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Faculty Research - Finance

For faculty-specific research interests and to read their CVs, visit faculty profiles. As you will see, our faculty are nationally known in their respective areas of specialization, having published collectively hundreds of academic papers. They also interact with practitioners locally and internationally. Below is a sampling of papers (published or forthcoming) written by our faculty (names in bold) in recent years, reflecting their newest research interests.

2013

Q. Huang, Feng Jiang, E. Lie and K. Yang. The Role of Investment Bankers in M&A: Can Experts Help? Journal of Financial Economics, forthcoming.

Ferson, W. and Jerchern Lin. Alphas and Performance Measurement: The Effect of Investor Heterogeneity. Journal of Finance, forthcoming.

Brennan, M. Sahn-Wook  Huh and A Subrahmanyam. An Analysis of the Amihud Illiquidity Premium. Review of Asset Pricing Studies, forthcoming.

Cristian I. Tiu and U. Yoeli. Asset Pricing with Endogenous Disasters. Review of Financial Studies 26(11), 2013, 2916-2960.

Kee H. Chung and Hao Zhang. A Simple Approximation of Intraday Spreads with Daily Data. Journal of Financial Markets, forthcoming.

Kee H. Chung and Chairat Chuwonganant. Exit, Survival, and Competitive Equilibrium in Dealer Markets. Financial Review, forthcoming.

H. Lin, J. Wang and Chunchi Wu. Momentum spillover from stocks to bonds: The role of liquidity risk. Journal of Fixed Income 23, 5-42 (lead article).

Kee H. Chung, John Elder, and Jang-Chul Kim. Liquidity and Information Flow around Monetary Policy Announcements. Journal of Money, Credit, and Banking 45 (August 2013), 781–820.

K. Man, J. Wang and Chunchi Wu. Price Discovery in the U.S. Treasury Market: Automation versus Intermediation. Management Science 59, 2013, 695-714.

Kaun Y. Lee and Kee H. Chung. Liquidity and Returns to Target Shareholders in the Market for Corporate Control: Evidence from the U.S. Markets. Journal of Business Finance and Accounting 42 (January/February 2013), 142–171.

2012

Joseph P. Ogden and Shanhong Wu. Corporate financing orientation: Integrated analyses of trade-off, pecking order, and market timing influences. Journal of Accounting and Finance. Dec. 2012

Y. Cao, Joseph P. Ogden and Cristian I. Tiu. Who benefits from funds of hedge funds? A critique of alternative organizational structures in the hedge funds industry (II). Business Excellence and Management. 2(1), 5-20.

Y. Hong, H. Lin and Chunchi Wu. Are Corporate Bond Market Returns Predictable? Journal of Banking and Finance 36, 2216-2232, 2012.

Kee H. Chung, Mingsheng Li, and Xin Zhao. Security Analysis, Dealer-Analyst Collaboration, and Market Quality: Evidence from the NASDAQ Market in the USA. Journal of Business Finance and Accounting 39 (November/December 2012), 1376–1402.

Kee H. Chung, Joonseok Kim, Kwangwoo Park, and Taeyoon Sung. Corporate Governance, Legal System, and Stock Market Liquidity: Evidence around the World. Asia-Pacific Journal of Financial Studies 41 (December 2012), 686-703. The Second Prize Winner of the 2012 Best Paper Award in Asia-Pacific Journal of Financial Studies.

Kee H. Chung and Chairat Chuwonganant. Regulation NMS and Market Quality. Financial Management 41 (Summer 2012), 285-317. Lead article.

Kee H. Chung, Carol Ann Frost, and Myungsun Kim. Characteristics and Information Value of Credit Watches. Financial Management 41(Spring 2012), 119-158.

2011

S. Titman and Cristian I. Tiu. Do  the Best Hedge Funds Hedge?  Review of Financial Studies 24(1), 2011, 123-168.

Kee H. Chung and Hao Zhang. Corporate Governance and Institutional Ownership. Journal of Financial and Quantitative Analysis 46 (February 2011), 247-273.

H. Lin, J. Wang and Chunchi Wu. Liquidity Risk and Expected Corporate Bond Returns. Journal of Financial Economics 99, 628-650, 2011.

Joseph P. Ogden and J. Fitzpatrick. The detection and dynamics of financial distress: Empirical Analyses, Special issue of the International Review of Finance, Mar. 2011.

X. Pu, J. Wang and Chunchi Wu. Are Liquidity and Counterparty Risk Priced in Credit Default Swap Spreads? Journal of Fixed Income 20, No. 4, 2011, 59-79.

H. Lin, S. Liu and Chunchi Wu. Dissecting Corporate Bond and CDS Spreads. Journal of Fixed Income 20, No. 3, 2011, 7-39 (lead article, recipient of Peter L. Bernstein Award).

Y. Cao, Joseph P. Ogden and Cristian I. Tiu. Who benefits from funds of hedge funds? A critique of alternative organizational structures in the hedge funds industry (I). Business Excellence and Management 1(1), 2011, 19-36.

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