Research

The goal of the Zell Center for Risk Research is to promote the study and understanding of the way people perceive risk, the effects of these perceptions, and the management of risk. The center will do this in two ways: first, by encouraging academic research in this area; and second, through facilitating the communication of the results of this research to a wide audience of academics, students and practitioners.

ANDERSEN, TORBEN

2008.  (Andersen; Bollerslev; Diebold)
Parametric and Nonparametric Measurements of Volatility

2008.  (Andersen; Benzoni)
Stochastic Volatility, Springer Verlag

2008. (Andersen; Todorov)
Realized Volatility and Multipower Variation, Wiley & Sons

2008. (Andersen; Shephard)
Stochastic Volatility: Origins and Overview, Springer Verlag

2007. (Andersen; Huang)
"A Reduced Form Framework for Modeling and Forecasting Jumps and Volatility in Speculative Prices," Journal of Econometrics

2007. (Andersen; Bondarenko) 
Construction and Interpretation of Model-Free Implied Volatility, Risk Books

2007. (Andersen; Dobrev)
"No-Arbitrage Semi-Martingale Restrictions for Continuous-Time Volatility Models subject to Leverage Effects, Jumps and i.i.d. Noise: Theory and Testable Distributional Assumptions," Journal of Econometrics

2007.
Realized Volatility, Palgrave Macmillan

2007. (Andersen; Meddahi; Nour)
"Realized Volatility Forecasting and Market Microstructure Noise," Journal of Econometrics

2007. (Andersen; Diebold; Bollerslev)
"Roughing It Up: Including Jump Components in Measuring, Modeling and Forecasting Asset Return Volatility," Review of Economics and Statistics

2007. (Andersen; Benzoni). Forthcoming:
“The Economic Determinants of Interest rate Volatility in the U.S. Treasury Market"

2007. (Andersen; Frederiksen, Staal)
"The Information Content of Realized Volatility Forecasts"

2007. (Andersen; Bollerslev; Christoffersen; Diebold)
Volatility and Correlation - Practical Methods for Financial Applications.  Princeton University Press

2007.
Volatility Modeling,  Wiley

2006. (Andersen; Frederiksen; Nielsen)
"Continuous-Time Models, Realized Volatilities and Testable Distributional Implications for Daily Stock Returns," Journal of Applied Econometrics

2006. (Andersen; Benzoni)
Can Bonds Hedge Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models

2005. (Andersen; Bollerslev; Diebold; Wu)
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk

2005. (Andersen; Bollerslev; Christoffersen; Diebold)
Practical Volatility and Correlation Modeling for Financial Risk Management

2006. (Andersen; Christoffersen, Diebold)
Volatility and Correlation Forecasting (Handbook of Economic Forecasting),  Elsevier

2005. (Andersen; Bollerslev)
Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies. Foreign Exchange Markets. Cheltenham Glos, United Kingdom: Edward Elgar Publishing Ltd.

2005. (Andersen; Bollerslev)
Intraday Periodicity and Volatility Persistence in Financial Markets
Foreign Exchange Markets. Cheltenham Glos, United Kingdom: Edward Elgar Publishing Ltd.

2005.
Stochastic Autoregressive Volatility: A Framework for Volatility Modeling.  Stochastic Volatility: Selected Readings. Oxford, United Kingdom: Oxford University Press

AUSTEN-SMITH, DAVID

2006. (Austen-Smith; Feddersen)
Deliberation, preference uncertainty and voting rules (American Political Science Review)

BALACHANDRAN, BALA

2002. ( Balachandran; Bakajrusgbabm; Sivaramakrishnan; Konduru)
Capacity Planning with Demand Uncertainty (Engineering Economist)

BALIGA, SANDEEP

2006. (Baliga: Sjostrom, Tomas)
Strategic Ambiguity and Arms Proliferation

2004. (Baliga: Sjostrom, Tomas)
Arms Races and Negotiations (Review of Economic Studies)

BANERJEE, SNEHAL

2007.  
"Learning from Prices and the Dispersion in Beliefs"

2007. (Banerjee; Kaniel; Kremer)
"Price drift as an outcome of differences in higher order beliefs"

2007. (Banerjee; Kremer)
"Disagreement and Learning: Dynamic Patterns of Trade”

