Research at TiSEM

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Top Publications Research group: Finance

TiSEM is pleased to announce these recent (2018-2020) publications in top journals.

Beber, A., Driessen, J., Neuberger, A., Tuijp, P. (Accepted/In Press). Pricing liquidity risk with heterogeneous investment horizons. Journal of Financial and Quantitative Analysis.
Barahona, R., Driessen, J., Frehen, R. (Accepted/In Press). Can unpredictable risk exposure be priced? Journal of Financial Economics.
Braggion, F., Manconi, A., & Zhu, H. (Accepted/In press). Credit and social unrest: Evidence from 1930s China. Journal of Financial Economics.

Baele, L., Bekaert, G. R. J., Inghelbrecht, K., & Wei, M. (2019). Flights to safety. The Review of Financial Studies. https://doi.org/10.1093/rfs/hhz055

Karehnke, P., & de Roon, F. (Accepted/In press). Spanning tests for assets with option-like > payoffs: the case of hedge funds. Management Science.

Crego, J. (Accepted/In press). Why does public news augment information asymmetries? Journal of Financial Economics.

Ebert, S. (Accepted/In press). Decision making when things are only a matter of time. Operations Research.

van Bilsen, S., Laeven, R. J. A., & Nijman, T. (Accepted/In press). Consumption and portfolio choice under loss aversion and endogenous updating of the reference level. Management Science.

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]. https://doi.org/10.1016/j.jfi.2019.01.004

Kragt, J., de Jong, F., & Driessen, J. (2019). The dividend term structure. Journal of Financial and Quantitative Analysis. https://doi.org/10.1017/S002210901900036X

Boons, M., Duarte, F., de Roon, F., & Szymanowska, M. (2019). Time-varying inflation risk and stock returns. Journal of Financial Economics. https://doi.org/10.1016/j.fineco.2019.09.012

Castiglionesi, F., Feriozzi, F., & Lorenzoni, G. (2019). Financial integration and liquidity crises. Management Science, 65(3), 955-975. https://doi.org/10.1287/mnsc.2017.2841

Braggion, F., & Ongena, S. R. G. (2019). Banking sector deregulation, bank-firm relationships and corporate leverage. The Economic Journal, 129(618), 765-789. https://doi.org/10.1111/ecoj.12569

Braggion, F., & Giannetti, M. (2019). Changing corporate governance norms: Evidence from dual class shares in the UK. Journal of Financial Intermediation, 37, 15-27. https://doi.org/10.1016/j.jfi.2017.05.001

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. https://doi.org/10.1093/rfs/hhy127

Cassella, S., & Gulen, H. (2018). Extrapolation bias and the predictability of stock returns by price-scaled variables. The Review of Financial Studies, 31(11), 4345-4397. https://doi.org/10.1093/rfs/hhx139

Liang, H., Marquis, C., Renneboog, L., & Li Sun, S. (2018). Future-time framing: The effect of language on corporate future orientation. Organization Science, 29(6), 1093-1111. https://doi.org/10.1287/orsc.2018.1217

Crawford, G. S., Pavanini, N., & Schivardi, F. (2018). Asymmetric information and imperfect competition in lending markets. American Economic Review, 108(7), 1659-1701. https://doi.org/10.1257/aer.20150487

Ebert, S., Nocetti, D., & Schlesinger, H. (2018). Greater mutual aggravation. Management Science, 64(6), 2809-2811. https://doi.org/10.1287/mnsc.2017.2746

Pohl, W., Schmedders, K., & Wilms, O. (2018). Higher-order effects in asset-pricing models with long-run risks. Journal of Finance, 73(3), 1061-1111. https://doi.org/10.1111/jofi.12615