Research at TiSEM

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Top Publications Research group: Finance

TiSEM is pleased to announce these recent (2019-2022) publications in top journals.

Van Binsbergen, J., Boons, M., Opp. C & Tamoni, A. (Accepted/In Press). Dynamic asset (mis)pricing: Build-up vs. resolution anomalies. Journal of Financial Economics. 
Boons, M., Ottonello, G. & Valkanov, R. (Accepted/In Press). Do credit markets respond to macroeconomic shocks? The case for reverse causality. Journal of Finance
Li, Y., Ma, X. & Renneboog.L. (Accepted/In Press). In art we trust. Management Science.
Cassella, S., Golez, B., Gulen, H. & Kelly, P. (2022). Horizon bias and the term structure of equity returns. The Review of Financial Studies
Doskeland, T. & Kvaerner, J. (2022). Cancer and portfolio choice: Evidence from Norwegian register data. Review of Finance, 26(2), 407-442.
Castiglionesi, F., Dieler, T., Biswas, S. & Calzolari, G. (2022). Asset trade, real investment and a tilting financial transaction tax. Management Science.
Perotti, E. & Rola-Janicka, M. (2022). The good, the bad, and the missed boom. Review of Financial Studies, 35(11), 5025-5056.
Malmendier, U., Pezone, V., & Zheng, H. (2022). Managerial duties and managerial biases. Management Science.
Ioannidou, V., Pavanini, N., & Peng, Y. (2022). Collateral and asymmetric information in lending markets. Journal of Financial Economics, 144(1), 93-121.
Feger, F., Pavanini, N., & Radulescu, D. (2022). Welfare and redistribution in residential electricity markets with solar power. Review of Economic Studies, 89(6), 3267-3302.
Penasse, J., & Renneboog, L. (2022). Speculative trading and bubbles: Evidence from the art market. Management Science, 68(7), 4939-4963
Barroso, P., Boons, M. & Karehnke, P. (2021). Time-varying state variable risk premia in the ICAPM. Journal of Financial Economics, 139(2), 428-451.
Cziraki, P., & Gider, J. (2021). The dollar profits to insider trading. Review of Finance, 25(5), 1547-1580.
Penasse, J., Renneboog, L., & Scheinkman, J. (2021). When a master dies: Speculation and asset float. Review of Financial Studies, 34(8), 3840-3879.
Cosemans, M., & Frehen, R. (2021). Salience theory and stock prices: Empirical evidence. Journal of Financial Economics, 140(2), 460-483.
Braggion, F., Dwarkasing, M.S.D., & Ongena, S. (2021). Household inequality, entrepreneurial dynamism, and corporate financing. The Review of Financial Studies, 34(5), 2448-2507
Pohl, W., Schmedders, K., & Wilms, O. (2021). Asset pricing with heterogeneous agents and long-run risk. Journal of Financial Economics, 140(3), 941-964.
Beber, A., Driessen, J., Neuberger, A., Tuijp, P. (2021). Pricing liquidity risk with heterogeneous investment horizons. Journal of Financial and Quantitative Analysis, 56(2), 373-408.
Barahona, R., Driessen, J., Frehen, R. (2021). Can unpredictable risk exposure be priced? Journal of Financial Economics, 139(2), 522-544.
Braggion, F., Manconi, A., & Zhu, H. (2020). Credit and social unrest: Evidence from 1930s China. Journal of Financial Economics, 138(2), 295-315.

Baele, L., Bekaert, G. R. J., Inghelbrecht, K., & Wei, M. (2020). Flights to safety. The Review of Financial Studies, 33(2), 689-746.

Karehnke, P., & de Roon, F. (2020). Spanning tests for assets with option-like > payoffs: the case of hedge funds, Management Science, 66(12), 5969-5989.

Crego, J. (2020). Why does public news augment information asymmetries? Journal of Financial Economics, 137(1), 72-89

Ebert, S. (2020). Decision making when things are only a matter of time. Operations Research, 68(5), 1564-1575.

van Bilsen, S., Laeven, R. J. A., & Nijman, T. (2020). Consumption and portfolio choice under loss aversion and endogenous updating of the reference level. Management Science, 66(9), 3927-3955

Degryse, H., De Jonghe, O., Jakovljevic, S., Mulier, K., & Schepens, G. (2019). Identifying credit supply shocks with bank-firm data: Methods and applications. Journal of Financial Intermediation, 40, [100813].

Kragt, J., de Jong, F., & Driessen, J. (2020). The dividend term structure. Journal of Financial and Quantitative Analysis., 55(3), 829-867.

Boons, M., Duarte, F., de Roon, F., & Szymanowska, M. (2020). Time-varying inflation risk and stock returns. Journal of Financial Economics, 136(2), 444-470.

Castiglionesi, F., Feriozzi, F., & Lorenzoni, G. (2019). Financial integration and liquidity crises. Management Science, 65(3), 955-975.

Braggion, F., & Ongena, S. R. G. (2019). Banking sector deregulation, bank-firm relationships and corporate leverage. The Economic Journal, 129(618), 765-789.

Braggion, F., & Giannetti, M. (2019). Changing corporate governance norms: Evidence from dual class shares in the UK. Journal of Financial Intermediation, 37, 15-27.

Baele, L., Driessen, J., Ebert, S., & Londono Yarce, J. M. (2019). Cumulative prospect theory, option returns and the variance premium. The Review of Financial Studies, 32(9), 3667-3723.