BASSAMBOO, ACHAL

2006. (Bassamboo; Juneja; Zeevi)
Portfolio credit risk with extremal dependence

CHOPRA, SUNIL

2004. (Chopra; ManMohan)
Managing Risk to Avoid Supply Chain Breakdown

CONLEY, JAMES GERARD

2002. (Conley; Scarry; Wang)
System and Method for Ameliorating Subcontracting Risk (United States Patent Application #0087380)

EBERLY, JAN

2008.
"Irreversible Investment"

2008. (Eberly; Rebelo; Vincent)
"Investment and Value: A Neoclassical Benchmark"

Comments on "Time-varying Risk Premia and the Cost of Capital: An Alternative Implication of the Q Theory of Investment" (PDF 17 pages) Carnegie-Rochester Conference Series on Public Policy 2001.

EISFELDT, ANDREA

2008. (Eisfeldt; Rampini)
"Managerial Incentives, Capital Reallocation, and the Business Cycle," Journal of Financial Economics

2007. (Eisfeldt; Rampini) FORTHCOMING:
"Measuring Capital Reallocation"  

2007. (Eisfeldt; Rampini)
"Financing Shortfalls and the Value of Aggregate Liquidity"

2007.
"Smoothing with Liquid and Illiquid Assets," Journal of Monetary Economics

2006. (Eisfeldt; Rampini)
"Capital Reallocation and Liquidity," Journal of Monetary Economics, (April 2006)

FEDDERSEN, TIM

2006. (Feddersen; Austen-Smith)
Deliberation, preference uncertainty and voting rules (American Political Science Review)

FISHMAN, MICHAEL

2008. (Fishman; DeMarzo; He; Wang). FORTHCOMING:
"Dynamic Agency and Publicly Observed Exogenous Shock"

2008. (Fishman; DeMarzo; He; Wang)
"Dynamic Agency and the q Theory of Investment"

2007. (Fishman; DeMarzo)
"Agency and Optimal Investment Dynamics," Review of Financial Studies, (1)

2007. (Fishman; DeMarzo)
"Optimal Long-Term Financial Contracting," Review of Financial Studies, (6).

2007. (Fishman; DeMarzo; Hagerty)
"Reputations, Investigations and Self Regulation"

2005. (Fishman; DeMarzo; Hagerty)
"Self Regulation and Government Oversight," Review of Economic Studies

HOCHBERG, YAEL V.

2008. (Hochberg; Sapienza; Vissing-Jorgensen)
"A Lobbying Approach to Evaluating the Sarbanes-Oxley Act of 2002"

2008. (Hochberg; Lindsey)
"Incentives, Targeting and Firm Performance: An Analysis of Non-Executive Stock Options"

2008. (Hochberg; Ljungqvist; Lu)
"Networks as a Barrier to Entry and the Competitive Supply of Venture Capital"

2007. (Hochberg; Ang; Gu)
"Is IPO Underperformance a Peso Problem?," Journal of Financial and Quantitative Analysis, (3)

2007. (Hochberg; Ljungqvist; Lu)
"Whom You Know Matters: Venture Capital Networks and Investment Performance," Journal of Finance, (1)

JAGANNATHAN, RAVI

2008. (Jagannathan; Basak; Ma)
"A Jackknife Estimator for Tracking Error Variance of Optimal Portfolios"

2008. (Jagannathan; Chabot; Ghysels)
"Price Momentum in Stocks: Using Data from the Victorian Age to Evaluate Competing Theories"

2008. (Jagannathan; Da; Gao)
"When Does A Mutual Fund's Trade Reveal Its Skill?"

2007. (Jagannathan; Wang)
"Calendar Cycles, Infrequent Decisions and the Cross Section of Stock Returns"

2007. (Jagannathan; Novikov)
"Do Hot Hands Persist Among Hedge Fund Managers? An Empirical Investigation"

2006. (Jagannathan; Gao; Yan)
IPO Pricing and Long Run Performance: Role of Comparable Firms, Valuation Models, and Uncertainty

2005. (Jagannathan; Basak, Gopal; Ma, Tongshu)
A Jackknife Estimator for Tracking Error Variance of Optimal Portfolios Constructed Using estimated Inputs

2003. (Ma, Tongshu)
Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (Journal of Finance)

KLIBANOFF, PETER

2004.
Stochastically Independent Randomization and Uncertainty Aversion

2001.
Characterizing uncertainty aversion through preference for mixtures (Social Choice and Welfare)

2001.
Stochastically Independent Randomization and Uncertainty Aversion (Economic Theory)

KONDO, JIRO E.

