Friday, April 04, 2008
Reading List for Ph.D. Comprehensive Exam, April 2008
A cool old memory from the first years of PhD. This is the list of preparation for the comprehensive examination.
3 texts & 1697 journal articles.
Campbell, J.Y., A.W. Lo and A.C.MacKinlay, 1997, The econometrics of financial markets (Princeton, NJ: Princeton University Press).
Cochrane, John, 2004. Asset pricing (Princeton, NJ: Princeton University Press, revised edition).
Copeland, Weston, and Shastri, 2005, Financial theory and corporate policy (Pearson Addison Wesley)
Bessembinder, Hendrick, 2003. Issues in assessing trade execution costs, Journal of Financial Markets 6:3 (May), 233-257.
Biais, Bruno, Larry Glosten and Chester Spatt, 2005. Market microstructure: a survey of microfoundations, empirical results, and policy implications, Journal of Financial Markets 8:2, 217-264.
Brennan, M. J. and A. Subrahmanyam, 1998. The determinants of average trade size, The Journal of Business 71:1 (January), 1-25.
Bollen, Nicolas P. B., Tom Smith and Robert E. Whaley, 2004. Modeling the bid/ask spread: Measuring the inventory-holding premium, Journal of Financial Economics 72:1 (April), 97-141.
Chordia, Tarun, Richard Roll and A. Subrahmanyam, 2001. Market liquidity and trading activity, The Journal of Finance 56:2 (April), 501-530.
Corwin, Shane A., Jeffrey H. Harris and Marc L. Lipson, 2004. The development of secondary market liquidity for NYSE-listed IPOs, Journal of Finance 59:5, 2339 – 2374.
Easley, David and Maureen O'Hara, 1992. Time and the process of security price adjustment, The Journal of Finance 47 (June), 557 605.
Frijns, Bart, 2006. Inferring public and private information from trades and quotes, The Financial Review 41: 1 (February), 95-117.
Hasbrouck, Joel, 1993. Assessing the quality of a security market: A new approach to transaction cost measurement, The Review of Financial Studies 6:1 (Spring), 191 212.
Huang, Roger D. and Hans R. Stoll, 1997. The components of the bid-ask spread: A general approach, The Review of Financial Studies 10:4 (Winter), 995-1034.
Kryzanowski, Lawrence and Hao Zhang, 2002. Intraday market price integration for shares cross-listed internationally, Journal of Financial and Quantitative Analysis 37:2 (June), 243-269.
O’Hara, M., 2003. Presidential address: Liquidity and price discovery, The Journal of Finance 58:4, 1335-1354.
Acharya, Viral V. and Lasse Heje Pedersen, 2005. Asset pricing with liquidity risk, Journal of Financial Economics 77, 375-410.
Amihud, Y., 2002. Illiquidity and stock returns: Cross-sectional and time-series effects, Journal of Financial Markets 5, 31-56.
Avramov, Doron, 2004. Stock return predictability and asset pricing models, Review of Financial Studies 17:3 (Fall), 699-738.
Baker, Malcolm and Jeremy C. Stein, 2004. Market liquidity as a sentiment indicator, Journal of Financial Markets 7:3 (June), 271-299.
Campbell, John Y., 2000. Asset pricing at the millennium, Journal of Finance 55:4 (August), 1515-67.
Daniel, Kent, and Sheridan Titman, 1997. Evidence on the characteristics of cross sectional variation in stock returns, The Journal of Finance 51:1 (March), 3 53.
Daniel, Kent D., David Hirshleifer and Avanidhar Subrahmanyam, 2001. Overconfidence, arbitrage, and equilibrium asset pricing, The Journal of Finance 56:3 (June), 921-965.
Fama, E.F. and J. MacBeth, 1973. Risk, returns, and equilibrium: Empirical tests, Journal of Political Economy 81:3, 607-636
Fama, Eugene F. and Kenneth French, 1992. The cross section of expected stock returns, The Journal of Finance 47 (June), 427 465.
Fama, E. and K. French, 1993. Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3-56.
