cycle: Some New Evidence," Economic Inquiry.

Lee, Bong Soo, Oliver Rui and Wenfeng Wu, 2007, "Market Segmentation and Stock Prices Discount in the Chinese Stock Market: Revisiting B-share discounts in the Chinese stock market" Asia-Pacific Journal of Financial Studies.

Lee, Bong Soo and Youngsoo Kim, 2007, "Limited Participation and the Closed-end Fund Discount", Journal of Banking and Finance, Vol. 31, Issue 2, pp. 381-399.

Jiang, John and Bong Soo Lee, 2007, "Stock returns, Dividend Yield, and Book-to-Market Ratio," Journal of Banking and Finance, Vol. 31, Issue 2, pp. 455-475.

Lee, Bong Soo and Oliver Rui, 2007, "Time-Series Behavior of Share Repurchases and Dividends," Journal of Financial and Quantitative Analysis, Vol. 42, No. 1, pp. 119-142.

Keene, Marvin and David Peterson, 2007, "The Importance of Liquidity as a Factor in Asset Pricing", Journal of Financial Research, Vol. 30, Issue 1, pp. 91-109.

Nagel, Greg, David Peterson and Robert Prati, 2007, "The Effect of Risk Factors on Estimating the Cost of Equity", Quarterly Journal of Business and Economics, Vol. 46, Nos. 1 and 2.

Ang, James and David Ding, 2006, "Government ownership and the performance of government linked companies: The case of Singapore," Journal of Multinational Financial Management, Vol. 16, pp. 54-88.

Ang, James and Shaojun Zhang, 2006, "Underwriting Relationships: Information Production Costs, Underwriting Fees, and First Mover Advantage," Review of Quantitative Finance and Accounting, Vol. 27, No. 2.

Ang, James and Yingmei Cheng, 2006, "Direct evidence on the market driven acquisitions theory," Journal of Financial Research, pp. 119-216.

Cheng, Yingmei, M. Liu and J. Qian, 2006, "Buy-side Analysts, Sell-side Analysts, and Investment Decisions of Money Managers", Journal of Financial and Quantitative Analysis, Volume 41, Issue1, Page 51-83.

Coats, Pamela, 2006, "Random Shocks to Wealth and the Redistribution of Precautionary Saving for Retirement: Uncovering Portfolio Characteristics of the Near Elderly Using Neural Networks," [Result of my COFRS grant, Summer 2003], Journal of Gerontological Social Work, v. 47, issue 1/2.

Doran, James and Ehud Ronn, 2006, "The Bias in Black-Scholes/Black Implied Volatility: An Analysis of Equity and Energy Markets," Review of Derivatives Research.

Bolt, W. and D. Humphrey, 2006, "Scale Economies in Debit Card Use and the Replacement of Cash and Stored Value Cards", Published as a Dutch National Bank working paper.

Humphrey, David, 2006, "Electronic Payments and ATMs: Changing Technology and Cost Efficiency in Banking", Competition and Profitability in European Financial Services, Strategic, Systemic and Policy Issues, in Balling, M., F. Lierman, and A. Mulllineaux (eds.), Routledge, Abingdon (UK), 2006: 96-113.

Bergendahl, G., D. Humphrey, T. Lingblom and M. Willesson, 2006, "Benefits for a Changing Payment Technology in European Banking", Journal of Banking and Finance, June 2006: 1631-52

Humphrey, David, 2006, "Costs, Cash Substitution, Bank Benefits, and Pricing of Payment Cards", Papeles de Economia Espanola, Fundacion de las Cajas de Ahorros, Madrid, 2006: 46-58.

Inci, Ahmet, 2006, "Co-integrating Currencies and Yield Differentials", Review of Financial Economics, Vol. 15.2, pp. 159-175.

Knill, April and Kristina Minnick and Ali Nejadmalayeri, 2006, "Selective Hedging, Information Asymmetry and Futures Prices," Journal of Business, Vol. 79, pp. 1475-1501.

Chuang, Alex and Bong Soo Lee, 2006, "An Empirical Evaluation of the Over-confidence Hypothesis," Journal of Banking and Finance, 30:9, pp. 2489-2515.

Jiang, John and Bong Soo Lee, 2006, "On the Dynamic Relation between Returns and Idiosyncratic Volatility," Financial Management, Vol. 35:2, Summer, pp. 43-65.

Lee, Bong Soo and Jungwon Suh, 2006, "What Drives Volatile Emerging Stock Market Returns?", Pacific Basin Finance Journal 13, pp. 367-385.

Lee, Bong Soo, 2006, "An Empirical Evaluation of Behavioral Models Based on Decompositions of Stock Prices," Journal of Business, Vol. 79:1, pp. 393-428.

Ang, James and Carol Boyer, 2005, "Alteration of Systematic Risk due to Derivatives Markets," Focus on Financial Institutions and Services.

Ang, James, Ansing Chen and James Lin, 2005, Ascertaining the Effect of Employees Stock Bonus," Applied Economics.

Ang, James and Yingmei Cheng, 2005, "Financial Innovation and Market Efficiency: the Case for Single Stock Futures," Journal of Applied Finance, Summer, Vol. 15, No.1, pp.38-51.

Ang, James and Yingmei Cheng, 2005, "Single Stock Futures: Listing Selection and Trading Volume," Finance Research Letters, March.

Cheng, Yingmei, 2005, "Post-listing Underperformance: Is It Really Bad to Move Trading Locations?" Journal of Corporate Finance, December, Vol. 12, Issue 1, pp. 97-120.

Coats, Pamela and J. Herring, 2005, "A Framework for Analyzing and Managing Retirement Risks: Longitudinal Evidence from the Near Elderly," National Institute on Aging, v. 7, Report No. 05-030, June.

Doran, James, 2005, "Estimation of the Risk Premiums in Natural Gas Markets," The ICFAI Journal of Derivatives Markets, Vol. II, No. 4, pp.23-54, October.

Haslem, Bruce, 2005, "Managerial Opportunism during Corporate Litigation," Journal of Finance, Vol. 60, No. 4, Aug, pp. 2013-2043.

Humphrey, David and T. Khiaonarong, 2005, "Use and Substitution of Cash and Electronic Payments in Asia," South East Asian Central Banks (SEACEN), Summer.

Inci, A. Can, 2005, "ERM Effects on Currency Spot and Futures Markets," Global Finance Journal, Vol. 16, No. 2, pp. 145-163.

Lee, Bong-Soo and Jungwon Suh, 2005, "What Drives Volatile Emerging Stock Market Returns?" Pacific Basin Finance Journal, 13, pp. 367-385.

Lee, Bong-Soo and John Jiang, 2005, "An Empirical Test of the Accounting-Based Residual Income Model and Traditional Dividend Discount Model," Journal of Business, Vol. 78, No. 4, pp. 1465-1504.