2008. (Kondo; Papanikolaou)
"Financial Relationships and the Limits to Arbitrage"

KORAJCZYK, ROBERT

2008. (Korajczyk; Connor)
Factor Models in Portfolio and Asset Pricing Theory, Springer

2008. (Korajczyk; Heston; Sadka)
"Intraday Patterns in the Cross-Section of Stock Returns"
This research won the Dr. Richard A. Crowell Memorial Prize.

2008. (Korajczyk; Connor; Goldberg)
Portfolio Risk Management. Princeton:  Princeton University Press

2008. (Korajczyk; Sadka)
"Pricing the Commonality Across Alternative Measures of Liquidity," Journal of Financial Economics, (1)

2007. (Korajczyk; Connor)
"A Test for the Number of Factors in an Approximate Factor Model," Journal of Finance, (4)

2007. (Korajczyk; Connor)
Factor Models of Asset Returns, Wiley

2006. (Korajczyk; Sadka)
Pricing the Commonality Across Alternative Measures of Liquidity

2003. (Korajczyk; Connor)
Risk Management in Asset Management

KRISHNAMURTHY, ARVIND

2008. (Krishnamurthy; He)
"Intermediary Asset Pricing"

2008. (Krishnamurthy; Caballero)
"Musical Chairs: A Comment on the Credit Crisis," Banque de France Financial Stability Review

2008. (Krishnamurthy; Vissing-Jorgensen)
"The Aggregate Demand for Treasury Debt"

2008. (Krishnamurthy; Vigneron;, Gabaix)
"Limits of Arbitrage: Theory and Evidence from the Mortgage Backed Securities Market," Journal of Finance, (2).

2006. (Krishnamurthy; Caballero)
Flight to Quality and Collective Risk Management

2005. (Krishnamurthy; Caballero)
Financial System Risk and Flight to Quality

KUZMICS, CHRISTOPH

2006. (Kuzmics; Hara)
Representative consumer's risk aversion and efficient risk-sharing rules

2005. (Kuzmics; Hara)
Efficient Risk-Sharing Rules with Heterogeneous Risk Attitudes and Background Risks

2002. (Kuzmics; Fortin)
Tail-dependence in stock-return pairs (International Journal of Intelligent Systems in Accounting, Finance and Management)

KUHNEN, CAMELIA M.

2009. (Kuhnen; Knutson)
"The Influence of Affect on Beliefs, Preferences and Financial Decisions," (Forthcoming in the Journal of Financial and Quantitative Analysis)

2008. (Kuhnen; Knutson; Wimmer; Winkielman)
"Nucleus accumbens activation mediates the influence of reward cues on financial risk taking," NeuroReport, (5).

2008. (Kuhnen; Zwiebel)
Executive pay, hidden compensation and managerial entrenchment

2008
Social networks, corporate governance and contracting in the mutual fund industry

2005. (Kuhnen; Knutson)
"Neural basis of financial risk taking," Neuron

LEE, ANGELA

2001.
The Mere Exposure Effect: An Uncertainty Reduction Explanation Revisited (Personality and Social Psychology Bulletin)

LYS, THOMAS

2006. (Lys; Sletten)
Motives for and Risk-Incentive Implications of CEO Severance

2005. (Lys; Cohen; Dey)
The Sarbanes Oxley Act of 2002: Implications for Compensation Structure and Risk-Taking Incentives of CEOs

MAGEE, ROBERT

2008.
“Reasonably Certain Estimates, Recognition, and Communication of Uncertainty,” Working Paper

MATSA, DAVID A.

2008.
"Financial Leverage and Costly Underinvestment: Evidence from the Supermarket Industry," AFA 2008 New Orleans Meetings.

2007. (Matsa; Anderson)
"Are Restaurants Really Supersizing America?"

