Special Projects

The Zell Center for Risk Research funds a number of special projects. Several are highlighted in this section:

  Robert McDonald
  Jonathan Parker
  Daniel Diermeier
  Linda Emanuel
  Camelia Kuhnen
  Paola Sapienza
  Robert Korajczyk
  Sandeep Baliga
  Keith Murnighan
  Torben Andersen

Professor Robert McDonald
Derivative Markets

The Zell Center is providing research support for the third edition of Derivative Markets: To be financially literate in today’s market, business students must have a solid understanding of derivatives concepts and instruments and the uses of those instruments in corporations.  The Second Edition has an accessible mathematical presentation, and more importantly, helps students gain intuition by linking theories and concepts together with an engaging narrative that emphasizes the core economic principles underlying the pricing and uses of derivatives.

Professor Jonathan Parker
Consumer Spending and the Economic Stimulus Payments of 2008* with Nicholas S. Souleles, University of Pennsylvania and NBER; David S. Johnson, U.S. Census Bureau;  Robert McClelland, Bureau of Labor Statistics.

Abstract: Using special questions added to the Consumer Expenditure Survey, we measure the response of household spending to the economic stimulus payments (ESPs) disbursed in mid- 2008. We find that, on average, households spent about 12-31% of their stimulus payments on non-durable goods during the three-month period in which the payments were received. Further, there was also a substantial and significant increase in spending on durable goods, in particular autos. Improving on previous research, these spending responses are estimated with precision using only variation in the timing of ESP receipt. We also find some evidence of an ongoing though smaller response in the subsequent three-month period, though this response cannot be estimated with precision. Further, we find little evidence that the propensity to spend varies with the means of delivery (paper check versus electronic transfer). The estimated responses are substantial and significant for older, lower-income, and home-owning households. Finally, we evaluate a complementary methodology for quantifying the impact of tax cuts, which asks consumers to self-report whether they spent their tax cuts. The response of actual spending to the ESPs is indeed largest for self-reported spenders, though self-reported savers also spent a significant fraction of the payments.

Presented staff briefing for the staff of the Board of Governors of the Federal Reserve System in Washington, DC on May 2010.

Professor Daniel Diermeier
The Kellogg Reputation Central web site

The site will provide continuous quantifications for the reputation of Fortune 500 companies. The reputation measurements will derive from sophisticated analyses of news coverage using advanced text analytics. The web site will also serve as a research hub for scholars interested in integrating cutting-edge computational linguistics methods to business school research. As such, a section will be devoted to the posting of working papers and other research documents.

Business people have long recognized the importance of reputation. However, despite a substantial body of research, a solid methodology for quantify reputation is lacking. Advances in text analytics and in computational linguistics more generally are now allowing such quantification.

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Professor Linda Emanuel
"Risk in the Health Care Industry: The Patient Safety Education Project"

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Professor Camelia Kuhnen
The influence of affect on beliefs, preferences and financial decisions (with Brian Knutson). Journal of Financial and Quantitative Analysis, forthcoming.

"The Neural Basis of Financial Decision Making"

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Professor Paola Sapienza
"Understanding Trust" (with Anna Toldra and Luigi Zingales)

"The Zell Study on the Determinants of Risk Attitudes"

"Trusting the Stock Market" (with Luigi Guiso and Luigi Zingales). Forthcoming, The Journal of Finance.

"Procrastination and Impatience" (with Ernesto Reuben and Luigi Zingales).

"Social Capital as Good Culture" (with Luigi Guiso and Luigi Zingales).

"Long Term Persistence" (with Luigi Guiso and Luigi Zingales).

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Professor Robert Korajczyk

"Are You Trading Predictably?" (with Steven L. Heston, Ronnie Sadka and Lewis D. Thorson). Financial Analysts Journal. Vol 67, No. 2. 2011. CFA Institute

Portfolio Risk Analysis, (with Gregory Connor and Lisa Goldberg). Princeton: Princeton University Press. 2010

"Pricing the Commonality Across Alternative Measures of Liquidity” (with Ronnie SadkaJournal of Financial Economics 87 (January 2008): 45-72.

"Intraday Patterns in the Cross-Section of Stock Returns" (with Steven L. Heston andRonnie Sadka). Journal of Finance 65(4): 1369-1407. 2010.
This research won the Dr. Richard A. Crowell Memorial Prize.

"Factor Models of Asset Returns" (with Gregory Connor). Wiley. 2009

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Professor Deborah Lucas

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Professor Sandeep Baliga
"Mnemonomics: The Sunk Cost Fallacy as a Memory Kludge " (with Jeff Ely)

"Liquidity and Manipulation of Executive Compensation Schemes" (with Ulf Axelson)

"Domestic Political Survival and International Conflict: Is Democracy Good for Peace?" (with David O. Lucca and Tomas Sjöström)

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Professor Keith Murnighan 
"Cheating Makes You Smarter: The Relationship Between Deception and Cognitive Sophistications" (with Long Wang, Northwestern University)

"Immorality from Guilt in Ethical Decision Making: Overdo and Overcorrection" (with Long Wang, Northwestern University)

"How to reduce the risk of deception: The Influence of Positive Affect on Ethical Decision Making" (Long Wang, Northwestern University and Alice M. Isen, Cornell University)

"Creativity and Accountability in Negotiation" (with Nir Halevy)

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Professor Torben Andersen
VOLATILITY:  PRACTICAL METHODS FOR FINANCIAL APPLICATIONS (with Tim BollerslevPeter Christoffersen and Francis X. Diebold). Forthcoming, Princeton University Press.

Financial Market Volatility: From ARCH and GARCH to Stochastic and Realized Volatility" (with Tim Bollerslev). Under Preparation for MIT Press – Zeuthen Lectures.

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Zell Center for Risk Research
Kellogg School of Management
2001 Sheridan Road
Evanston, IL 60208-2800
847.491.3300