Fama, Eugene F. and Kenneth R. French, 2004. The CAPM: theory and evidence, Journal of Economic Perspectives 18:3 (Summer), 25-46.
Fama, Eugene F. and Kenneth R. French, 2007. Disagreement, tastes and asset prices, Journal of Financial Economics 83: 3 (March), 667-689.
Ferson, Wayne E. and Campbell R. Harvey, 1991. The variation of economic risk premiums, Journal of Political Economy 99:2 (April), 385 415.
Ferson, W.E., S. Kandel and R.E. Stambaugh, 1987. Tests of asset pricing with time varying expected risk premiums and market betas, Journal of Finance 42:2 (June), 201-220.
Ghysels, Eric, 1998. On stable factor structure in the pricing of risk: Do time varying betas help or hurt?, The Journal of Finance 53:2 (April), 549 573.
Griffin, John M., 2002. Are the Fama and French factors global or country specific?, The Review of Financial Studies 15:3 (Summer),783-803.
Holmstrom, Bengt and Jean Tirole, 2001. LAPM: A liquidity-based asset pricing model, The Journal of Finance 56:5 (October), 1837-1867.
Jacobs, Kris and Kevin Q. Wang, 2004. Idiosyncratic consumption risk and the cross section of asset returns, Journal of Finance 59:5 (October), 2211-52.
Jagannathan, Ravi and Zhenyu Wang, 1996. The conditional CAPM and the cross section of expected returns, The Journal of Finance 51:1 (March), 3 53.
Koutoulas, George and Lawrence Kryzanowski, 1996. Macrofactor conditional volatilities, time varying risk premia, and stock return behavior”, The Financial Review 31:1 (February), 169 195.
MacKinlay, A.C. and M.P. Richardson, 1991. Using generalized method of moments to test mean variance efficiency, The Journal of Finance 46, 511 546.
Merton, R.C., 1973. An intertemporal asset pricing model, Econometrica, 867 887.
Merton, R.C., 1987. Presidential address: A simple model of capital market equilibrium with incomplete information, Journal of Finance, 483 510.
Pettengill, Glenn N., Sridhar Sundaram and Ike Mathur, 1995. The conditional relation between beta and returns, Journal of Financial and Quantitative Analysis 30:1 (March), 101 116.
Petkova, Ralitsa, 2006. Do the Fama-French factors proxy for innovations in predictive variables?, The Journal of Finance 61: 2 (April), 581-612.
Roll, R. 1977. A critique of the asset pricing theory's tests, Journal of Financial Economics 4, 129-176
Ross, S.A. 1976. The Arbitrage Theory of Capital Asset Pricing, Journal of Economic Theory, 341 360.
Scruggs, John T. and Paskalis Glabadanidis, 2003. Risk premia and the dynamic covariance between stock and bond returns, Journal of Financial Quantitative Analysis 38:2 (June), 295-316.
Wang, Kevin Q., 2003. Asset pricing with conditioning information: A new test, The Journal of Finance 58:1 (February), 161-196.
Wei, J.C. 1988. An Asset Pricing Theory Unifying the CAPM and APT, Journal of Finance 43:4, 881 892.
Andersen, Torben G., 1996. Return volatility and trading volume: An information flow interpretation of stochastic volatility, The Journal of Finance 51:1 (March), 169 204.
Bali, Turan G., Nusret Cakici, Xuemin Yan and Zhe Zhang, 2005, Does idiosyncratic risk really matter?, The Journal of Finance, 60:2 (April), 905-929.
Campbell, R. Harvey and Akhtar Siddique, 2000, Conditional skewness in asset pricing tests, Journal of Finance 55, 1263-1295.
Campbell, John Y., Martin Lettau, Burton G. Malkiel and Yexiao Xu, 2001. Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk”, The Journal of Finance 56:1 (February), 1-43.
Jones, Charles M., Gautam Kaul and Marc L. Lipson, 1994. Transactions, volume, and volatility, The Review of Financial Studies 7:4 (Winter), 631 651.