2007.
"Capital Structure as a Strategic Variable: Evidence from Collective Bargaining"

2007.
Does Malpractice Liability Keep the Doctor Away? Evidence from Tort Reform Damage Caps," Journal of Legal Studies.

MCDONALD, ROBERT

2008.
Fundamentals of Derivatives Markets. Boston:  Pearson.

2006.
"The Role of Real Options In Capital Budgeting: Theory and Practice," Journal of Applied Corporate Finance, (2).

2006.
Derivatives Markets, 2nd Edition.

OCASIO, WILLIAM

2005.
The Opacity of Risk: Language and the Culture of Safety in NASA's Space Shuttle Program

PAPANIKOLAOU, DIMITRIS

2008. (Papanikolaou; Kogan)
"Investment Dynamics, Cost of Capital and the Value Premium"

2008.
"Investment Specific Shocks and Asset Prices"  

2008. (Papanikolaou; Makarov)
"Sources of Systematic Risk"

PARKER, JONATHAN

2008. (Parker; Brunnermeier; Papakonstantinou)
"An Economic Model of the Planning Fallacy"

2008.
Euler Equations,  Palgrave MacMillan.

2008. (Parker; Brunnermeier; Gollier)
"Optimal Beliefs, Asset Prices, and the Preference for Skewed Returns," American Economic Review, (2).

2007. (Parker; Hsieh)
"Taxes and Growth in a Financially Underdeveloped Country: Evidence from the Chilean Investment Boom," Economia, (1).

2006. (Parker; Johnson; Souleles)
"Household Expenditure and the Income Tax Rebates of 2001," American Economic Review, (5).

2005. (Parker; Julliard)
"Consumption Risk and the Cross-Section of Expected Returns," Journal of Political Economy, (1).

2005. (Parker; Brunnermeier)
"Optimal Expectation," American Economic Review, (4).

2005. (Parker; Preston)
"Precautionary Saving and Consumption Fluctuations," American Economic Review, (4).

PETERSEN, MITCHELL

2008.
"Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches," Review of Financial Studies.

2006. (Petersen; Faulkender)
"Does the Source of Capital Affect Capital Structure?," Review of Financial Studies, (Spring).

2000. (Petersen; Thiagarajan)
Risk Measurement and Hedging: With and Without Derivatives (Financial Management)

1997. (Petersen; Rajan)
"Trade Credit: Theories and Evidence," Review of Financial Studies, (Fall, 1997).

RAVIV, ARTUR

2008. (Raviv; Harris)
"A Theory of Board Control and Size," Review of Financial Studies.

2008. (Raviv; Harris)
"Control of Corporate Decisions: Shareholders vs. Management"

2005. (Raviv; Harris)
"Allocation of Decision-Making Authority," Review of Finance, (3).

REBELO, SERGIO

2008. (Rebelo; Burnside; Eichenbaum)
"Carry Trade: the Gains from Diversification," Journal of the European Economic Association.

2008. (Rebelo; Jaimovich)
"News and Business Cycles in Open Economies"

2008. (Rebelo; Eichenbaum; Jaimovich)
"Reference Prices and Nominal Rigidities"

2008. (Rebelo; Burnside; Eichenbaum)
"Understanding the Forward Premium Puzzle A Microstructure Approach"

2008. (Rebelo; Vegh)
"When Is It Optimal to Abandon a Fixed Exchange Rate?," Review of Economic Studies.

2007. (Rebelo; Jaimovich)
"Behavioral Theories of the Business Cycle," Journal of the European Economic Association.

2007. (Rebelo; Burnside; Eichenbaum)
"The Returns to Currency Speculation in Emerging Markets," American Economic Review.

2006. (Rebelo; Jaimovich)
"Can News about the Future Drive the Business Cycle?"

2006. (Rebelo; Burnside; Eichenbaum)
"Government Finance in the Wake of Currency Crises," Journal of Monetary Economics.

2006. (Rebelo; Burnside)
Currency Crises,  Macmillan

2006. (Rebelo; Burstein; Eichenbaum)
"How Important Are Nontradable Goods Prices As Sources of Cyclical Fluctuations in Real Exchange Rates?," Japan and the World Economy.

2006. (Rebelo; Burstein; Eichenbaum)
"Modeling Exchange Rate Passthrough After Large Devaluations," Journal of Monetary Economics.

2006. (Rebelo; Burnside; Eichenbaum; Kleshchelski)
"The Returns to Currency Speculation"

SAPIENZA, PAOLA

2008.( Sapienza; Guiso; Monte; Zingales)
"Culture, Math, and Gender," Science, (5880).

