Journal Publications
"The effect of investor sentiment and the structure of shareholder ownership on corporate investment," 2022, International Journal of Managerial Finance forthcoming. Co-author: Michael Li.
“The external financing of investment,” 2020, Journal of Corporate Finance, 65, 101745. Co-author: Patrick Verwijmeren.
“Why do option prices predict stock returns? The role of price pressure in the stock market,” 2020, Management Science 66(9), 3903–3926. Co-authors: Luis Goncalves-Pinto, Allaudeen Hameed, Thijs van der Heijden and Yichao Zhu.
“Can socially responsible firms survive competition? An analysis of corporate employee matching grants,” 2019, Review of Finance 23(1), 199-243. Co-author: Ning Gong.
“The buyers’ perspective on security design: Hedge funds and convertible bond call provisions,” 2018, Journal of Financial Economics 127(1), 77-93. Co-author: Patrick Verwijmeren.
“Disappearing call delay and dividend-protected convertible bonds,” 2016, Journal of Finance 71(1), 195-224. Co-author: Patrick Verwijmeren.
“Why are conversion-forcing call announcements associated with negative wealth effects?” 2014, Journal of Corporate Finance 24, 149-157. Co-authors: Chris Veld, Patrick Verwijmeren, Yuriy Zabolotnyuk.
“The design of charitable fund-raising schemes: Matching grants or seed money,” 2014, Journal of Economic Behavior and Organization 108, 147-165. Co-author: Ning Gong.
“Stock returns and the Miller-Modigliani valuation formula: Revisiting the Fama-French analysis,” 2013, Journal of Financial Economics 110(2), 347-357. Co-authors: Gil Aharoni and Qi Zeng.
“Convertibles and hedge funds as distributors of equity exposure,” 2012, Review of Financial Studies 25(10), 3077-3112. Co-authors: Stephen Brown, Craig Lewis and Patrick Verwijmeren.
“Do option markets undo restrictions on short sales? Evidence from the 2008 short-sale ban,” 2012, Journal of Financial Economics 106(2), pp. 331-348. Co-authors: Bryan Lim and Patrick Verwijmeren.
“Investor sentiment, executive compensation, and corporate investment,” 2010, Journal of Banking & Finance 34, pp. 2439-2449. Co-author: Michael Li.
“Disclosure, hidden charges and indexed pensions,” 2005, Agenda: A Journal of Policy Analysis and Reform,12(1), pp. 33-46. Co-authors: Diana Beal and Sarath Delpachitra.
“Stock market volatility in a heterogeneous information economy,” 2002, Journal of Financial and Quantitative Analysis 37(1), pp. 1-27. Co-author: Youngsoo Kim.
“Momentum: Fact or factor? Momentum investing when returns have a factor structure,” 2001, Review of Financial Studies 14(1), pp. 29-78. Co-author: Spencer Martin.
“Merton H. Miller: His contribution to financial economics,” 2001, Journal of Finance 56(4), pp. 1183-1206.
“General properties of option prices,” 1996, Journal of Finance 51(5), pp. 1573-1610. Co-authors: Yaacov Bergman and Zvi Wiener.
“Option prices and the underlying asset’s return distribution,” 1991, Journal of Finance 46(3), pp. 1045-1070.
“Changing risk, changing risk premiums, and dividend yield effects,” 1990, Journal of Business 63(1), pp. 51-70. Co-authors: Nai-fu Chen and Robert F. Stambaugh.
“Optimal investment with stock repurchase and financing as signals,” 1989, Review of Financial Studies 2(4), pp. 445-465. Co-author: George Constantinides.
“Trade and the revelation of information through prices and direct disclosure,” 1989, Review of Financial Studies 2(4), pp. 495-526. Co-author: Maureen McNichols.
Edited Volumes
Selected Works of Merton Miller: A Celebration of Markets. Vol I Finance, 2002 (University of Chicago Press, Chicago, Ill.)
Selected Works of Merton Miller: A Celebration of Markets. Vol II Economics, 2002 (University of Chicago Press, Chicago, Ill).
Other Publications
“Merton H. Miller (1912-2006),” 2022, The Palgrave Companion to Chicago Economics. Edited by Robert A Cord (Springer International, New York, NY.)
“Hedge fund involvement in convertible securities,” 2013, Journal of Applied Corporate Finance 25(4), 60-73. Co-authors: Stephen J. Brown, Craig M. Lewis and Patrick Verwijmeren
“Stock return predictability in rational markets,” 2007, Insights: Melbourne Economics & Commerce 1(April).
“Real options analysis and investment appraisal: the opportunities and challenges,” 2006, Insights: Melbourne Economics & Commerce 4 (November).
“Book Review: Pricing and hedging of derivative securities by Lars Tyge Nielsen,” 2000, Journal of Financial Research 23, pp. 391-394.
Working Papers
“Complementarity of sovereign and corporate debt issuance: Mind the gap,” Co-authors: Sjoerd van Bekkum and Patrick Verwijmeren.
“The effect of data breaches on the values of breached firms and their competitors,” Co-authors: Mark Cummins, Ronan Powell and Pierangelo Rosati.
“Understanding risk disclosures and exposures: Insights from a novel measure of information content,” Co-author: Stefan Petry.
“Opacity, signaling, and bail-ins,” Co-authors Kentaro Asai and Ryuichiro Izumi.
“Intermediary frictions and asset pricing,” Co-authors Patrick Verwijmeren and Antti Yang
