jpmorgan 2010 academic reference

Asia Pacific Equity Research18 January 2011

2010 Academic ReferenceJ.P. Morgan Quant: Collated abstracts of finance papers published in 2010 To help with the job of keeping track of the latest financial research output from academia we typically compile quarterly collations of the abstracts of academic papers In this reference document we include papers published in Q4 and for completeness also include all papers published in Q1, Q2 and Q3 to create a full 2010 summary report. Specifically we have collated the abstracts from nine popular financial journals. The journals from which articles have been collated are listed below: o o o o o o o o o Journal of Financial and Quantitative Analysis Journal of Financial Research Journal of Portfolio Management Journal of Alternative Investments Journal of Financial Economics The Financial Review Journal of Econometrics Journal of Finance Journal of Behavioral FinanceGlobalo Quantitative Strategy Steve MalinAC

(852) 2800 8568 [email protected] J.P. Morgan Securities (Asia Pacific) Limited

Marco Dion

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(44-20) 7325-8647 [email protected] J.P. Morgan Securities Ltd.

Robert Smith(852) 2800 8569 [email protected] J.P. Morgan Securities (Asia Pacific) Limited

Satoshi Okamoto(81-3) 6736-8647 [email protected] JPMorgan Securities Japan Co., Ltd.

Berowne Hlavaty(61-2) 9220-1591 [email protected] J.P. Morgan Securities Australia Limited

Dubravko Lakos-Bujas(1-212) 622-3601 [email protected] J.P. Morgan Securities LLC

Viquar Shaikh(91-22) 6157 3325 [email protected] J.P. Morgan India Private Limited

Please contact the journal directly if you are interested in specific articles.

Latha Nair(91-22) 6157-3285 [email protected] J.P. Morgan India Private Limited

Arfi Khan(91-22) 6157-3266 [email protected] J.P. Morgan India Private Limited

See page 199 for analyst certification and important disclosures, including non-US analyst disclosures.J.P. Morgan does and seeks to do business with companies covered in its research reports. As a result, investors should be aware that the firm may have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making their investment decision.

Steve Malin (852) 2800 8568 [email protected]

Asia Pacific Equity Research 18 January 2011

Table of ContentsSummary ...............................................................................................................................13 Journal of Financial and Quantitative Analysis .................................................................14 Feb (2010) ..............................................................................................................................15Is There Shareholder Expropriation in the United States? An Analysis of Publicly Traded Subsidiaries ...............................15 Clientele Change, Liquidity Shock, and the Return on Financially Distressed Stocks............................................................15 Predicting Global Stock Returns ...................................................................................................................................15 The Signaling Hypothesis Revisited: Evidence from Foreign IPOs ........................................................................................16 How Does Liquidity Affect Government Bond Yields?..........................................................................................................16 Investor Protection, Equity Returns, and Financial Globalization...........................................................................................16 An Epidemic Model of Investor Behavior...............................................................................................................................17 Predicting Hedge Fund Failure: A Comparison of Risk Measures ..........................................................................................17 Fund Flow Volatility and Performance ...................................................................................................................................17 Pharmaceutical R&D Spending and Threats of Price Regulation............................................................................................18

Apr (2010) ..............................................................................................................................19Corporate Governance and Liquidity ...................................................................................................................................19 Factoring Information into Returns ...................................................................................................................................19 Portfolio Optimization with Mental Accounts.........................................................................................................................19 Deviations from Put-Call Parity and Stock Return Predictability............................................................................................20 Dynamic General Equilibrium and T-Period Fund Separation ................................................................................................20 Informational Efficiency and Liquidity Premium as the Determinants of Capital Structure ...................................................21 How Syndicate Short Sales Affect the Informational Efficiency of IPO Prices and Underpricing .........................................21 The Impact of the Euro on Equity Markets..............................................................................................................................22 Forecasting Volatility Using Long Memory and Comovements .............................................................................................22 Exploitable Predictable Irrationality: The FIFA World Cup Effect on the U.S. Stock Market ...............................................22

June (2010) ............................................................................................................................24The Response of Corporate Financing and Investment to Changes in the Supply of Credit ...................................................24 Financing Frictions and the Substitution between Internal and External Funds ......................................................................24 Disagreement, Portfolio Optimization, and Excess Volatility .................................................................................................25 What Does the Individual Option Volatility Smirk Tell Us About Future Equity Returns?....................................................25 A Reexamination of the Causes of Time-Varying Stock Return Volatilities ..........................................................................25 The Role of State and Mutual Fund Ownership in the Split Share Structure in China ............................................................26 Dynamic Factors and Asset Pricing ...................................................................................................................................26 Market Feedback and Equity Issuance: Evidence from Repeat Equity Issues.........................................................................27 A Longer Look at the Asymmetric Dependence between Hedge Funds and the Equity Market.............................................27 Prospect Theory and the Disposition Effect ............................................................................................................................28

August (2010) ........................................................................................................................29Estimating the Equity Premium ...................................................................................................................................29 Rational Cross-Sectional Differences in Market Efficiency: Evidence from Mutual Fund Returns........................................29 Idiosyncratic Risk, Long-Term Reversal, and Momentum......................................................................................................30 Arbitrage Risk and Stock Mispricing ...................................................................................................................................30 Behavioral Explanations of Stock Price Performance - Decomposition of Market-to-Book Ratios........................................30 Incorporating Economic Objectives into Bayesian Priors: Portfolio Choice under Parameter Uncertainty ............................31

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Cross-Sectional Return Dispersion and Time Variation in Value and Momentum Premiums ................................................31 Multiple Risky Assets-Allocation Rules and Implications for U.S. Investors .........................................................................32 Longer-Term Time-Series Volatility Forecasts .......................................................................................................................32 Stock Returns and the Volatility of Liquidity ..........................................................................................................................32 Can Mutual Fund Managers Pick Stocks? Evidence from Their Trades Prior to Earnings Announcements ..........................34 Seasonality in the Cross Section of Stock Returns: The International Evidence .....................................................................34 Debt Capacity and Tests of Capital Structure Theories ...........................................................................................................34 Transparency, Price Informativeness, and Stock Return Synchronicity: Theory and Evidence ..............................................35 Information, Expected Utility, and Portfolio Choice ...............................................................................................................35 What Drove the Increase in Idiosyncratic Volatility during the Internet Boom?.....................................................................36 The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments.........................................................36 Level-Dependent Annuities: Defaults of Multiple Degrees.....................................................................................................36 Affine Models of the Joint Dynamics of Exchange Rates and Interest Rates..........................................................................37

