2011 Working Papers – Archived

#11-01
Stable Value Funds: Performance to Date
David F. Babbel and Miguel A. Herce, January 2011

#11-02
The Impact of Electoral Factors on Commercial Banks in CEE Countries
Krzysztof Jackowicz, Oskar Kowalewski, and Łukasz Kozłowski, January 2011

#11-03
Did Doubling Reserve Requirements Cause the Recession of 1937-1938? A Microeconomic Approach
Charles W. Calomiris, Joseph R. Mason and David C. Wheelock, January 2011

#11-04
House Price Index Methodology
Chaitra H. Nagaraja, Lawrence D. Brown and Susan M. Wachter, June 2010

#11-05
Monetary Policy, Leverage, and Bank Risk-Taking
Giovanni Dell’Ariccia, Luc Laeven and Robert Marquez, December 2010

#11-06
Venture Capital and Other Private Equity: A Survey
Andrew Metrick and Ayako Yasuda, December 2010

#11-07
Systemic Risk and the U.S. Insurance Sector
J. David Cummins and Mary A. Weiss, September 2010

#11-08
Efficiency, Productivity, and Scale Economies in the U.S. Property-Liability Insurance Industry
J. David Cummins and Xiaoying Xie, December 2010

#11-09
Bankruptcy, Finance Constraints and the Value of the Firm
Douglas Gale and Piero Gottardi

#11-10
Commentary: Capital Regulation and Risk Sharing
Douglas Gale, July 2010

#11-11
Rollover Risk and Market Freezes
Viral Acharya, Douglas Gale and Tanju Yorulmazer, October 2010

#11-12
Liquidity and Monetary Policy
Douglas Gale, October 2010

#11-13
Style Migration and the Cross-Section of Stock Returns
Hsiu-Lang Chen and Russ Wermers, December 2010

#11-14
Mutual Fund Return Predictability in Partially Segmented Markets
Ayelen Banegas, Ben Gillen, Allan Timmermann and Russ Wermers, January 2011

#11-15
The Investment Value of Mutual Fund Portfolio Disclosure
Russ Wermers, Tong Yao and Jane Zhao, December 2010

#11-16
Macro-Prudential Regulation and the New Road to Financial Stability: Looking Through Darwin’s Glasses
Charles Taylor, September 2010

#11-17
Option Anomalies and the Pricing Kernel
Peter Christoffersen, Steven Heston and Kris Jacobs, June 2010

#11-18
Market Skewness Risk and the Cross-Section of Stock Returns
Bo Young Chang, Peter Christoffersen and Kris Jacobs, July 2010

#11-19
Time-Varying Jump Intensities and Fat Tail Dynamics: Evidence from S&P500 Returns and Options
Peter Christoffersen, Kris Jacobs and Chayawat Ornthanalai, May 2010

#11-20
Is the Potential for International Diversfication Disappearing?
Peter Christoffersen, Vihang Errunza, Kris Jacobs and Xisong Jin, November 2010

#11-21
Bank Liquidity Creation, Monetary Policy, and Financial Crises
Allen N. Berger and Christa H.S. Bouwman, October 2011

#11-22
How Does Capital Affect Bank Performance During Financial Crises?
Allen N. Berger and Christa H.S. Bouwman, March 2011

#11-23
Corporate Governance Propagation through Overlapping Directors
Christa H.S. Bouwman, December 2010

#11-24
Does Sign Matter More than Size? An Investigation into the Source of Investor Overconfidence
Sankar De, Naveen. R. Gondhi and Bhimasankaram Pochiraju, November 2010

#11-25
Do Depositors Discipline Banks? An International Perspective
Allen N. Berger and Rima Turk-Ariss, November 2010

#11-26
Social Networks and Career Outcomes
Allen N. Berger, Thomas Kick, Michael Koetter and Klaus Schaeck

#11-27
The Changing Role of Central Banks
C.A.E. Goodhart

#11-28
Money, Financial Stability and Efficiency
Franklin Allen, Elena Carletti and Douglas Gale, January 2011
Published as “Money, Financial Stability, and Efficiency,” Journal of Economic Theory 149, 2014, 100-127.