2008. (Sapienza; Guiso; Zingales)
"Long Term Persistence"

2007. (Sapienza; Guiso; Zingales)
"Cultural biases in Economic Exchange"

2007. (Sapienza; Guiso; Zingales)
"Social Capital as Good Culture," Journal of the European Economic Association.

2007. (Sapienza; Guiso; Zingales)
"The cost of banking regulation"

2007. (Sapienza; Polk)
"The Stock Market and Corporate Investment: a Test of Catering Theory," Review of Financial Studies.

2007. (Sapienza; Guiso; Zingales)
"Trusting the Stock Market," Journal of Finance.

2007. (Sapienza; Toldra; Zingales)
"Understanding Trust"

2007. (Sapienza; Ravina)
"What Do Independent Directors Know? Evidence from Their Trading"

2006. (Sapienza; Guiso; Zingales)
"Does Culture Affect Economic Outcomes?," Journal of Economic Perspectives, (2).

2004. (Sapienza; Guiso; Zingales)
"Does Local Financial Development Matter?," Quarterly Journal of Economics, (3).

2004.
"The Effects of Government Ownership on Bank Lending," Journal of Financial Economics, (2).

SCHMEDDERS, KARL

2001. (Schmedders; Earle)
Demand Uncertainty and Risk-Aversion: Why Price Caps May Lead to Higher Prices

SHEIN, JAMES

2005.
Trying to Match Sox: Dealing with New Challenges and Risks Facing Directors (The Journal of Private Equity)

SKIADAS, CONSTANTINOS

2008.
Asset Pricing Theory.  Princeton University Press. Forthcoming monograph and PhD textbook. Table of Contents

2008.
"Dynamic Portfolio Choice and Risk Aversion," chapter in Financial Engineering, edited by J. R. Birge and V. Linetsky, Vol. 15,  Elsevier, 2008.

2008. (Skiadas; Scroeder)
"Optimality and State Pricing in Constrained Financial Markets with Recursive Utility under Continuous and Discontinuous Information," Mathematical Finance

2008.
“Smooth Ambiguity Aversion Toward Small Risks and Continuous-Time Recursive Utility"

TODOROV, VIKTOR

2007.
"Econometric Analysis of Jump-Driven Stochastic Volatility Models"

2007.
"Estimation of Continuous-Time Stochastic Volatility Models with Jumps using High-Frequency Data"

2007. (Todorov; Jacod)
"Testing for Common Arrival of Jumps in Discretely-Observed Multidimensional Processes"

2007.
"Variance Risk Premium Dynamics"

2006. (Todorov; Tauchen)
"Simulation Methods for Levy-driven CARMA Stochastic Volatility Models," Journal of Business and Economic Statistics, (4).

VAN MIEGHEM, JAN

2006.
Risk-averse Newsvendor Networks: Resource Flexibility, Sharing, and Hedging

VISSING-JORGENSEN, ANNETTE

2006. (Vissing-Jorgensen; Malloy; Moskowitz)
"Long-Run Stockholder Consumption Risk and Asset Returns"

2006. (Vissing-Jorgensen; Greenstone; Oyer)
Mandated Disclosure, Stock Returns, and the 1964 Securities Acts Amendments, Quarterly Journal of Economics

2006. (Vissing-Jorgensen; Skyt Nielsen)
The Impact of Labor Income Risk on Educational Choices: Estimates and Implied Risk Aversion

2006. (Vissing-Jorgensen; Greenstone; Oyer)
The Value of Knowing, Regulation

2005. (Vissing-Jorgensen; Bitler; Moskowitz)
Testing Agency Theory With Entrepreneur Effort and Wealth, Journal of Finance. Awarded the Journal of Finance Brattle Prize (Distinguished Paper) for 2005.

2005. (Vissing-Jorgensen; Malloy; Moskowitz)
Human Capital Risk, Stockholder Consumption, and Asset Returns

2003. (Vissing-Jorgensen; Attanasio)
Stock Market Participation, Intertemporal Substitution and Risk Aversion (American Economic Review, Papers and Proceedings)

WARD, JOHN

2002.
Governance: Risk Reducing or Value Adding (The Family Business Advisor