Research at TiSEM

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Top Publications Research group: Finance

TiSEM is pleased to announce these recent (2020-2024) publications in top journals.

Stachurski, J., Wilms, O. & Zhang, J. (2024) Asset pricing with time preference shocks: Existence and uniqueness. Journal of Economic Theory, 216, 105781.
Yara, F. B., Boons, M. & Tamoni, A. (Accepted/In Press). Persistent and transitory components of firm characteristics: Implications for asset pricing. Journal of Financial Economics. 
Karapetyan, A., Kvaerner, J. & Rohrer, M. (2023). Inefficient regulation: Mortgages versus total credit. Review of Finance. 
Braggion, F., Frehen, R. & Jerphanion, E. (Accepted/In Press). Credit provision and stock trading: Evidence from the South Sea bubble. Journal of Financial and Quantitative Analysis
Braggion, F., Von Meyerinck, F. & Schaub, N. (2023). Inflation and individual investors' behavior: Evidence from the German hyperinflation. Review of Financial Studies. 
Crego, J. & Gider. J. (Accepted/In Press). The dynamic informativeness of schedules news. Management Science.
Atmaz, A., Cassella, S., Gulen, H. & Ruan, F. (2023). Contrarians, extrapolators, and stock market momentum and reversal. Management Science. 
Pohl, W., Schmedders, K. & Wilms, O. (2023). Existence of the wealth-consumption ratio in asset pricing models with recursive preferences. The Review of Financial Studies. 
Karpati, D. & Renneboog, L. (2023). Corporate financial frictions and employee mental health. Journal of Financial and Quantitative Analytics
Castiglionesi, F., Dieler, T., Biswas, S. & Calzolari, G. (2023). Asset trade, real investment and a tilting financial transaction tax. Management Science, 69(4), 2401-2424
Cassella, S., Golez, B., Gulen, H. & Kelly, P. (2023). Horizon bias and the term structure of equity returns. The Review of Financial Studies, 36(3), 1253-1288.
Faia, E. & Pezone, V. (2023). The cost of wage rigidity. Review of Economic Dynamics.
Van Binsbergen, J., Boons, M., Opp. C & Tamoni, A. (2023). Dynamic asset (mis)pricing: Build-up vs. resolution anomalies. Journal of Financial Economics, 147(2), 406-431.
Boons, M., Ottonello, G. & Valkanov, R. (2023). Do credit markets respond to macroeconomic shocks? The case for reverse causality. Journal of Finance, 78(5), 2901-2943. 
Li, Y., Ma, X. & Renneboog.L. (2023). In art we trust. Management Science.
Lanz, A., Reich, G. & Wilms, O. (2022). Adaptive grids for the estimation of dynamic models. Quantitative Marketing and Economics, 20(2), 179-238.
Doskeland, T. & Kvaerner, J. (2022). Cancer and portfolio choice: Evidence from Norwegian register data. Review of Finance, 26(2), 407-442.
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.