Kim, Dongcheol and Stanley J. Kon, 1994. Alternative models for the conditional heteroscedasticity of stock returns, Journal of Business 67:4 (October), 563 598.
Ronen, Tavy, 1997. Tests and properties of variance ratios in microstructure studies, Journal of Financial and Quantitative Analysis 32: 2 (June), 183 204.
Ross, Stephen A., 1989. Information and volatility: The no arbitrage martingale approach to timing and resolution irrelevancy, The Journal of Finance 44 (March), 1 17.
Schwert, G. William and Paul J. Seguin, 1990. Heteroskedasticity in stock returns, The Journal of Finance 45 (September), 1129 1155.
Admati, A., 1991. The informational role of prices, Journal of Monetary Economics 28:2 (October), 347-361.
Ang, Andrew and Geert Bekaert, 2007. Stock return predictability: Is it there?, The Review of Financial Studies 20: 3, 651-707.
Ang, Andrew, Robert J. Hodrick, Yuhang Xing and Xiaoyan Zhang, 2006. The cross-section of volatility and expected returns, Journal of Finance 61: 1 (February), 259-299.
Barber, Brad M. and John D. Lyon, 1997. Detecting long-run abnormal stock returns: The empirical power and specification of test statistics, Journal of Financial Economics, 43, 341-372.
Berk, Jonathan B., 1995. A critique of size related anomalies, The Review of Financial Studies 8:2 (Summer), 275 286.
Campbell, John Y. and Motohiro Yogo, 2006. Efficient tests of stock return predictability, Journal of Financial Economics 81: 1 (July), 27-60.
Chan, Louis K. C., Jason Karceski and Josef Lakonishok, 2003. The level and persistence of growth rates, Journal of Finance 58:2 (April), 643-84.
Constantinides, George M., 2002. Rational asset prices, Journal of Finance 57:4 (August), 1567-91.
Fama, Eugene F., 1991. Efficient capital markets: II, The Journa1 of Finance 46 (December), 1575 1617.
Fama, Eugene F. and Kenneth R. French, 2002. The equity premium, The Journal of Finance 57:2 (April), 637-659.
Karafiath, Imre, 1988. Using Dummy Variables in the Event Methodology, The Financial Review 23:3, 351-357
Karafiath, Imre, 1994, On the Efficiency of Least Squares Regression with Security Abnormal Returns as the dependent variable, Journal of Financial Quantitative Analysis 29, 279-300.
Kothari, S. P., Jowell S. Sabino and Tzachi Zach, 2005. Implication of survival and data trimming for tests of market efficiency, (Journal of Accounting & Economics 39:1,
Khotari, S.P., and Jerold B. Warner, 2005, Econometrics of Event Studies, Tuck School of Business at Dartmouth, working paper.
Lakonishok, L. and S. Smidt, 1988. Are seasonal anomalies real? A ninety year perspective, The Review of Financial Studies 1:4, 403 425.
Lo, A.W. and A.C. MacKinlay, 1988. Stock market prices do not follow random walks: Evidence from a simple specification test, The Review of Financial Studies, 1:1, 41-66.
Mackinlay, A.Craig, 1997, Event studies in Economics and Finance, Journal of Finance 35, 13-39.
Malkiel, Burton G., 2003. The efficient market hypothesis and its critics, Journal of Economic Perspectives 17:1 (Winter), 59-82.
McGrattan, Ellen R. and Edward C. Prescott, 2003. Average debt and equity returns: Puzzling?, American Economic Review 93:2 (May), 392-97.
Poterba, J.M. and L.H. Summers, 1988. Mean reversion in stock prices, Journal of Financial Economics 22, 27-59.
Prabhala, N.R., 1997. A conditional methods in event studies and an equilibrium justification for standard event study procedures, The Review of Financial Studies 10:1 (Spring), 1 38.
Slezak, Steve L., 2003. On the impossibility of weak-form efficient markets, Journal of Financial and Quantitative Analysis 38:3 (September), 523-54.