Journal of Financial Research .............................................................................................39 Spring (2010) .........................................................................................................................40The Economic Gains Of Trading Stocks Around Holidays.....................................................................................................40 Dynamic Order Submission And Herding Behavior In Electronic Trading ............................................................................40 Switching To A Temporary Call Auction In Times Of High Uncertainty...............................................................................40 Risk Premium Effects on Implied Volatility Regressions .......................................................................................................41

Summer (2010) ......................................................................................................................42Expected Volatility, Unexpected Volatility, And The Cross-Section Of Stock Returns .........................................................42 Risk Premium Effects On Implied Volatility Regressions.......................................................................................................42 Trading-Volume Shocks And Stock Returns: An Empirical Analysis ....................................................................................42 On The Robustness Of Range-Based Volatility Estimators.....................................................................................................43

Fall (2010) ..............................................................................................................................44Dynamic Hedge Fund Style Analysis With Errors-In-Variables .............................................................................................44 Regular(Ized) Hedge Fund Clones ...................................................................................................................................44 Mutual Funds Selection Based On Funds Characteristics .......................................................................................................44 Debt Forgiveness And Stock Price Reaction Of Lending Banks.............................................................................................45 State Dependency Of Bank Stock Reaction To Federal Funds Rate Target Changes .............................................................45

Winter (2010) .........................................................................................................................46Corporate Hedging And Shareholder Value ............................................................................................................................46 Risk And Hedging Behavior: The Role And Determinants Of Latent Heterogeneity .............................................................46 The Daylight Saving Time Anomaly In Stock Returns: Fact Or Fiction? ...............................................................................46 Daylight And Investor Sentiment ...................................................................................................................................47 Short Selling And Mispricings When Fundamentals Are Known ...........................................................................................47 Determinants Of Capital Structure In Business Start-Ups .......................................................................................................47 Sustainable Growth And Stock Returns...................................................................................................................................48

Journal of Portfolio Management ........................................................................................50 Winter (2010) .........................................................................................................................51Portfolio of Risk Premia: A New Approach to Diversification ...............................................................................................51 Horizon Diversification: Reducing Risk in a Portfolio of Active Strategies ...........................................................................51 Efficient Replication of Factor Returns: Theory and Applications..........................................................................................52 Know Your VMS Exposure ...................................................................................................................................523



Maybe It Really Is Different This Time...................................................................................................................................53 Optimizing Carry Pickup in Real Money Portfolios................................................................................................................53 Finding Fair Value in Global Equities: Part I..........................................................................................................................53 Regimes: Nonparametric Identification and Forecasting.........................................................................................................54 The Ps of Pricing and Risk Management, Revisited................................................................................................................54 Correlation and Volatility Dynamics in REIT Returns: Performance and Portfolio Considerations.......................................54 Illiquidity and Portfolio Risk of Thinly Traded Assets............................................................................................................55

Spring (2010) .........................................................................................................................55Crisis and Innovation ...................................................................................................................................55 Risk Management Lessons Worth Remembering from the Credit Crisis of 20072009.........................................................55 Accentuated Intraday Stock Price Volatility: What is the Cause? ...........................................................................................56 Finding Fair Value in Global Equities: Part IIForecasting Returns .....................................................................................56 Stocks of Admired and Spurned Companies ...........................................................................................................................57 A Valuation Study of Stock Market Seasonality and the Size Effect ......................................................................................57 Do Seasonal Anomalies Still Work? ...................................................................................................................................57 Volatility Exposure for Strategic Asset Allocation..................................................................................................................58 Valuation-Indifferent Weighting for Bonds.............................................................................................................................58 A Bond-Picking Model for Corporate Bond Allocation ..........................................................................................................59

Summer (2010) ......................................................................................................................60Active Portfolio Management and Positive Alphas: Fact or Fantasy?....................................................................................60 Signal Weighting ...................................................................................................................................60 Thinking about Indices and Passive versus Active Management.........................................................................................61 Constraint Attribution ...................................................................................................................................61 The Properties of Equally Weighted Risk Contribution Portfolios..........................................................................................62 Rewarding Fundamentals ...................................................................................................................................62 Portfolios Weighted by Repurchase and Total Payout ............................................................................................................62 Reflections on Buy-Side Risk Management after (or Between) the Storms ............................................................................63 The Problems and Challenges of High-Yield Bond Benchmarking ........................................................................................63 Market-Based Default Rate Forecasting ..................................................................................................................................64 Warren Buffett, BlackScholes, and the Valuation of Long-Dated Options ...........................................................................64 Educational Endowments in Crises ...................................................................................................................................65 A Style-Based Market Risk Model for Hedge Fund Portfolios ...............................................................................................65

Fall (2010) ..............................................................................................................................66On the Persistence of Style Returns ...................................................................................................................................66 Finding Better Securities while Holding Portfolios: Is Stochastic Dominance the Answer?...................................................66 Designing the New Policy Portfolio: A Smart, but Humble Approach ...................................................................................67 A Scenarios Approach to Asset Allocation..............................................................................................................................67 Measuring Global Systemic Risk: What Are Markets Saying about Risk? .............................................................................68 Offensive Risk Management II: The Case for Active Tail Hedging........................................................................................68 On the Consistent Use of VaR in Portfolio Performance Evaluation: A Cautionary Note ......................................................68 Is Patience a Virtue? The Unsentimental Case for the Long View in Evaluating Returns ......................................................69 The Empirical Law of Active Management: Perspectives on the Declining Skill of U.S. Fund Managers.............................69 The Sustainability of Endowment Spending Levels:A Wake-up Call for University Endowments ........................................70