#11-29
What Should Central Banks do about Real Estate Prices?
Franklin Allen and Elena Carletti, January 2011

#11-30
Entrepreneurial Spawning and Firm Characteristics
Michel A. Habib, Ulrich Hege and Pierre Mella-Barral, January 2011

#11-31
Insuring Non-Verifiable Losses and the Role of Intermediaries
Neil A. Doherty, Christian Laux, and Alexander Muermann, October 2010

#11-32
Why Are There Global Imbalances? The Case of South Korea
Franklin Allen and JooYun Hong, February 2011
This is the pre-publication version only. For the published version please see Korean Social Science Research Council 38(2), 2011, 1-33.

#11-33
Liquidity Hoarding
Douglas Gale and Tanju Yorulmazer, March 2011

#11-34
Forecasting and Stress Testing Credit Card Default Using Dynamic Models
Tony Bellotti and Jonathan Crook

#11-35
Corporate Governance and Intra-group Transactions in European Bank Holding Companies During the Crisis
Franklin Allen, Xian Gu and Oskar Kowalewski, February 2011

#11-36
How Does Capital Affect Bank Performance During Financial Crises?
Allen N. Berger and Christa H.S. Bouwman, March 2011

#11-37
Financial Crisis, Structure and Reform
Franklin Allen, Xian Gu and Oskar Kowalewski, April 2011
This is the pre-publication version only. For the published version please see Journal of Banking & Finance 36 (2012) 2960–2973.

#11-38
The Hidden Transformation. Changing Role of the State after the Collapse of Communism in Central and Eastern Europe
Oskar Kowalewski and Krzysztof Rybinski, February 2011

#11-39
Asset Prices, Financial Stability and Monetary Policy
Franklin Allen and Kenneth Rogoff, February 2011

#11-40
New Theories to Underpin Financial Reform
Franklin Allen and Elena Carletti, February 2011
This paper has been published in the Journal of Financial Stability (9) 2013, 242-249.

#11-41
Why and How to Design a Contingent Convertible Debt Requirement
Charles W. Calomiris and Richard J. Herring, November 2011

#11-42
Survival of the Reckless: Feedback, Foresight and the Evolutionary Roots of the Financial Crisis
Michael G. Jacobides and Sidney G. Winter, July 2010

#11-43
Optimal Portfolio Choice over the Life-Cycle with Flexible Work, Endogenous Retirement, and Lifetime Payouts
Jingjing Chai, Wolfram Horneff, Raimond Maurer, and Olivia S. Mitchell, May 2011
This is the prepublication version only. For the published version, please see Review of Finance, July 2011, 15(3).

#11-44
The Behavior of Savings and Asset Prices When Preferences and Beliefs are Heterogeneous
Ngoc-Khanh Tran and Richard Zeckhauser, June 2011

#11-45
Core Measures of Inflation as Predictors of Total Inflation
Theodore M. Crone, N. Neil K. Khettry, Loretta J. Mester and Jason A. Novak, June 2011

#11-46
Internal Governance Mechanisms and Pension Fund Performance
Krzysztof Jackowicz and Oskar Kowalewski, July 2011

#11-47
Who Said Large Banks Don’t Experience Scale Economies? Evidence from a Risk-Return Driven Cost Function
Joseph P. Hughes and Loretta J. Mester, July 2011
An updated version of this paper appears as #13-17

#11-48
Systemic Risk Channel and TARP: Banking Relationship Spillover in the Credit Default Swap Market
Wei-Ling Song and Cihan Uzmanoglu, August 2011

#11-49
A Markov Test for Alpha
Dean P. Foster, Robert Stine, and H. Peyton Young, September 2011

#11-50
A Strategy-Proof Test of Portfolio Returns
Dean P. Foster and H. Peyton Young, July 2011

#11-51
Large Capital Infusions, Investor Reactions, and the Return and Risk Performance of Financial Institutions over the Business Cycle and Recent Financial Crisis
Elyas Elyasiani, Loretta J. Mester and Michael S. Pagano, September 2011
An updated version of this paper appears as #13-16