Sullivan, R. A. Timmermann and H. White, 1999. Data snooping, technical trading rule performance, and the bootstrap, Journal of Finance 54:5 (October), 1647-1691.
Aït-Sahalia, Y. and M. W. Brandt, 2001. Variable selection and portfolio choice, Journal of Finance 56, 1297-1351.
Amihud, Y. and C. M. Hurvich, 2004, Predictive regressions: A reduced-bias estimation method, Journal of Financial and Quantitative Analysi, 39:4 (December), 813-841.
Busse, J. A., 1999. Volatility timing in mutual funds: Evidence from daily returns, The Review of Financial Studies 12:5 (Winter), 1009-1041.
Carhart, Mark M., 2002. Leaning for the tape: Evidence of gaming behavior in equity mutual funds, Journal of Finance 57:2 (April), 661-93.
Chan, Kalok, Vicentiu Covrig and Lilian Ng, 2005. What determine the domestic bias and foreign bias? Evidence from mutual fund equity allocation worldwide, Journal of Finance, 60:3 (June), 1495-1534.
Elton, Edwin J., Martin J. Gruber and Jeffrey A. Busse, 2004. Are investors rational? Choices among index funds, Journal of Finance 59:1 (February), 261-88.
Ferson, Wayne and Kenneth Khang, 2002, Conditional performance using portfolio weights: Evidence for pension funds, Journal of Financial Economics 65, 249-282.
Grinblatt, M. and S. Titman, 1989. Portfolio performance evaluation: Old issues and new insights, Review of Financial Studies, 393 421.
Jones, Christopher and Jay Shanken, 2005. Mutual fund performance with learning across funds, Journal of Financial Economics 78: 3 (December), 507-52.
Kacperczyk, Marcin and Amit Servu, 2007. Fund manager use of public information: New evidence on managerial skills, The Journal of Finance 62: 2 (April), 485-528.
Kryzanowski, Lawrence, Simon Lalancette and Minh Chau To, 1997. A performance attribution using an APT with prespecified macrofactors and time varying risk premia and betas, Journal of Financial and Quantitative Analysis 32:2 (June), 205 224.
Black, Fischer and Myron Scholes, 1973. The pricing of options and corporate liabilities, Journal of Political Economy (May June), 637 659.
Broadie, M. and J. B. Detemple, 1996. American options valuation; new bounds, approximations and a comparison of existing methods, The Review of Financial Studies 9, 1211 1250.
Christoffersen, Peter F., Steven Heston and Kris Jacobs, 2006, Option Valuation with Conditional Skewness, Journal of Econometrics, 131, 253-284.
Christoffersen, Peter and Kris Jacobs, 2004. The importance of the loss function in option valuation, Journal of Financial Economics 72:2, 291-318.
Christoffersen, Peter F. and Silvia Goncalves, 2005, Estimation risk in financial risk management, Journal of Risk <please complete this reference>
Cox, John C., Stephen A. Ross and Mark Rubinstein, 1979. Option pricing: A simplified approach, Journal of Financial Economics 7 (September), 229 263.
Hull, John. and A. White, 1987. The pricing of options on assets with stochastic volatilities, Journal of Finance, 42:2 (June), 281-300.
Jamshidian, F., 1989. An exact bond option formula, Journal of Finance 44, 205 209.
Kim, I.J., 1990. The analytic valuation of american options, The Review of Financial Studies 3, 547 572.
Merton, Robert C., 1973. Theory of rational option pricing, Bell Journal of Economics 4 (Spring), 141 183.
Rubinstein, Mark, 1994. Implied binomial trees, Journal of Finance 49, 771 818.
Vanden, Joel M., 2004, Options trading and the CAPM, The Review of Financial Studies 17:1, 207-238.
Christie, Andrew A., Marc P. Joye and Ross L. Watts, 2003. Decentralization of the firm: Theory and Evidence, Journal of Corporate Finance 9:1 (January), 3-36.
Sarkar, Sudipto, 2000. On the investment-uncertainty relationship in a real options model, Journal of Economic Dynamics and Control 24:2 (February), 219-25.