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Journal of Alternative Investments .....................................................................................72 Spring (2010) .........................................................................................................................73Madoff: A Returns-Based Analysis ...................................................................................................................................73 Hedge Fund Transparency: Where Do We Stand?...................................................................................................................73 Stock Market and Agricultural Futures Diversification: An International Perspective ...........................................................74 Exit Strategies of Buyout Investments: An Empirical Analysis ..............................................................................................74 Can CDO Equity Be Short on Correlation? .............................................................................................................................75 Dual Offerings of ETFs on the Same Stock Index: U.S. vs. ....................................................................................................75

Summer (2010) ......................................................................................................................76The Long-Horizon Benefits of Traditional and New Real Assets in the Institutional Portfolio ..............................................76 The Role of the Constant Recovery Assumption in the Sub prime Bubble .............................................................................76 Modeling the Cash Flow Dynamics of Private Equity Funds: Theory and Empirical Evidence .............................................76 Alternative Asset Pricing: Momentum and the Hedge Fund Puzzle........................................................................................77 An Early Look at the Deutsche Bank Alternative Investment Survey, 20022009 .................................................................77 Sources of Return within an Emerging Markets Fixed-Income and Foreign Exchange Portfolio...........................................77 Ethics: A Guiding Tenet of the CAIA Association Garners Broad Support within Academic Community............................78

Fall (2010) ..............................................................................................................................79Insurance-Linked Securities: What Drives Their Returns?......................................................................................................79 On Understanding Bear Market Funds ...................................................................................................................................79 Portfolios of ETFs: Applications to Absolute Return Funds and Tactical Asset Allocation ...................................................79 Optimal Portfolios with Traditional and Alternative Investments: An Empirical Investigation..............................................80 Does a Contagion Effect Exist Between Equity Markets and Hedge Funds in Periods of Extreme Stress?............................80 Emerging Markets During the Crisis ...................................................................................................................................80

Winter (2011) .........................................................................................................................81The StressVaR: A New Risk Concept for Extreme Risk and Fund Allocation .......................................................................81 Portfolio Choice for Oil-Based Sovereign Wealth Funds........................................................................................................81 Limited Liability Leverage : A New Measure of Leverage .....................................................................................................81 Protection Potential of Commodity Hedge Funds ...................................................................................................................82 Spillover Effects of Counter-Cyclical Market Regulation: Evidence from the 2008 Ban on Short Sales ...............................82 The Iconic Boom in Modern Russian Art................................................................................................................................82 Asset Class and Strategy Investment Tracking Based Approaches .........................................................................................83

Journal of Financial Economics ..........................................................................................85 Spring (2010) .........................................................................................................................86O/S: The relative trading activity in options and stock............................................................................................................86 Performance persistence in entrepreneurship...........................................................................................................................86 Quantifying private benefits of control from a structural model of block trades .....................................................................86 A resolution of the distress risk and leverage puzzles in the cross section of stock returns ....................................................87 The good news in short interest ...................................................................................................................................87 Institutional investors, intangible information, and the book-to-market effect........................................................................87 The effect of state anti takeover laws on the firm's bondholders .............................................................................................88 How does law affect finance? An examination of equity tunneling in Bulgaria......................................................................88 Seasoned equity offerings, market timing, and the corporate lifecycle ...................................................................................88 Bailouts, the incentive to manage risk, and financial crises.....................................................................................................89 Does corporate governance matter in competitive industries?.................................................................................................895



The pecking order, debt capacity, and information asymmetry ...............................................................................................90 Institutional monitoring through shareholder litigation ...........................................................................................................90 Renegotiation of cash flow rights in the sale of VC-backed firms ..........................................................................................90 When should firms share credit with employees?....................................................................................................................91 Ownership concentration, foreign shareholding, audit quality, and stock price synchronicity: Evidence from China............91 Escape from New York: The market impact of loosening disclosure requirements ................................................................91 Resolving the exposure puzzle: The many facets of exchange rate exposure..........................................................................92 Sentiment and stock prices: The case of aviation disasters......................................................................................................92 Political rights and the cost of debt ...................................................................................................................................92 Reduced-form valuation of callable corporate bonds: Theory and evidence ...........................................................................93 Capital structure decisions: Evidence from deregulated industries..........................................................................................93 Activist arbitrage: A study of open-ending attempts of closed-end funds ...............................................................................93 First-passage probability, jump models, and intra-horizon risk...............................................................................................94 Are family firms more tax aggressive than non-family firms? ................................................................................................94 Asset liquidity and financial contracts: Evidence from aircraft leases ....................................................................................94 Informed trading before analyst downgrades: Evidence from short sellers .............................................................................95 Market liquidity, asset prices, and welfare ..............................................................................................................................95

Summer (2010) ......................................................................................................................96A skeptical appraisal of asset pricing tests...............................................................................................................................96 When are outside directors effective? ...................................................................................................................................96 Liquidity biases in asset pricing tests ...................................................................................................................................96 The performance of emerging hedge funds and managers ......................................................................................................97 Inside the black box: The role and composition of compensation peer groups .......................................................................97 Detecting jumps from Lvy jump diffusion processes ............................................................................................................97 The Sarbanes-Oxley act and corporate investment: A structural assessment ..........................................................................98 The role of private equity group reputation in LBO financing ................................................................................................98 Limited participation and consumption-saving puzzles: A simple explanation and the role of insurance ..............................98 Going public to acquire? The acquisition motive in IPOs .......................................................................................................99 Average correlation and stock market returns .........................................................................................................................99 Risk and CEO turnover ...................................................................................................................................99 Profiting from government stakes in a command economy: Evidence from Chinese asset sales ..........................................100 Trade credit, collateral liquidation, and borrowing constraints .............................................................................................100 Dynamic asset allocation with stochastic income and interest rates ......................................................................................100 Uncertainty about average profitability and the diversification discount ..............................................................................101 Creditor rights, information sharing, and bank risk taking ....................................................................................................101 CFOs and CEOs: Who have the most influence on earnings management?..........................................................................101 Liquidity and valuation in an uncertain world .......................................................................................................................102 Why do firms appoint CEOs as outside directors? ................................................................................................................102 The marketing of seasoned equity offerings ..........................................................................................................................102 Multi-market trading and arbitrage .................................................................................................................................103 Local institutional investors, information asymmetries, and equity returns ..........................................................................103 Co-movement, information production, and the business cycle ............................................................................................103 Returns of claims on the upside and the viability of U-shaped pricing kernels .....................................................................104 Preferred risk habitat of individual investors .........................................................................................................................104 Board interlocks and the propensity to be targeted in private equity transactions .................................................................104 The world price of home bias .................................................................................................................................105

