Northwestern University

  • United States

Research Output 1948 2019

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Working paper
2018

High Frequency Market Making to Large Institutional Trades

Korajczyk, R. A. & Murphy, D., Jul 21 2018, (Accepted/In press) Social Science Research Network (SSRN), 28 p.

Research output: Working paper

Market making
Traders
Transaction costs
Price impact
Regulatory change
2017

Statistical Uncertainty Analysis for Stochastic Simulation

Xie, W., Nelson, B. L. & Barton, R., 2017.

Research output: Working paper

2016
8 Citations
first generation
mismatch
student
social class
interdependence

Accounting Data, Market Values, and the Cross Section of Expected Returns Worldwide

Chattopadhyay, A., Lyle, M. R. & Wang, C. C. Y., Jan 15 2016, Social Science Research Network (SSRN), 60 p.

Research output: Working paper

Market value
Predictive power
Valuation model
Cross section
Book-to-market
Experiment
Field experiment
Facebook
Industry
Gold standard

Adaptive Estimation of Continuous-Time Regression Models using High-Frequency Data

Li, J., Todorov, V. S. & Tauchen, G., Jan 11 2016, 31 p.

Research output: Working paper

Continuous time
Regression model
High-frequency data
Estimator
Adaptive estimation

Aggregate Implications of Corporate Debt Choices

Crouzet, N., May 29 2016, 62 p.

Research output: Working paper

Corporate debt
Financial distress
Borrowing
Credit supply
Public debt

A Model of Safe Asset Determination

He, Z., Krishnamurthy, A. & Milbradt, K. W., May 2016, National Bureau of Economic Research (NBER), 71 p.

Research output: Working paper

Debt
Assets
Float
Eurobonds
Rollover

Asset Allocation in Bankruptcy

Bernstein, S., Colonnelli, E. & Iverson, B. C., Feb 1 2016, Social Science Research Network (SSRN), 71 p.

Research output: Working paper

Bankruptcy
Asset allocation
Assets
Liquidation
Economic growth
22 Citations
social class
penalty
elite
labor market
commitment

Cognition and Rationality

Friedenberg, A., Kets, W. & Kneeland, T., Mar 3 2016, 25 p.

Research output: Working paper

Rationality
Cognition

Comparative Advantage in Social Interactions

Cicala, S., Fryer, R. G. & Spenkuch, J. L., Jan 2016, Social Science Research Network (SSRN), 60 p.

Research output: Working paper

interaction
Kenya
student
experiment
market

Complementarity of Performance Pay and Task Allocation

Hong, B., Kueng, L. & Yang, M-J., Jan 5 2016, Social Science Research Network (SSRN), 30 p.

Research output: Working paper

Complementarity
Task allocation
Performance pay
Decision making
Decentralization
Monopoly
Bundling
Antitrust policy
Schedule
Cournot

Compulsory Licensing and Innovation - Historical Evidence from German Patents after World War I

Baten, J., Bianchi, N. & Moser, P., Jun 3 2016, 56 p.

Research output: Working paper

Patents
Licensing
Innovation
World War I
Invention

Contractionary Volatility or Volatile Contractions?

Berger, D. W., Dew-Becker, I. L. & Giglio, S. W., May 8 2016, 60 p.

Research output: Working paper

Contraction
Realized volatility
Technology shocks
Equity returns
Investors

Do Changes in Accounting Standards affect Corporate Credit Ratings?

Basu, R. & Naughton, J. P., Jan 2016, 48 p.

Research output: Working paper

Credit rating
Accounting standards
Financial statements
Pensions
Rating

Does Gender Raise The Ethical Bar? Exploring The Punishment Of Ethical Violations at Work

Kennedy, J., McDonnell, M. H. & Stephens, N. M., Mar 23 2016, 36 p.

Research output: Working paper

Punishment
Violations
Gender disparity
Stereotypes
Severity
Natural experiment
Word-of-mouth
Microblogging
Advertising effects
Rating
Experiment
Social interaction
Online education
Service quality
Online courses
Audit quality
Audit firms
Audit
Quality control
PCAOB
Social media
News
Twitter
Earnings announcements
Dissemination
Algorithmic trading
Information acquisition
Costs
Price efficiency
Information content

Empowerment Through Difference: A Scalable Difference-Education Intervention Closes the Social Class Achievement Gap

Townsend, S. S. M., Stephens, N. M., Smallets, S. & Hamedani, M. G., 2016, 46 p.