Trigeorgis, L. 1993. The nature of option interactions and the valuation of investments with multiple real options, Journal of Financial and Quantitative Analysis (March), 1 20.
Bessembinder, Hendrik and Paul J. Seguin, 1993. Price volatility, trading volume, and market depth: Evidence from futures markets, Journal of Financial and Quantitative Analysis 28 (March), 21 40.
Boyle, P. P., 1989. The quality option and timing option in futures contracts, Journal of Finance, 44:1 (March), 101-114.
Dezhbakhsh, Hashem, 1994. Foreign exchange forward and futures prices: Are they equal?, Journal of Financial and Quantitative Analysis 29 (March), 75 88.
Hemler, M. and F. Longstaff, 1991. General equilibrium stock index futures prices: Theory and empirical evidence, Journal of Financial and Quantitative Analysis 26-3, 287 308.
Fama, E.F., and K. French, 1987. Commodity futures prices: Some evidence on the forecast power, premiums, and the theory of storage, Journal of Business 60:1, 55 74.
Nwaeze, Emeka T., 2005. Replacement versus adaptation investments and equity value, Journal of Corporate Finance, 11:3, 523-549.
Agrawal, Anup and Charles R. Knoeber, 1996. Firm performance and mechanisms to control agency problems between managers and shareholders, Journal of Financial and Quantitative Analysis, 31:3, 377-397.
Barclay, M. and C. Smith, 1995. The maturity structure of corporate debt, Journal of Finance 50, 609-631.
Berger, Allen N., Marco A. Espinosa-Vega, W. Scott Frame and Nathan H. Miller, 2005. Debt maturity, risk and asymmetric information, Journal of Finance, 60:6 (December), 2895-2923.
Cantillo, M. and J. Wright, 2000. How do firms choose their lenders? An empirical investigation, The Review of Financial Studies 13:1 (Spring), 155-189.
Chemmanur, Thomas J. and Paolo Fulghieri, 1994. Reputation, renegotiation, and the choice between bank loans and publicly traded debt, The Review of Financial Studies 7:3 (Fall), 475 506.
Fama, Eugene, and M.C. Jensen, 1983. Separation of ownership and control, Journal of Law and Economics, 26.
Flannery, Mark J. and Kasturi P. Rangan, 2006. Partial adjustment toward target capital structures, Journal of Financial Economics 79: 3 (March), 469-506.
Harris, Milton and Arthur Raviv, 1991. The theory of capital structure, The Journal of Finance 46 (March), 297 355.
Hovakimian, Armen, Tim Opler and Sheridan Titman, 2001. The debt-equity choice, Journal of Financial and Quantitative Analysis 36:1 (March), 1-24.
Hovakimian, Armen, Gayane Hovakimian and Hassan Tehranian, 2004. Determinants of target capital structure: The case of dual debt and equity issues, Journal of Financial Economics 71:3, 517-540.
Jensen, M. and W. Meckling, 1976. Theory of the firm: Managerial behavior, agency costs and ownership structure, Journal of Financial Economics 3:4, 305-360.
Mao Connie X., 2003. Interaction of debt agency problems and optimal capital structure: Theory and evidence, Journal of Financial Quantitative Analysis 38:2 (June), 399-423.
Miller, Merton, 1991. Leverage, The Journal of Finance 46 (June), 479 488.
Modigliani, F. and M.H. Miller, 1963. Corporate income taxes and the cost of capital, American Economic Review, 53:3, 433 443.
Myers, S.C. and N. S. Majluf, 1984. Corporate financing and investment decisions when firms have information that investors do not have, Journal of Financial Economics 13, 857 878.
Petersen, M. A. and R. G. Rajan, 1997. Trade credit: Theories and evidence, The Review of Financial Studies 10:3 (Fall), 661-691.
Shleifer, A. and R. Vishny, 1997. A survey of corporate governance, Journal of Finance, 52:2, 737-783.
