Select Publications
Journal articles
2021, 'Politically Motivated Corporate Decisions as Tournament Participation/Inclusion Games', Journal of Corporate Finance, 67, pp. 101883, http://dx.doi.org/10.1016/j.jcorpfin.2021.101883
,2020, 'Is the Active Fund Management Industry Concentrated Enough?', Journal of Financial Economics, 136, pp. 23 - 43, http://dx.doi.org/10.1016/j.jfineco.2019.08.009
,2020, 'Gender Competitiveness and Predictability, and Prize Money in Grand Slam Tennis Tournaments', Quarterly Journal of Finance, 10, pp. 2050006, http://dx.doi.org/10.1142/S2010139220500068
,2019, 'Contrarians or Momentum Chasers? Individual Investors’ Behavior when Trading exchange-traded funds', The Journal of Futures Markets, 39, pp. 553 - 578, http://dx.doi.org/10.1002/fut.21979
,2018, 'Equilibrium-Based Volatility Models of the Market Portfolio Rate of Return (Peacock Tails or Stotting Gazelles)', Annals of Operations Research, 262, pp. 493 - 518, http://dx.doi.org/10.1007/s10479-015-1972-8
,2015, 'Non-Transferable non-hedgeable executive stock option pricing', Journal of Economic Dynamics and Control, 53, pp. 161 - 191, http://dx.doi.org/10.1016/j.jedc.2015.02.002
,2015, 'Pricing Under Noisy Signaling', Review of Quantitative Finance and Accounting, 45, pp. 435 - 454, http://dx.doi.org/10.1007/s11156-014-0442-8
,2013, 'Linear Beta Pricing with Inefficient Benchmarks', Quarterly Journal of Finance, 3, http://dx.doi.org/10.1142/S2010139213500043
,2007, 'Incomplete Information Equilibria: Separation Theorems and Other Myths', Annals of Operations Research, 151, pp. 119 - 149
,2005, 'Mortgage Default: Classification Trees Analysis', Journal of Real Estate Finance and Economics, 30, pp. 369 - 396
,2004, 'Forum Selection in International Business Contracts: Home Bias Portfolio Puzzle and Managerial Moral Hazard', Review of Quantitative Finance and Accounting, 22, pp. 219 - 232, http://dx.doi.org/10.1023/B:REQU.0000025761.14094.70
,2004, 'Separating Signaling Equilibria Under Random Relations Between Costs and Attributes: Continuum of Attributes', Mathematical Social Sciences, 48, pp. 81 - 91, http://dx.doi.org/10.1016/j.mathsocsci.2003.12.004
,2004, 'Separating Signaling Equilibria Under Random Relations Between Costs and Attributes: Discrete Attributes', Mathematical Social Sciences, 48, pp. 93 - 101, http://dx.doi.org/10.1016/j.mathsocsci.2003.12.002
,2003, 'Signaling-Screening Equilibrium in the Mortgage Market', Journal of Real Estate Finance and Economics, 26, pp. 157 - 178, http://dx.doi.org/10.1023/A:1022926724657
,2003, 'Simple Construction of the Efficient Frontier', European Financial Management, 9, pp. 251 - 259, http://dx.doi.org/10.1111/1468-036X.00218
,2003, 'The Term Structure of Interest Rates: Bounded or Falling?', Review of Finance, 7, pp. 103 - 113, http://dx.doi.org/10.1023/A:1022510926704
,2002, 'Production and the Real Rate of Interest: A Sample Path Equilibrium', Review of Finance, 6, pp. 247 - 275, http://dx.doi.org/10.1023/A:1020187803012
,2002, 'The Value of the Rent Control Option', Journal of Real Estate Finance and Economics, 24, pp. 89 - 101, http://dx.doi.org/10.1023/A:1013982321571
,2001, 'Production and the Real Rate of Interest: A Sample Path Equilibrium', Review of Finance, 5, pp. 239 - 267, http://dx.doi.org/10.1023/A:1013817632247
,1993, 'European Options on Bond Futures - A Closed Form Solution', Journal of Futures Markets, 13, pp. 325 - 333, http://dx.doi.org/10.1002/fut.3990130308
,1992, 'Logarithmic Preferences, Myopic Decisions, and Incomplete Information', Journal of Financial and Quantitative Analysis, 27, pp. 619 - 629, http://dx.doi.org/10.2307/2331144
,1989, 'The Term Structure of Interest-Rates in a Partially Observable Economy', The Journal of Finance, 44, pp. 789 - 812, http://dx.doi.org/10.2307/2328783
,1989, 'The Term Structure of Interest Rates in a Partially Observable Economy', The Journal of Finance, 44, pp. 789 - 789, http://dx.doi.org/10.2307/2328783
,1986, 'Optimal Portfolio Choice Under Incomplete Information - Discussion', The Journal of Finance, 41, pp. 746 - 749, http://dx.doi.org/10.1111/j.1540-6261.1986.tb04539.x
,1986, 'Equilibrium Interest Rates and Multiperiod Bonds in a Partially Observable Economy', The Journal of Finance, 41, pp. 369 - 382, http://dx.doi.org/10.1111/j.1540-6261.1986.tb05042.x
,1986, 'Equilibrium Interest Rates and Multiperiod Bonds in a Partially Observable Economy', The Journal of Finance, 41, pp. 369 - 369, http://dx.doi.org/10.2307/2328441
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