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Optimal compensation contracts when managers can hedge .................................................................................................105 Payoff complementarities and financial fragility: Evidence from mutual fund outflows ......................................................105 CEOs versus CFOs: Incentives and corporate policies..........................................................................................................106 Evaluating asset pricing models using the second Hansen-Jagannathan distance .................................................................106 Unstable banking .................................................................................................................................106 Bank lending during the financial crisis of 2008 ...................................................................................................................107 Paulson's gift .................................................................................................................................107 Securitization and distressed loan renegotiation: Evidence from the subprime mortgage crisis ...........................................107 Will the U.S. bank recapitalization succeed? Eight lessons from Japan ................................................................................108 Costly external finance, corporate investment, and the subprime mortgage credit crisis ......................................................108 The subprime credit crisis and contagion in financial markets ..............................................................................................108 Auction failures and the market for auction rate securities....................................................................................................109 The real effects of financial constraints: Evidence from a financial crisis.............................................................................109

The Financial Review..........................................................................................................111 Spring (2010) .......................................................................................................................112CEO Pay-For-Performance Heterogeneity Using Quantile Regression.................................................................................112 Signaling, Free Cash Flow and "Nonmonotonic" Dividends.................................................................................................112 Dividends versus Share Repurchases Evidence from Canada: 19852003 ...........................................................................112 The Ex-dividend Day: Action On and Off the Danish Exchange ..........................................................................................113 Debt Issuance in the Face of Tax Loss Carryforwards ..........................................................................................................113 Investors' Use of Historical Forecast Bias to Adjust Current Expectations ...........................................................................113 Changes in the Information Efficiency of Stock Prices: Additional Evidence ......................................................................114 Predictability in Consumption Growth and Equity Returns: A Bayesian Investigation ........................................................114 A Note on Affordability and the Optimal Share Price ...........................................................................................................114

Summer (2010) ....................................................................................................................115Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold.........................................................................115 50+ Years of Diversification Announcements.......................................................................................................................115 Terrorism and Stock Market Sentiment .................................................................................................................................115 On Model Testing in Financial Economics............................................................................................................................116 Investment Irreversibility, Cash Flow Risk, and Value-Growth Stock Return Effects..........................................................116 Does Inclusion in a Smaller S&P Index Create Value? .........................................................................................................116 The Efficacy of Regulation Fair Disclosure ..........................................................................................................................116 Yes, The Value Line Enigma Is Still Alive: Evidence from Online Timeliness Rank Changes............................................117 Stock Splits and Bond Yields: Isolating the Signaling Hypothesis........................................................................................117 Does the Quality of Financial Advice Affect Prices? ............................................................................................................117 The Moving Average Ratio and Momentum .........................................................................................................................118 Arbitrage and the Evaluation of Linear Factor Models in UK Stock Returns .......................................................................118 Short-Horizon Return Predictability in International Equity Markets ...................................................................................118 Asset Pricing and Welfare Analysis with Bounded Rational Investors .................................................................................119

Fall (2010) ............................................................................................................................120Anonymity, Stealth Trading and the Information Content of Broker Identity.......................................................................120 Evidence from Decimalization on the NYSE ........................................................................................................................120 Risk Changes around Calls of Convertible Bonds.................................................................................................................120 Syndication in Venture Capital Financing .............................................................................................................................121 Bond Market Access, Credit Quality, and Capital Structure: Canadian Evidence ................................................................1217



Debt Maturity, Credit Risk, and Information Asymmetry: The case of Municipal Bonds ....................................................121 Industry Structure and Corporate Debt Maturity ...................................................................................................................122 Earnings Management Surrounding New Debt Issues...........................................................................................................122 Information Transfer Effects of Bond Rating Downgrades ...................................................................................................122 Treasury bond Volatility and Uncertainty about Monetary Policy ........................................................................................122 SEO Cycles .................................................................................................................................123 Partial Price Adjustments and Equity Carve-Outs .................................................................................................................123 Price Movers on the Stock Exchange of Thailand: Evidence from a Fully Automated Order-Driven Market......................123 Prior Payment Status and the Likelihood to Pay Dividends: International Evidence ............................................................124 Corporate Hedging Policy and Equity Mispricing.................................................................................................................124 Restructuring Using Operating Asset Exchanges: Issues and Evidence ................................................................................124 What are the capital structure determinants for tax-exempt organizations? ..........................................................................125 Political Risk and Purchases of Privatized State Owned Enterprises ....................................................................................125

Journal of Econometrics....................................................................................................127 Spring (2010) .......................................................................................................................128A new instrumental method for dealing with endogenous selection......................................................................................128 A comparison of meanvariance efficiency tests...................................................................................................................128 A constrained maximum likelihood approach to estimating switching regressions ..............................................................128 Short and long run causality measures: Theory and inference...............................................................................................129 Adaptive estimation of the dynamics of a discrete time stochastic volatility model .............................................................129 Testing semiparametric conditional moment restrictions using conditional martingale transforms ......................................130 Stochastic model specification search for Gaussian and partial non-Gaussian state space models .......................................130 The Hausman test and weak instruments...............................................................................................................................130 On the distribution of the sample autocorrelation coefficients ..............................................................................................131 Testing for heteroskedasticity and serial correlation in a random effects panel data model..................................................131 Activity signature functions for high-frequency data analysis...............................................................................................131 A comparison of two model averaging techniques with an application to growth empirics..................................................132 Estimating a class of triangular simultaneous equations models without exclusion restrictions ...........................................132 Estimation of spatial autoregressive panel data models with fixed effects ............................................................................132 An improved bootstrap test of stochastic dominance ............................................................................................................133

