Finance

Faculty List & Specializations

NamePositionSpecialization & Research Interests
Christina AtanasovaAssociate Professor, Finance Empirical corporate finance, corporate governance, capital structure, corporate risk management, and pension economics and finance.
Avi BickAssociate Professor, Finance Options and Futures Markets, Investments, Mathematical Finance .
George BlazenkoProfessor, Finance Economics of insurance, analysis of corporate contingent claims and option pricing, corporate financial policy and pricing of initial public offerings.
Ying DuanAssistant Professor, Finance
Evan GatevAssociate Professor, Finance

trading strategies, big data high frequency trading, banks, hedge funds and financial institutions

Peter KleinProfessor, Finance Return anomalies, taxation, derivative securities, credit risk; and corporate governance.
Jijun NiuAssociate Professor, Finance

Banking, Corporate Governance

Andrey PavlovProfessor, Finance Real estate market modeling for the purpose of MBS pricing and risk management, mortgage prepayment and default analysis, Impact of mortgage lending on real estate property markets
Geoffrey PoitrasProfessor, Finance Securities Analysis, Applied Econometrics, Risk Management Applications of Futures and Options Contracts, History of Financial Economics, Debt Management, Mathematical Finance, Statistical Simulation.
Amir RubinProfessor, Finance

Corporate Finance, Corporate Governance, Behavioral Finance, Market Microstructure, Social Responsibility.

Jan SimonSenior Lecturer, Finance Hedge Funds, Alternative Investments, Entrepreneurial Finance, Sports Management, Networks
Victor SongLecturer, Finance
Alexander VedrashkoAssociate Professor, Finance

Corporate Finance, Payout Policy, Anomalies, Executive Compensation, Corporate Governance, Real Estate Finance

Derek YeeLecturer, Finance

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Research Papers


2013
  • Conconi, A., Demidow, M., Klein, P. & Niu, Jijun (2013). Learn more about the equal sector strategy of select sector SPDRs. The Journal of Wealth Management 15.4: 41-48. doi: 10.3905/jwm.2013.15.4.041
  • Grauer, Robert R. (2013). Limiting losses may be injurious to your wealth. Journal of Banking and Finance 37.12: 5088-5100. doi: 10.1016/j.jbankfin.2013.07.047
  • Klein, Peter & Yang, Jun (2013). Counterparty credit risk and American options. The Journal of Derivatives 20.4: 7-21. doi: 10.3905/jod.2013.20.4.007

2012
  • Atanasova, Christina & Gatev, Evan (2013). Pension plan risk-taking: Does it matter if the sponsor is publicly-traded? Journal of Pension Economics and Finance 12.2: 218-249. doi: 10.1017/S1474747212000339
  • Bick, Avi (2012). The relationship between reciprocal currency futures prices. Finance Research Letters 9.4: 194-201. doi: 10.1016/j.frl.2012.03.001
  • Niu, Jijun (2012). An empirical analysis of the relation between bank charter value and risk taking. The Quarterly Review of Economics and Finance 52.3: 298-304. doi: 10.1016/j.qref.2012.05.001
  • Niu, Jijun (2012). Interest rates and the risk-taking incentives of bank CEOs. Economics Bulletin 32.2: 1555-1570.
  • Niu, Jijun (2012). Corporate governance and bank profitability: Evidence from the U.S. Corporate Ownership and Control 9.2: 206-215.
  • Rubin, E. & Rubin, A. (2013). The impact of business intelligence systems on stock return volatility. Information & Management 50.2-3: 67-75.

2011
  • Cotter, Richard, Dason, J., Niu, J. & Klein, P. (2011). Corporate governance and stock performance: Evidence from Canadian firms over the period 2005-2009. Corporate Ownership and Control 8.3: 56-68.
  • Pavlov, A. & Wachter, S. (2011). Subprime lending and real estate prices. Real Estate Economics 39.1: 1-17.