Research output: Working paper

social class
empowerment
education
student
first generation

Everything is Marketing, Marketing is Everything!

Sawhney, M. S., Mar 7 2016.

Research output: Working paper

Marketing
Assets
Marketing tools
Large companies
Customer loyalty

Executive Compensation and Environmental Harm

Minor, D. B., Apr 12 2016, Social Science Research Network (SSRN), 49 p.

Research output: Working paper

Executive compensation
Compensation packages
Environmental law
Policy implications
Managerial incentives
Cash flow
Book-to-market
Return on equity
Risk premium
Investors

From K Street to Wall Street: Political Connections and Stock Recommendations

Christensen, D. M., Mikhail, M. B., Walther, B. R. & Wellman, L., Jun 1 2016, Social Science Research Network (SSRN).

Research output: Working paper

profitability
Values
act
evidence
Price controls
Borrowing
Collateral constraint
Residential investment
Propensity
Predictors
Stock returns
Return on equity
Cost of equity capital
Book-to-market

Incentives in Landing Slot Problems

Schummer Jr, J. P. & Abizada, A., Feb 22 2016, 45 p.

Research output: Working paper

Landing
Airports
Costs

Incomplete Information Games with Ambiguity Averse Players

Hanany, E., Klibanoff, P. L. & Mukerji, S., Feb 6 2016, 48 p.

Research output: Working paper

Games with incomplete information
Optimality
Strategic behavior
Incomplete information
Ambiguity aversion

Influencing Waiting Lists

Schummer Jr, J. P., May 16 2016, 41 p.

Research output: Working paper

Waiting list
Risk aversion
Queue
Public housing
Welfare implications

Information, Credit, and Organization

Liberti, J. M., Seru, A. & Vig, V., Jun 2016, Social Science Research Network (SSRN), 60 p.

Research output: Working paper

Credit
Loans
Registry
Micro data
Delegation
Rating
Manipulation
Credit
Information sharing
Registry

Information Sharing and Spillovers: Evidence from Financial Analysts

Hwang, B-H., Liberti, J. M. & Sturgess, J., Mar 2016, 42 p.

Research output: Working paper

Information spillover
Information sharing
Analysts
Financial analysts
Brokerage

Intraday Trading Invariance in the E-mini S&P 500 Futures Market

Andersen, T. G., Bondarenko, O., Kyle, A. S. & Obizhaeva, A. A., Mar 15 2016, Social Science Research Network (SSRN), 46 p.

Research output: Working paper

Futures markets
Invariance
Trade size
Futures contracts
Factors
Public policy
Life expectancy
Alcohol
Russia
Mortality
Product quality
Complaints
Costs
Government
Liability
324 Citations

Measuring Economic Policy Uncertainty

Baker, S. R., Bloom, N. & Davis, S. J., Mar 10 2016, 79 p.

Research output: Working paper

Economic policy
Policy uncertainty
Firm-level data
Economic uncertainty
Stock price volatility

Measuring Tail Risks at High Frequency

Weller, B. M., Apr 26 2016, Social Science Research Network (SSRN), 60 p.

Research output: Working paper

Tail risk
Costs
Market risk
Methodology
Cross section

Mixed-scale Jump Regressions with Bootstrap Inference

Li, J., Todorov, V. S., Tauchen, G. & Chen, R., Jan 2 2016, 39 p.

Research output: Working paper

Bootstrap inference
Jump
Bootstrap
Estimator
Asset returns
Judiciary
Multi-armed bandit
Hazard rate
Multitasking
Schedule
2 Citations
Patent licensing
Substitute
Royalty
License
Inventor

Political Advertising and Election Outcomes

Spenkuch, J. L. & Toniatti, D., Apr 2016, 95 p.

Research output: Working paper

Investors
Certification
Political connections
Public firm
Venture capitalists

Predestination and the Protestant Ethic

Alaoui, L. & Sandroni, A., Mar 19 2016, 36 p.

Research output: Working paper

Protestant Ethic
Religion
Predestination
Wealth
Deity

Productivity and Credibility in Industry Equilibrium

Powell, M. L., Jun 2016, 37 p.

Research output: Working paper

Industry equilibrium
Rent
Credibility
Productivity
Competitive environment
Hospitalists
Workflow
Mobile Health Units
Hospital Medicine
Physicians

Relational Contracts, Limited Liability, and Employment Dynamics

Fong, Y. F. & Li, J., Feb 6 2016, 50 p.

Research output: Working paper

Relational contracts
Employment dynamics
Limited liability
Long-term contracts
Relational contracting