Summer (2010) ....................................................................................................................134Testing for unobserved heterogeneity in exponential and Weibull duration models .............................................................134 Structural measurement errors in non separable models........................................................................................................134 Non-negativity conditions for the hyperbolic GARCH model ..............................................................................................134 Semi parametric estimation of a simultaneous game with incomplete information...............................................................135 Nonparametric least squares estimation in derivative families ..............................................................................................135 Robust penalized quantile regression estimation for panel data?...........................................................................................136 Bayesian non-parametric signal extraction for Gaussian time series.....................................................................................136 A spatio-temporal model of house prices in the US ..............................................................................................................136

Fall (2010) ............................................................................................................................138Some thoughts on the development of co integration ............................................................................................................138 Testing for co-integration in vector auto regressions with non-stationary volatility .............................................................138 Forecasting with equilibrium-correction models during structural breaks.............................................................................138 Model-based asymptotic inference on the effect of infrequent large shocks on co-integrated variables...............................139 Likelihood inference for a nonstationary fractional autoregressive model ............................................................................1398



Likelihood based testing for no fractional cointegration .......................................................................................................139 Likelihood-based inference for cointegration with nonlinear error-correction ......................................................................140 Modelling and measuring price discovery in commodity markets ........................................................................................140 Co integration, long-run structural modelling and weak exogeneity: Two models of the UK economy...............................141 An analysis of the persistent long swings in the Dmk/$ rate .................................................................................................141 Speed of adjustment in cointegrated systems ........................................................................................................................141 Averaging estimators for auto regressions with a near unit root............................................................................................142 Co integration in a historical perspective...............................................................................................................................142 A spatio-temporal model of house prices in the USA............................................................................................................142 On the asymptotic optimality of the LIML estimator with possibly many instruments.........................................................143 Econometric modeling of technical change ...........................................................................................................................143 Jumps and betas: A new framework for disentangling and estimating systematic risks........................................................143 Robust confidence sets in the presence of weak instruments.................................................................................................144 On Bahadur efficiency of empirical likelihood......................................................................................................................144 Nonparametric estimation for a class of Lvy processes .......................................................................................................144 Efficient estimation in dynamic conditional quantile models ................................................................................................145 Estimating fixed-effect panel stochastic frontier models by model transformation...............................................................145 A generalized asymmetric Student-t distribution with application to financial econometrics...............................................145 Bayesian semi parametric stochastic volatility modeling ......................................................................................................146 Inference on parameter ratios with application to discrete choice models.............................................................................146 Estimating first-price auctions with an unknown number of bidders ....................................................................................147 Robust methods for detecting multiple level breaks in autocorrelated time series ................................................................147 The LIML estimator has finite moments! ..............................................................................................................................147 Nonparametric least squares estimation in derivative families ..............................................................................................148 Estimating panel data models in the presence of endogeneity and selection .........................................................................148 Bayesian non-parametric signal extraction for Gaussian time series.....................................................................................148 Robust penalized quantile regression estimation for panel data ............................................................................................149 Semi parametric estimation of a simultaneous game with incomplete information...............................................................149 Structural measurement errors in non separable models........................................................................................................150 Non-negativity conditions for the hyperbolic GARCH model ..............................................................................................150 Testing for unobserved heterogeneity in exponential and Weibull duration models .............................................................150 Intelligible factors for the yield curve .................................................................................................................................151 Semi parametric inference in multivariate fractionally co integrated systems.......................................................................151

Winter (2010) .......................................................................................................................152Testing the correlated random coefficient model...................................................................................................................152 Model selection versus statistical model specification ..........................................................................................................152 The Bierens test for certain nonstationary models.................................................................................................................152 A low-dimension portmanteau test for non-linearity .............................................................................................................153 Regression models with mixed sampling frequencies ...........................................................................................................153 Some identification problems in the cointegrated vector autoregressive model....................................................................153 Smoothing local-to-moderate unit root theory.......................................................................................................................154 Bootstrapping I (1) data .................................................................................................................................154 Applications of sub sampling, hybrid, and size-correction methods .....................................................................................154 Understanding aggregate crime regressions ..........................................................................................................................155 The (mis)specification of discrete duration models with unobserved heterogeneity .............................................................155 A dynamic patent intensity model with secret common innovation factors ..........................................................................155

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A direct Monte Carlo approach for Bayesian analysis of the seemingly unrelated regression model ...................................156 A consistent nonparametric test of affiliation in auction models...........................................................................................156 Efficient estimation of a multivariate multiplicative volatility model ...................................................................................156 Realised quantile-based estimation of the integrated variance ..............................................................................................157 GMM estimation of social interaction models with centrality...............................................................................................157 Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data..............157 A flexible approach to parametric inference in nonlinear and time varying time series models ...........................................158 Inconsistency of the MLE and inference based on weighted LS for LARCH models...........................................................158 No-arbitrage macroeconomic determinants of the yield curve ..............................................................................................159 Wavelet analysis of change-points in a non-parametric regression with heteroscedastic variance........................................159 The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models: Some additional results ........159 Specification tests of parametric dynamic conditional quantiles ...........................................................................................160 Root-N-consistent estimation of fixed-effect panel data transformation models with censoring ..........................................160 Quasi-maximum likelihood estimation of volatility with high frequency data......................................................................161 Characterization of the asymptotic distribution of semiparametric M-estimators .................................................................161 Semiparametric bounds on treatment effects .........................................................................................................................161 Threshold bipower variation and the impact of jumps on volatility forecasting....................................................................162 Dominating estimators for minimum-variance portfolios......................................................................................................162 An efficient GMM estimator of spatial autoregressive models .............................................................................................162 A primal Divisia technical change index based on the output distance function ...................................................................163