2010
  • Atanasova, C. & Hrazdil, K. (2010). Why do healthy firms freeze their defined benefit pension plans? Global Finance Journal 21.3: 293-303.
  • Atanasova, C. & Hudson, R. (2010). Technical trading rules and calendar anomalies: Are they the same phenomenon? Economic Letters 106: 128-130.
  • Grauer, R. & Janmaat, J.A. (2010). Cross-sectional tests of the CAPM and Fama-French Three-Factor Model. Journal of Banking and Finance 34.2: 457-470.
  • Klein, P. & Yang, J. (2010). Vulnerable American options. Managerial Finance 36.5: 414-413. [Journal Abstract]
  • Niu, J. (2010). The effect of overconfidence on the sensitivity of CEO wealth to equity risk. Journal of Financial Services Research 38.1: 29-39.
  • Niu, J. (2010). The effect of CEO overconfidence on bank risk taking. Economics Bulletin 30.4: 3288-3299.
  • Niu, J. (2010). A note on loan market equilibrium when some borrowers are optimistic. Economics Bulletin 30: 1210-1216.
  • Pavlov, A. & Blazenko, G. (2010). Value maximizing hurdle rates for R&D investment. Economics of Innovation and New Technology 19.8: 693-717.
  • Perignon, C. & Smith, D.R. (2010). Diversification and value-at-risk. Journal of Banking and Finance 34: 55-66. [Journal Article]
  • Perignon, C. & Smith, D.R. (2010). The level and quality of value-at-risk disclosure by commercial banks. Journal of Banking and Finance 34: 362-377. [Journal Article]
  • Rubin, A. & Kraus, A. (2010). Reducing managers' incentives to cannibalize: Managerial stock options when shareholders are diversified. Journal of Financial Intermediation 19: 439-460.
  • Rubin, A. & Rubin, E. (2010). Informed investors and the internet. Journal of Business Finance and Accounting 37.7-8: 841-865.
  • Rubin, A. & Barnea, A. (2010). Corporate social responsibility as a conflict between shareholders. Journal of Business Ethics 97: 71-86.

2009
  • Gatev, E. & Strahan, P. (2009). Liquidity risk and syndicate structure. Journal of Financial Economics 93.3: 490-504.
  • Gatev, E. (2009). Liquidity risk and limited arbitrage: Are taxpayers helping hedge fund managers get rich? Journal of Investment Management 7.2.
  • Pavlov, A. & Wachter, S. (2009). Mortgage put options and real estate markets. Journal of Real Estate Finance and Economics 38.1: 86-103.
  • Poitras, G., Veld, C. & Zabolotnyuk, Y. (2009). European put-call parity and the early exercise premium for American currency options. Multinational Finance Journal 13: 39-54.
  • Gatev, E., Schuermann, T. & Strahan, P. (2009). Managing bank liquidity risk: How deposit-loan synergies vary with market conditions. Review of Financial Studies 22.3: 995-1020.
  • Poitras, G. (2009). From Antwerp to Chicago: The history of exchange traded derivative security contracts. Revue d'Histoire des Sciences Humaines 20: 11-50.
  • Gatev, E. & Ross, S. (2009). Momentum trading and performance with wrong return expectations. Journal of Portfolio Management 35.3: 73-78.
  • Atanasova, C. & Hudson, R. (2009). Equity returns at the turn of the month - Further confirmation and insights. Financial Analysts Journal 65.4: 14-16.
  • Grauer, R. & Janmaat, J.A. (2009). On the power of cross-sectional and multivariate tests of the CAPM. Journal of Banking and Finance 33: 775-787. [Journal Abstract]
  • Rubin, A. & Smith, D. (2009). Institutional ownership, volatility and dividends. Journal of Banking & Finance 33: 627-639. [Journal Abstract]
  • Smith, D.R. (2009). Asymmetry in stochastic volatility models: Threshold or correlation? Studies in Nonlinear Dynamics and Econometrics 13.3: Article 1 [Journal Abstract]
  • Blazenko, G., & Pavlov, A. (2009). Investment timing for dynamic business expansion. Financial Management 38.4: 837-860.
  • Poitras, G. (2009). Business ethics, medical ethics and economic medicalization. International Journal of Business Governance and Ethics 4: 372-389.
  • Poitras, G. & Meredith, L. (2009). Ethical transparency and economic medicalization. Journal of Business Ethics 86: 313-325.  [Journal Abstract]

