Working Papers

Technological Change under Ambiguity and Climate Policy Risk (with Luis García-Feijóo and Greg Tindall).

Capital Structure and the Franchise Decision: A Knightian View (with Christos Kelepouris).

A Production-based Sustainable Asset Pricing Model: The ESG Factor under Ambiguity (with Luis García-Feijóo and Greg Tindall).

Ambiguity in the FOREX Market: Two Tales from Japan. 

Correlation Uncertainty and the Intermediary-based Asset Pricing Model.

Publications

• “Estimation and Test of a Simple Model of Robust Capital Asset Pricing: An Info-Metrics Approach” (with Luis García-Feijóo), International Review of Finance, Forthcoming.
  

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• “Ambiguity and Risk Factors in Bank Stocks” (with Luis García-Feijóo), Journal of Financial Research, Vol. No.4 (Winter 2023), pp. 993-1019. (2023 Best Article Award)
  

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• “Total Factor Productivity in East Asia under Ambiguity” (with Velma Lee), Economic Modelling, Vol. 121, No. 4 (April 2023), 106232.
  

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• “A Simple Robust Asset Pricing Model Under Statistical Ambiguity” (with Luis García-Feijóo), Quantitative Finance, Vol. 22, No. 5 (Spring 2022), pp. 861-869.
  

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• “The Stock Market’s Reaction to Macroeconomic News under Ambiguity” (with Luis García-Feijóo and Antoine Giannetti), Financial Markets and Portfolio Management, Vol. 34, No. 1 (January 2020), pp.65-97. (2020 Zürich Cantonal Bank Best Paper Award)
  

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• “The Regulation of Mortgage Servicing: Lessons from the Financial Crisis” (with Luis García-Feijóo and James E. McNulty), Contemporary Economic Policy, Vol. 37, No. 1 (January 2019), pp. 170-180.
  

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• “Target Valuation Complexity and Takeover Premiums” (with Luis García-Feijóo, Margarita Kaprielyan and Jeff Madura), International Journal of Banking, Accounting and Finance, Vol. 6, No. 2 (Fall 2015), pp. 151-176.
  

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• “On the Structure of Financial Contagion: Econometric Tests and Mercosur Evidence” (with David Bessler and James Kolari), Journal of Applied Economics, Vol. XVII, No. 2 (November 2014), pp. 373-400.
• Online Appendix.

• “Safety First, Learning Under Ambiguity, and the Cross-section of Stock Returns“ (with Luis García-Feijóo and Antoine Giannetti), Review of Asset Pricing Studies, Vol. 4, No. 1 (June 2014), pp. 118-159.

• “An Information-based Model of Target Stock Price Runup in the Market for Corporate Control” (with Matthew Brigida and Jeff Madura), Quantitative Finance, Vol. 14, No. 6 (June 2014), pp. 1019-1030.
  

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• “Learning Banks’ Exposure to Systematic Risk: Evidence from the Financial Crisis of 2008” (with Jeff Madura), Journal of Financial Research, Vol. 37, No. 1 (Spring 2014), pp. 75-98.
  

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• “Bank Exposure to Market Fear“ (with Inga Chira and Jeff Madura), Journal of Financial Stability, Vol. 9, No.4 (December 2013), pp. 451-459.
  

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• “Why Do Merger Premiums Vary Across Industries and Over Time?” (With Jeff Madura and Thanh Ngo), Quarterly Review of Economics and Finance, Vol. 52, No. 1 (February 2012), pp. 49-62.
  

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• “Convergent Synergies in the Global Market for Corporate Control” (with Jeff Madura and Thanh Ngo), Journal of Banking and Finance, Vol. 35, No. 9 (September 2011), pp. 2468-2478.
  

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• “A Dynamic Analysis of Stock Price Ratios” (with Antoine Giannetti),  Applied Financial Economics, Vol. 21, No. 6 (March 2011), pp. 353-368.
  

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• “Common Risk Factors in Banks Stock Returns” (with James Kolari and Donald Fraser), Journal of Banking and Finance, Vol. 33, No. 3 (March 2009), pp. 464-472.
  

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• “Computing and Testing a Stable Common Currency for Mercosur Countries” (with James Kolari, Nikolai Hovanov, and Mikhail Sokolov), Journal of Applied Economics, Vol. XI, No. 1 (May 2008), pp. 193-220.