Shyam-Sunder, Lakshmi and Stewart C. Myers, 1999. Testing static tradeoff against pecking order models of capital structure, Journal of Financial Economics, 51, 219-244.
Strebulaev, Ilya A., 2007. Do tests of capital structure theory mean what they say?, The Journal of Finance 62: 4 (August), 1747-1787.
Altinkilic, O. and R. S. Hansen, 2000. Are there economies of scale in underwriting fees? Evidence of rising external financing costs, The Review of Financial Studies 13:1 (Spring), 192-218.
Amiyatosh K. Purnanandam and Bhaskaran Swaminathan, 2004, Are IPOs Really Underpriced?, Review of Financial Studies 17:3 (Fall), 811-848.
Benninga, Simon, Mark Helmantel and Oded Sarig, 2005. The timing of initial public offerings, Journal of Financial Economics 75:1 (January), 115-132.
Benveniste, L. L. and W. Y. Busaba, 1997, Bookbuiliding vs fixed price: An analysis of competing strategies for marketing IPOs, Journal of Financial and Quantitative Studies 32:4, 383-403.
Brav, Alon, and Paul A. Gompers, 1997. “Myth or reality? The long-run underperformance of initial public offerings: Evidence from venture capital and nonventure capital-backed companies, Journal of Finance 52, 1791-1822.
Corwin, Shane A. and Paul Schultz, 2005. The role of IPO underwriting syndicates: pricing, information production, and underwriter competition, Journal of Finance, 60:1 (February), 443-486.
Das, Somnath, Re-jin Guo and Huai Zhang, 2006. Analyst’s selective coverage and subsequent performance of newly public firms, The Journal of Finance 61: 3 (June 2006), 1159-1185.
Field, Laura Casares and Gordon Hanka, 2001. The expiration of IPO share lock-ups, The Journal of Finance 56:2 (April), 471-500.
Krigman, Laurie, Wayne H. Shaw and Kent L. Womack, 1999. The persistence of IPO mispricing and the predictive power of flipping, The Journal of Finance 54:3, 1015-1044.
Helwege, Jean and Nellie Liang, 2004. Initial public offerings in hot and cold markets, Journal of Financial and Quantitative Analysis 39 (September), 541-569.
Hunt McCool, Janet, Samuel C. Koh and Bill B. Francis, 1996. Testing for deliberate underpricing in the IPO premarket: A stochastic frontier approach, The Review of Financial Studies 9:4 (Winter), 1251 1269.
Leite, Tore, 2004. Excess initial returns in IPOSs, Journal of Financial Intermediation, 13:3 (July), 359-377.
Lewellen, Katarzyna A., 2005. Risk, Reputation, and IPO price support, forthcoming in the Journal of Finance.
Mikkelson, Wayne H., Megan Partch and Kshitij Shah, 1997. Ownership and operating performance of companies that go public, Journal of Financial Economics 44:3, 281-307.
Benartzi, S., R. Michaely, and R. Thaler, 1997. Do changes in dividends signal the future or the past?, The Journal of Finance 52(3), 1007-1034.
DeAngelo, Harry, Linda DeAngelo and Douglas J. Skinner, 2004. Are dividends disappearing? Dividend concentration and the consolidation of earnings, Journal of Financial Economics 72:3 (June), 425-456.
DeAngelo, Harry, Linda DeAngelo and René M. Stulz, 2006. Dividend policy and the earned/contributed capital mix: A test of the life-cycle theory, Journal of Financial Economics 81: 2 (August), 227-254.
Fama, E. F., K.F. French, 2001. Disappearing dividends: Changing firm characteristics or lower propensity to pay, Journal of Financial Economics 60:1, 3-41.
Fenn, George W. and Nellie Liang, 2001. Corporate payout policy and managerial stock incentives, Journal of Financial Economics 60:1 (April), 45-72.
French, Kenneth and Eugene Fama, 2002, Testing tradeoff and pecking order predictions about dividends and debt, Review of Financial Studies 15 (Spring), 1-37.