Journal of Finance ..............................................................................................................165 Spring (2010) .......................................................................................................................166Product Market Competition, Insider Trading, and Stock Market Efficiency .......................................................................166 Real and Financial Industry Booms and Busts ......................................................................................................................166 Global Currency Hedging .................................................................................................................................166 A Habit-Based Explanation of the Exchange Rate Risk Premium ........................................................................................167 Collateral Spread and Financial Development.......................................................................................................................167 False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas.......................................................167 Do Hot Hands Exist among Hedge Fund Managers? An Empirical Evaluation....................................................................168 Stock Market Declines and Liquidity .................................................................................................................................168 Time Variation in Liquidity: The Role of Market-Maker Inventories and Revenues............................................................168 The Impact of Deregulation and Financial Innovation on Consumers: The Case of the Mortgage Market ..........................169 Individualism and Momentum around the World..................................................................................................................169 Correlation Risk and Optimal Portfolio Choice.....................................................................................................................169 The Variability of IPO Initial Returns .................................................................................................................................170 Levered Returns .................................................................................................................................170 The New Game in Town: Competitive Effects of IPOs.........................................................................................................170 Financial Structure, Acquisition Opportunities, and Firm Locations ....................................................................................171 Taxes on Tax-Exempt Bonds .................................................................................................................................171 Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models......171 Personal Bankruptcy and Credit Market Competition ...........................................................................................................172 Corporate Political Contributions and Stock Returns ............................................................................................................172 The Interdependent and Intertemporal Nature of Financial Decisions: An Application to Cash Flow Sensitivities .............172 Performance and Persistence in Institutional Investment Management.................................................................................173

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Summer (2010) ....................................................................................................................174The Variability of IPO Initial Returns .................................................................................................................................174 Levered Returns .................................................................................................................................174 The New Game in Town: Competitive Effects of IPOs.........................................................................................................174 Financial Structure, Acquisition Opportunities, and Firm Locations ....................................................................................175 Taxes on Tax-Exempt Bonds .................................................................................................................................175 Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models......175 Personal Bankruptcy and Credit Market Competition ...........................................................................................................175 Corporate Political Contributions and Stock Returns ............................................................................................................176 The Interdependent and Intertemporal Nature of Financial Decisions: An Application to Cash Flow Sensitivities .............176 Performance and Persistence in Institutional Investment Management.................................................................................176 Information and Incentives Inside the Firm: Evidence from Loan Officer Rotation .............................................................177 Networking as a Barrier to Entry and the Competitive Supply of Venture Capital ...............................................................177 Does Credit Competition Affect Small-Firm Finance ...........................................................................................................177 Human Capital, Bankruptcy, and Capital Structure...............................................................................................................178 Stapled Finance .................................................................................................................................178 Cash Holdings and Corporate Diversification .......................................................................................................................178 A Gap-Filling Theory of Corporate Debt Maturity Choice ...................................................................................................178 The Political Economy of Financial Regulation: Evidence from U.S. State Usury Laws in the 19th Century......................179 Risk and the Corporate Structure of Banks............................................................................................................................179 Financial Strength and Product Market Behavior: The Real Effects of Corporate Cash Holdings........................................179 Executive Compensation and the Maturity Structure of Corporate Debt...............................................................................180 The Effect of SOX Section 404: Costs, Earnings Quality, and Stock Prices.........................................................................180 Capital Structure as a Strategic Variable: Evidence from Collective Bargaining..................................................................180 Presidential Address: Asset Price Dynamics with Slow-Moving Capital..............................................................................181 Disagreement and Learning: Dynamic Patterns of Trade ......................................................................................................181 Generalized Disappointment Aversion and Asset Prices.......................................................................................................181 Information Quality and Long-Run Risk: Asset Pricing Implications...................................................................................182 Intraday Patterns in the Cross-section of Stock Returns ........................................................................................................182 Sell-Side School Ties .................................................................................................................................182 Predictive Regressions: A Present-Value Approach..............................................................................................................182 Do Limit Orders Alter Inferences about Investor Performance and Behavior? .....................................................................183 Why Do Foreign Firms Leave U.S. Equity Markets? ............................................................................................................183 Market Segmentation and Cross-predictability of Returns ....................................................................................................183 Mutual Fund Incubation .................................................................................................................................184

Fall (2010) ............................................................................................................................185Big Bad Banks? The Winners and Losers from Bank Deregulation in the United States .....................................................185 Price Discovery in Illiquid Markets: Do Financial Asset Prices Rise Faster Than They Fall?..............................................185 Exploring the Nature of "Trader Intuition"............................................................................................................................185 Genetic Variation in Financial Decision-Making ..................................................................................................................186 Diversification and Its Discontents: Idiosyncratic and Entrepreneurial Risk in the Quest for Social Status .........................186 Hedge Fund Contagion and Liquidity Shocks .......................................................................................................................186 Microstructure and Ambiguity .................................................................................................................................187 "Time for a Change": Loan Conditions and Bank Behavior when Firms Switch Banks .......................................................187 Short Sellers and Financial Misconduct.................................................................................................................................187 Luck versus Skill in the Cross-Section of Mutual Fund Returns ...........................................................................................18811



A Bayesian Approach to Real Options: The Case of Distinguishing between Temporary and Permanent Shocks...............188 Individual Investors and Local Bias .................................................................................................................................188

Winter (2010) .......................................................................................................................189Sticks or Carrots? Optimal CEO Compensation when Managers Are Loss Averse ..............................................................189 Why Are CEOs Rarely Fired? Evidence from Structural Estimation ....................................................................................189 The Cost of Debt .................................................................................................................................189 The Net Benefits to Leverage .................................................................................................................................190 Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure..........................................................190 Who Blows the Whistle on Corporate Fraud? .......................................................................................................................190 Corporate Fraud and Business Conditions: Evidence from IPOs ..........................................................................................191 Collateral, Risk Management, and the Distribution of Debt Capacity...................................................................................191 Leverage Choice and Credit Spreads when Managers Risk Shift..........................................................................................191 Lucky CEOs and Lucky Directors .................................................................................................................................192 Managerial Legacies, Entrenchment, and Strategic Inertia....................................................................................................192