2008
  • Grauer, R. (2008). Benchmarking performance measures with perfect-foresight and bankrupt asset-allocation strategies. Journal of Portfolio Management, 34, 43-57. [Journal Abstract]
  • Atanasova, C. & Gang, J. (2008). The decline in the volatility of the business cycles in the UK. The Manchester School. 76(s1), 14-36. [Journal Abstract]
  • Gray, P. & Smith, D.R. (2008). An empirical investigation of the Level Effect in Australian interest rates. Australian Journal of Management. 33(1), 31-45. [Journal Abstract]
  • Kan, R. & Smith, D.R. (2008). The distribution of the sample minimum-variance frontier. Management Science. 54(7), 1364-1380. [Journal Abstract]
  • Niu, J. (2008). Bank competition, risk and subordinated debt. Journal of Banking and Finance. 32, 1110-1119. [Journal Abstract]
  • Niu, J. (2008). Can subordinated debt constrain banks' risk taking? Journal of Financial Services Research. 33, 37-56.  [Journal Abstract]
  • Pavlov, A. & Wachter, S. (2008). Mortgage put options and real estate markets. Journal of Real Estate Finance and Economics[Journal Abstract]
  • Rubin, A. (2008). Political views and corporate decision making: The case of corporate social responsibility. The Financial Review. 43, 337-360. [Journal Abstract]
  • Smith, D.R. (2008). Evaluating specification tests for Markov-Switching Time-Series Models. Journal of Time Series Analysis. 29(4), 629-652. [Journal Abstract]
  • Smith, D.R. (2008). Testing for structural breaks in GARCH Models. Applied Financial Economics. 18, 845-862. [Journal Abstract]
  • Perignon, C. & Smith, D.R. (2008). A new approach to comparing VaR Estimation Methods. Journal of Derivatives. 16, 54-66. [Journal Abstract]

2007
  • Atanasova, C. (2007). Access to institutional finance and the use of trade credit. Financial Management 36.1: 49-68. [Journal Abstract]
  • Day Cauley, S., Pavlov, A.D. & Schwartz E.S. (2007). Homeownership as a constraint on asset allocation. Journal of Real Estate Finance and Economics 34: 283-311. [Journal Abstract]
  • Layton, A.P. & Smith, D.R. (2007). Business cycle dynamics with duration dependence and leading indicators. Journal of Macroeconomics 29: 855-875. [Journal Abstract]
  • Perignon, C., Smith, D.R. & Villa, C. (2007). Why common factors in international bond returns are not so common. Journal of International Money and Finance 26: 284-304. [Journal Abstract]
  • Perignon, C. & Smith, D.R. (2007). Yield-Factor Volatility Models. Journal of Banking and Finance 31: 3125-3144. [Journal Abstract]
  • Poitras, G. (2007). Immunization bounds, time value and non-parallel yield curve shifts. Insurance and Risk Management 75.3: 323-356. [Journal Abstract]
  • Rubin, A. (2007). Ownership level, ownership concentration and liquidity. Journal of Financial Markets 10: 219-248. [Journal Abstract]
  • Smith, D.R. (2007). Conditional coskewness and asset pricing. Journal of Empirical Finance 14: 91-119. [Journal Abstract]
  • Smith, D.R. & Layton, A.P. (2007). Comparing probability forecasts in Markov Regime Switching Business Cycle Models. Journal of Business Cycle Measurement and Analysis 3.1: 79-98. [Journal Abstract]