Jagannathan, Murali, Clifford P. Stephens, Michael S. Weisbach, 2000. Financial flexibility and the choice between dividends and stock repurchases, Journal of Financial Economics 57:3 (September), 355-84.
Kalay, A. and R. Michaely, 2000. Dividends and taxes: A re-examination, Financial Management 29:2 (Summer), 55-75.
Kryzanowski, Lawrence and Hao Zhang, 1993. Market behaviour around Canadian stock split ex dates, Journal of Empirical Finance, 57-81.
Miller, M.H. and M.C. Scholes, 1982. Dividend and taxes: Empirical evidence, Journal of Political Economy 90:6, 1181 1141.
Peyer, Urs C. and Theo Vermaelen, 2005. The many facets of privately negotiated stock repurchases, Journal of Financial Economics, 75:2 (February), 361-395.
Hennessy, Christopher A., 2004. Tobin’s Q, Debt Overhang, and Investment, Journal of Finance 59:4, 1717-1742.
Ingersoll, Jonathan E., Jr. and Stephen A. Ross, 1992. Waiting to invest: Investment and uncertainty, The Journal of Business 65 (January), 1 29.
Baker M. and S. Savasoglu, 2002. Limited arbitrage in mergers and acquisitions, The Journal of Financial Economics 64:1, 91-116.
Eckbo, B. E. and K. S. Thorburn, 2000. Gains to bidders firms revisited: Domestic and foreign acquisitions in Canada, Journal of Financial and Quantitative Analysis 35:1 (March), 1-25.
Gillan (JCF’06) – a review paper on corporate governance.
Harris, M. and A. Raviv, 1988. Corporate governance: Voting rights and majority rules, Journal of Financial Economics, 20, 203-235.
Kaplan, S.N. and M.S. Weisbach, 1992. The success of acquisitions: Evidence from divestitures, Journal of Finance, 47:1, 107 138.
Loughran, Tim and Anand M. Vijh, 1997. Do long-term shareholders benefit from corporate acquisitions?, Journal of Finance 52, 1765-90.
Louis, Henock, 2004. Earings management and the market performance of acquiring firms, Journal of Financial Economics, 74:1, 121-148.
Mitchell, Mark, Todd Pulvino & Erik Stafford, 2004. Price pressure around mergers, Journal of Finance 59:1, 31-63.
Rau, Raghavendra P. and Theo Vermaelen, 1998. Glamour, value and the post-acquisition performance of acquiring firms, Journal of Financial Economics 49, 223-253.
Travlos, N. G., 1987. Corporate takeover bids, method of payment, and bidding firm's stock returns, Journal of Finance, 42:4, 943-963.
Weston, J.Fred, JA.SIU, and B.A.Johnson, 2001. Takeovers, Resetructuring & Corporate Governance (Prentice Hall), Chapters 6 and 8.
Brennan, Michael and Eduardo Schwartz, 1977. Convertible bonds: Valuation and optimal strategies for call and conversion, Journal of Finance 27 (December), 699 715.
Cox, J.C., J.E. Ingersoll, and S.A. Ross, 1981. A reexamination of the traditional hypotheses about the term structure of interest rates, Journal of Finance, 36:4, 769-799.
Driessen, Joost, 2005. Is default event risk priced in corporate bonds?, Review of Financial Studies 18:1 (Spring), 165-195.
Gibbons, Michael R. and Krishna Ramaswamy, 1993. A test of the Cox, Ingersoll, and Ross model of the term structure, The Review of Financial Studies 6:3, 619 658.
Liu, Shi, Wang and Wu (JFE’07) <PLEASE COMPLETE>
Ramaswamy, K. and S.M. Sundaresan, 1986. The valuation of floating rate instruments, Journal of Financial Economics, 17, 251-272.
Young Ho Eom, Jean Helwege and Jing-Zhi Huang, 2004. Structural models of corporate bond pricing: An empirical analysis, Review of Financial Studies 17:2, 499-544.
Zhou, Chunsheng, 2001. An Analysis of Default Correlations and Multiple Defaults, The Review of Financial Studies, Summer 14:2, 555 576.