Journal of Behavioral Finance...........................................................................................194 Spring (2010) .......................................................................................................................195Role of Affective Reactions to Financial Information in Investors' Stock Price Judgments .................................................195 Effects of Visual Priming on Improving Web Disclosure to Investors..................................................................................195 Investment Decision Making: Do Experienced Decision Makers Fall Prey to the Paradox of Choice?................................196 Financial Engineering and Rationality: Experimental Evidence Based on the Monty Hall Problem ....................................196 The Availability Heuristic and Investors' Reaction to Company-Specific Events.................................................................196

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SummaryTo help with the job of keeping track of the latest financial research output from academia we typically compile quarterly collations of the abstracts of academic papers In this reference document we include papers published in Q4 and for completeness also include all papers published in Q1, Q2 and Q3 to create a full 2010 summary report. Specifically we have collated the abstracts from nine popular financial journals. The journals from which articles have been collated are listed below alongside their web address. Please contact the journal directly if you are interested in specific articles.Figure 1: Summary of Journals Included in this document

Journal Journal of Financial and Quantitative Analysis Journal of Financial Research Journal of Portfolio Management Journal of Alternative Investments Journal of Financial Economics The Financial Review Journal of Econometrics

Web Address http://journals.cambridge.org/action/displayJo urnal?jid=JFQ http://www.wiley.com/bw/journal.asp?ref=02 70-2592 http://www.iijournals.com/toc/jpm/current http://www.iijournals.com/toc/jai/current http://ideas.repec.org/s/eee/jfinec.html http://www.olemissbusiness.com/financialRev iew/index.html http://www.elsevier.com/wps/find/journaldesc ription.cws_home/505575/description#descrip tion http://www.afajof.org/ http://www.journalofbehavioralfinance.org/jou rnals/journals_main.html

Journal of Finance Journal of Behavioral FinanceSource: J.P. Morgan

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JOURNAL 1Journal of Financial and Quantitative Analysis

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Feb (2010)Is There Shareholder Expropriation in the United States? An Analysis of Publicly Traded SubsidiariesVladimir Atanasov, Audra Boone and David Haushalter Journal of Financial and Quantitative Analysis Volume 45, Issue 01, April 2010, pp 1-26 This paper examines the relation between the performance and valuations of publicly traded subsidiaries in the United States and the ownership stake of their parent companies. Cross-sectional and time-series tests demonstrate that subsidiaries of parents that own a substantial minority stake exhibit negative peer-adjusted operating performance and are valued at a 23% median discount relative to peers. In contrast, majority-owned and fully divested subsidiaries show no abnormal performance or valuations. The results of our study indicate that the association between parent ownership and subsidiary performance is nonlinear and that some parents behave opportunistically toward their publicly traded subsidiaries.

Clientele Change, Liquidity Shock, and the Return on Financially Distressed StocksZhi Da and Pengjie Gao Journal of Financial and Quantitative Analysis Volume 45, Issue 01, April 2010, pp 27-48 We show that the abnormal returns on high default risk stocks documented by Vassalou and Xing (2004) are driven by short-term return reversals rather than systematic default risk. These abnormal returns occur only during the month after portfolio formation and are concentrated in a small subset of stocks that had recently experienced large negative returns. Empirical evidence supports the view that the short-term return reversal arises from a liquidity shock triggered by a clientele change.

Predicting Global Stock ReturnsErik Hjalmarsson Journal of Financial and Quantitative Analysis Volume 45, Issue 01, April 2010, pp 49-80 We show that the abnormal returns on high default risk stocks documented by Vassalou and Xing (2004) are driven by short-term return reversals rather than systematic default risk. These abnormal returns occur only during the month after portfolio formation and are concentrated in a small subset of stocks that had recently experienced large negative returns. Empirical evidence supports the view that the short-term return reversal arises from a liquidity shock triggered by a clientele change.

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The Signaling Hypothesis Revisited: Evidence from Foreign IPOsBill B. Francis, Iftekhar Hasan, James R. Lothian and Xian Sun Journal of Financial and Quantitative Analysis Volume 45, Issue 01, April 2010, pp 81-106 While the signaling hypothesis has played a prominent role as the economic rationale associated with the initial public offering (IPO) underpricing puzzle (Welch (1989)), the empirical evidence on it has been mixed at best (Jegadeesh, Weinstein, and Welch (1993), Michaely and Shaw (1994)). This paper revisits the issue from the vantage point of close to two decades of additional experience by examining a sample of foreign IPOsfirms from both financially integrated and segmented marketsin U.S. markets. The evidence indicates that signaling does matter in determining IPO underpricing, especially for firms domiciled in countries with segmented markets, which as a result face higher information asymmetry and lack access to external capital markets. We find a significant positive and robust relationship between the degree of IPO underpricing and segmented-market firms seasoned equity offering (SEO) activities. For firms from integrated markets, in contrast, the analyst-coverage purchase hypothesis appears to matter more in explaining IPO underpricing, and the aftermarket price appreciation explains these firms SEO activities. The evidence, therefore, clearly supports the notion that some firms are willing to leave money on the table voluntarily to get a more favorable price at seasoned offerings when they are substantially wealth constrained, a prediction embedded in the signaling hypothesis.

How Does Liquidity Affect Government Bond Yields?Carlo Favero, Marco Pagano and Ernst-Ludwig von Thadden Journal of Financial and Quantitative Analysis Volume 45, Issue 01, April 2010, pp 107-134 The paper explores the determinants of yield differentials between sovereign bonds, using euro-area data. There is a common trend in yield differentials, which is correlated with a measure of aggregate risk. In contrast, liquidity differentials display sizeable heterogeneity and no common factor. We propose a simple model with endogenous liquidity demand, where a bonds liquidity premium depends both on its transaction cost and on investment opportunities. The model predicts that yield differentials should increase in both liquidity and risk, with an interaction term of the opposite sign. Testing these predictions on daily data, we find that the aggregate risk factor is consistently priced, liquidity differentials are priced for a subset of countries, and their interaction with the risk factor is in line with the models prediction and crucial to detect their effect.