#11-52
Financial Reversal in Rural China
Meijun Qian and Yasheng Huang, 2011

#11-53
Political Promotion, CEO Incentives, and the Relationship between Pay and Performance
Jerry Cao, Michael Lemmon, Xiaofei Pan, Meijun Qian and Gary Tian, 2011

#11-54
China’s Financial System: Opportunities and Challenges
Franklin Allen, Jun “QJ” Qian, Chenying Zhang and Mengxin Zhao, October 2011

#11-55
Is Your Money Safe? What Italians Know About Deposit Insurance
Laura Bartiloro, October 2011

#11-56
Identifying the Right Mix of Capital and Cash Requirements in Prudential Bank Regulation
Charles Calomiris, October 2011
forthcoming in Strengthening the Liquidity of the Financial System, edited by Richard Herring, FIC Press, Wharton Financial Institutions Center, 2011

#11-57
Bank Risk Taking and Liquidity Creation following Regulatory Interventions and Capital Support
Allen N. Berger, Christa H.S. Bouwman, Thomas Kick and Klaus Schaeck, October 2011

#11-58
Asset Commonality, Debt Maturity and Systemic Risk
Franklin Allen, Ana Babus and Elena Carletti, November 2011
forthcoming in The Journal of Financial Economics
This is an updated version of #10-30
Published as “Asset Commonality, Debt Maturity and Systemic Risk” (with A. Babus and E. Carletti), Journal of Financial Economics, 2012, 104, 519-534.

#11-59
The Value of Investment Banking Relationships: Evidence from the Collapse of Lehman Brothers
Chitru S. Fernando, Anthony D. May and William L. Megginson

#11-60
The Effect of Liquidity on Governance
Alex Edmans, Vivian W. Fang and Emanuel Zur, November 2011

#11-61
Are All Ratings Created Equal? The Impact of Issuer Size on the Pricing of Mortgage-Backed Securities
Jie (Jack) He, Jun ‘QJ’ Qian and Philip E. Strahan, October 2011

#11-62
The Impact of Incentives and Communication Costs on Information Production: Evidence from Bank Lending
Jun ‘QJ’ Qian, Philip E. Strahan and Zhishu Yang, September 2011

#11-63
The IPO of Industrial and Commercial Bank of China and the ‘Chinese Model’ of Privatizing Large Financial Institutions
Franklin Allen, Jun ‘QJ’ Qian, Susan Chenyu Shan and Mengxin Zhao, October 2011
An updated version of this paper appears as #12-03

#11-64
An Alternative View on Law, Institutions, Finance and Growth
Franklin Allen, Jun ‘QJ’ Qian and Chenying Zhang, June 2011

#11-65
Contracting With Synergies
Alex Edmans, Itay Goldstein and John Zhu, November 2011

#11-66
Trends in Financial Innovation and Their Welfare Impact: An Overview
Franklin Allen, November 2011
This is the prepublication version only. The published version may be found in European Financial Management, 18(4), September 201, pp. 493-514.

#11-67
Feedback Effects and the Limits to Arbitrage
Alex Edmans, Itay Goldstein and Wei Jiang, November 2011

#11-68
The Initial Public Offering of the Industrial and Commercial Bank of China (ICBC)
Franklin Allen, Darien Huang, Jun “QJ” Qian and Mengxin Zhao, November 2011
forthcoming, M. Aoki, ed., The Frontier State of Economics: IEA XVI World Congress , “The Chinese Economy”

#11-69
Incentives to Improve the Corporate Governance of Risk in Financial Institutions
Richard J. Herring

#11-70
The Capital Conundrum
Richard J. Herring, September 2011

#11-71
The Central Role of Resolution Policy in Dealing with Systemically Important Financial Institutions
Richard J. Herring, May 2011

#11-72
Fair Value Accounting, Disclosure and Financial Stability: Does How We Keep Score Influence How the Game is Played?
Richard J. Herring

#11-73
Judicial and Administrative Approaches to Bank Resolution: Prospects for International Harmonization
Charles Hendren

#11-74
Framing and Claiming: How Information-Framing Affects Expected Social Security Claiming Behavior
Jeffrey R. Brown, Arie Kapteyn, and Olivia S. Mitchell, November 2011