2010 Working Papers – Archived

An Autoregressive Approach to House Price Modeling
Chaitra H. Nagaraja, Lawrence D. Brown and Linda H. Zhao, December 2009

On the Size of the Active Management Industry
Lubos Pastor and Robert F. Stambaugh, January 2010

Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions
S. Boragan Aruoba and Francis X. Diebold, January 2010

Stale Prices and the Performance Evaluation of Mutual Funds
Meijun Qian
Forthcoming, Journal of Financial and Qualitative Analysis

High-water Marks and Hedge Fund Compensation
George O. Aragon and Jun “QJ” Qian, December 2009

In Defense of Much, But Not All, Financial Innovation
Robert E. Litan

Institutional Ownership, Analyst Following and Share Prices
Chitru S. Fernando, Vladimir A. Gatchev and Paul A. Spindt, February 2010

Wind-down Plans as an Alternative to Bailouts: The Cross-Border Challenges
Richard J. Herring

Living Wills as a Catalyst for Action
Emilios Avgouleas, Charles Goodhart and Dirk Schoenmaker, February 2010

Scenario Analysis in the Measurement of Operational
Risk Capital: A Change of Measure Approach
Kabir K. Dutta and David F. Babbel, September 2010
An updated version of this paper appears as Working Paper #12-15. This paper is forthcoming in the Journal of Risk and Insurance.

African Financial Systems: A Review
Franklin Allen, Isaac Otchere and Lemma W. Senbet, March 2010

The Mortgage and Financial Crises: The Role of Credit Risk Management and Corporate Governance
William W. Lang and Julapa Jagtiani, February 2010
Forthcoming in Atlantic Economic Journal, 2010

Tractability in Incentive Contracting
Alex Edmans and Xavier Gabaix, March 2010

The Financial Crisis: Miss-Diagnosis and Reactionary Responses
Robert A. Eisenbeis, October 2009

Thoughts on the Future of the Hedge Fund Industry
Christopher C. Geczy, April 2010

Specialization, Productivity and Financing Constraints
Robert Marquez and M. Deniz Yavuz, April 2010

Risk and the CEO Market: Why Do Some Large Firms Hire Highly-Paid, Low-Talent CEOs
Alex Edmans and Xavier Gabaix, May 2010

The African Financial Development Gap
Franklin Allen, Elena Carletti, Robert Cull, Jun “QJ” Qian and Lemma Senbet, September 2010
Earlier version of paper

Dynamic Incentive Accounts
Alex Edmans, Xavier Gabaix, Tomasz Sadzik and Yuliy Sannikov, May 2010
This is an updated version of #09-22

Financial Connections and Systemic Risk
Franklin Allen, Ana Babus and Elena Carletti, July 2010
This is an updated version of #09-33
For a more recent version, please see #10-30

How Important are Foreign Ownership Linkages for International Stock Returns?
Söhnke M. Bartram, John Griffin, and David Ng, June 2010

The Behavior of Intoxicated Investors: The Role of Institutional Investors in Propagating the Crisis of 2007-2008
Alberto Manconi, Massimo Massa, and Ayako Yasuda, June 2010

Behavioral Biases of Mutual Fund Investors
Warren Bailey, Alok Kuman, and David Ng, July 2010

Private Equity Fund Returns: Do Managers Actually Leave Money on the Table?
Robert Marquez, Vikram Nanda, and M. Deniz Yavuz, August 16, 2010

Breaking Down the Barriers: Competition, Syndicate Structure, and Underwriting Incentives
Anil Shivdasani and Wei-Ling Song, March 2010

A Note on Scenario Analysis in the Measurement of Operational Risk Capital: A Change of Measure Approach
David F. Babbel , September 2010

How Important Historically Were Financial Systems for Growth in the U.K., U.S., Germany, and Japan?
Franklin Allen, Forrest Capie, Caroline Fohlin, Hideaki Miyajima, Richard Sylla, Geoffrey Wood, and Yishay Yafeh, October 2010

Transmission of Bank Liquidity Shocks in Loan and Deposit Markets: The Role of Interbank Borrowing and Market Monitoring
Franklin Allen, Aneta Hryckiewicz, Oskar Kowalewski, and Günseli Tümer-Alkan, November 2010

Sterilization in China: Effectiveness and Cost
Chenying Zhang, September 2010

Asset Commonality, Debt Maturity and Systemic Risk
Franklin Allen, Ana Babus, and Elena Carletti, November 2010
This is an updated version of #10-20
An updated version of this paper appears at #11-58
Published as “Asset Commonality, Debt Maturity and Systemic Risk” (with A. Babus and E. Carletti), Journal of Financial Economics, 2012, 104, 519-534.