Investor Protection, Equity Returns, and Financial GlobalizationMariassunta Giannetti and Yrj Koskinen Journal of Financial and Quantitative Analysis Volume 45, Issue 01, April 2010, pp 135-168 We study the effects of investor protection on stock returns and portfolio allocation decisions. In our theoretical model, if investor protection is weak, wealthy investors have an incentive to become controlling shareholders. In equilibrium, the stock price reflects the demand from both controlling shareholders and portfolio investors. Due to the high demand from controlling shareholders, the price of weak corporate16



governance stocks is not low enough to fully discount the extraction of private benefits. Thus, stocks have lower expected returns when investor protection is weak. This has implications for domestic and foreign investors stockholdings. In particular, we show that portfolio investors participation in the domestic stock market and home equity bias are positively related to investor protection and provide original evidence in their support.

An Epidemic Model of Investor BehaviorSophie Shive Journal of Financial and Quantitative Analysis Volume 45, Issue 01, April 2010, pp 169-198 I test whether social influence affects individual investors trading and stock returns. In each of the 20 most active stocks in Finland over 9 years, the number of owners in a municipality multiplied by the number of investors who do not own a stock, a measure of the rate of transmission of diseases and rumors through social contact, predicts individual investor trading. I control for known determinants of trade, including daily news, and show that competing explanations for the relation are unlikely. Socially motivated trades predict stock returns, and the effects are not reversed, suggesting that individuals share useful information. Individuals susceptibility to social influence has declined during the period, but the opportunities for social influence have increased.

Predicting Hedge Fund Failure: A Comparison of Risk MeasuresBing Liang and Hyuna Park Journal of Financial and Quantitative Analysis Volume 45, Issue 01, April 2010, pp 199-222 This paper compares downside risk measures that incorporate higher return moments with traditional risk measures such as standard deviation in predicting hedge fund failure. When controlling for investment strategies, performance, fund age, size, lockup, high-water mark, and leverage, we find that funds with larger downside risk have a higher hazard rate. However, standard deviation loses the explanatory power once the other explanatory variables are included in the hazard model. Further, we find that liquidation does not necessarily mean failure in the hedge fund industry. By reexamining the attrition rate, we show that the real failure rate of 3.1% is lower than the attrition rate of 8.7% on an annual basis during the period of 19952004.

Fund Flow Volatility and PerformanceDavid Rakowski Journal of Financial and Quantitative Analysis Volume 45, Issue 01, April 2010, pp 223-237 This paper provides a detailed analysis of the impact of daily mutual fund flow volatility on fund performance. I document a significant negative relationship between the volatility of daily fund flows and cross-sectional differences in riskadjusted performance. This relationship is driven by domestic equity funds, as well as small funds, well-performing funds, and funds that experience inflows over the sample period. My results are consistent with performance differences arising from the transaction costs of nondiscretionary trading driven by daily fund flows, but not

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with performance differences arising from the suboptimal cash holdings that arise from fund flows.

Pharmaceutical R&D Spending and Threats of Price RegulationJoseph Golec, Shantaram Hegde and John A. Vernon Journal of Financial and Quantitative Analysis Volume 45, Issue 01, April 2010, pp 239-264 Do threats of pharmaceutical price regulation affect subsequent research and development (R&D) spending? This study uses the Clinton administrations Health Security Act (HSA) of 1993 as a natural experiment to study this issue. We link events surrounding the HSA to pharmaceutical stock price changes and then examine the cross-sectional relation between firms stock price changes and their subsequent unexpected R&D spending changes. Results show that the HSA had significant negative effects on stock prices and firm-level R&D spending. Conservatively, the HSA reduced R&D spending by about $1 billion even though it never became law.

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Apr (2010)Corporate Governance and LiquidityKee H. Chung, John Elder and Jang-Chul Kim Journal of Financial and Quantitative Analysis Volume 45, Issue 02, April 2010, pp 265-291 We investigate the empirical relation between corporate governance and stock market liquidity. We find that firms with better corporate governance have narrower spreads, higher market quality index, smaller price impact of trades, and lower probability of information-based trading. In addition, we show that changes in our liquidity measures are significantly related to changes in the governance index over time. These results suggest that firms may alleviate information-based trading and improve stock market liquidity by adopting corporate governance standards that mitigate informational asymmetries. Our results are remarkably robust to alternative model specifications, across exchanges, and to different measures of liquidity.

Factoring Information into ReturnsDavid Easley, Soeren Hvidkjaer and Maureen OHara Journal of Financial and Quantitative Analysis Volume 45, Issue 02, April 2010, pp 293-309 We examine the potential profits of trading on a measure of private information (PIN) in a stock. A zero-investment portfolio that is size-neutral but long in high PIN stocks and short in low PIN stocks earns a significant abnormal return. The FamaFrench, momentum, and liquidity factors do not explain this return. However, significant covariation in returns exists among high PIN stocks and among low PIN stocks, suggesting that PIN might proxy for an underlying factor. We create a PIN factor as the monthly return on the zero-investment portfolio above and show that it is successful in explaining returns to independent PIN-size portfolios. We also show that it is robust to inclusion of the Pstor-Stambaugh liquidity factor and the Amihud illiquidity factor. We argue that information remains an important determinant of asset returns even in the presence of these additional factors.

Portfolio Optimization with Mental AccountsSanjiv Das, Harry Markowitz, Jonathan Scheid and Meir Statman Journal of Financial and Quantitative Analysis Volume 45, Issue 02, April 2010, pp 311-334 We integrate appealing features of Markowitzs mean-variance portfolio theory (MVT) and Shefrin and Statmans behavioral portfolio theory (BPT) into a new mental accounting (MA) framework. Features of the MA framework include an MA structure of portfolios, a definition of risk as the probability of failing to reach the19



threshold level in each mental account, and attitudes toward risk that vary by account. We demonstrate a mathematical equivalence between MVT, MA, and risk management using value at risk (VaR). The aggregate allocation across MA subportfolios is mean-variance efficient with short selling. Short-selling constraints on mental accounts impose very minor reductions in certainty equival

jpmorgan 2010 academic reference

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