Working Papers

MORE PAPERS COMING SOON!

Grenadier, S., Malenko, A. and I. Strebulaev, 2012 “Investment Busts, Reputation, and the Temptation to Blend in with the Crowd” MIT LFE Working Paper No. LFE-0500-12
[ download PDF (522 kbs) ]
A. Malenko, 2012 “Optimal Design of Internal Capital Markets” MIT LFE Working Paper No. LFE-0501-12
[ download PDF (555 kbs) ]
Gorbenko, A. and A. Malenko, 2012 “Strategic and Financial Bidders in Takeover Auctions” MIT LFE Working Paper No. LFE-0502-12
[ download PDF (333 kbs) ]
Milbradt, K. and M. Oehmke, 2010 “Maturity Rationing” MIT LFE Working Paper No. LFE 0503-12
[ download PDF (557 kbs) ]
Cheng, I. and K. Milbradt, 2011 “The Hazards of Debt: Rollover Freezes, Incentives, and Bailouts” MIT LFE Working Paper No. LFE 0504-12
[ download PDF (498 kbs) ]
K. Milbradt, 2011 “Level 3 Assets: Booking Profits and Concealing Losses” MIT LFE Working Paper No. LFE 0505-12
[ download PDF (378 kbs) ]
Zhiguo, H. and K. Milbradt, 2012 “Endogenous Liquidity and Defaultable Bonds” MIT LFE Working Paper No. LFE 0506-12
[ download PDF (899 kbs) ]
Bao, J. and J. Pan, 2012 “Relating Equity and Credit Markets through Structural Models: Evidence from Volatilities” MIT LFE Working Paper No. LFE0507-12
[ download PDF (421 kbs) ]
Hu, G., Pan, J. and J. Wang, 2012 “Noise as Information for Illiquidity” MIT LFE Working Paper No. LFE-0508-12
[ download PDF (356 kbs) ]
Ni, S. and J.Pan, 2011 “Trading Puts and CDS on Stocks with Short Sale Ban” MIT LFE Working Paper No. LFE0509-12 [ download PDF (135 KB) ]
[ download PDF (135 kbs) ]
Chen, H. and G. Manso, 2010, “Macroeconomic Risk and Debt Overhang,” MIT LFE Working Paper No. LFE-0703-10
[ download PDF (278 kbs) ]
Frydman, C. and D. Jenter, 2010, “CEO Compensation,” MIT LFE Working Paper No. LFE-0704-10
[ download PDF (466 kbs) ]
Khan, M., Kogan, L., and G. Serafeim, 2010, “Mutual Fund Trading Pressure: Firm-Level Stock Price Impact and Timing of SEOs,” MIT LFE Working Paper No. LFE-0705-10
[ download PDF (173 kbs) ]
Kogan, L. and D. Papanikolaou, 2010, “Growth Opportunities, Technology Shocks and Asset Prices,” MIT LFE Working Paper No. LFE-0706-10
[ download PDF (502 kbs) ]
Khandani, A.E., Kim, A., and A. Lo, 2010, “Consumer Credit Risk Models via Machine-Learning Algorithms,” MIT LFE Working Paper No. LFE-0707-10
[ download PDF (6,140 kbs) ]
Lo, A. and M. Mueller, 2010, “Warning: Physics Envy May Be Hazardous to Your Wealth!,” MIT LFE Working Paper No. LFE-0708-10
[ download PDF (770 kbs) ]
Cheng, I.-H. and K. Milbradt, 2010, “The Hazards of Debt: Dynamic Debt Runs, Agency, and Bailouts,” MIT LFE Working Paper No. LFE-0711-10
[ download PDF (629 kbs) ]
Lambrecht, B. and S. Myers, 2010, “A Lintner Model of Dividends and Managerial Rents,” MIT LFE Working Paper No. LFE-0712-10
[ download PDF (273 kbs) ]
Iyer, R. and A. Schoar, 2010, “Incomplete Contracts and Renegotiation: Evidence from a Field Audit,” MIT LFE Working Paper No. LFE-0713-10
[ download PDF (332 kbs) ]
Chan, N.T., LeBaron, B., Lo, A.W., and T. Poggio, 2003, "Agent-Based Models of Financial Markets: A Comparison with Experimental Markets," MIT LFE Working Paper No.LFE-1031-97R
[ abstract ]
Lim, T., Adamek, P., Lo, A.W., and J. Wang, 2003, "The Trading Volume and the MiniCRSP Database An Introduction and User’s Guide," MIT LFE Working Paper No.LFE-1038-98
Lo, A.W., Petrov, C., and M. Wierzbicki, 2003, "It's 11pm: Do You Know Where Your Liquidity Is? The Mean-Variance-Liquidity Frontier," MIT LFE Working Paper No.LFE-1048-03
Lo, A.W. and J. Wang, 2003, "Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model," MIT LFE Working Paper No.LFE-1037-01 [ abstract ]
Amonlirdviman, K., Getmansky, M., and A.W. Lo, 2002, "The Dynamics of Global Financial Crises," MIT LFE Working Paper No.LFE-1046-02
Getmansky, M., and A.W. Lo, 2002, "Limits of Arbitrage: Understanding How Hedge Funds Fail," MIT LFE Working Paper No.LFE-1045-02
Lo, A.W., Getmansky, M., and I. Makarov, 2003, "An Econometric Model of Serial Correlation and Illiquidity In Hedge Fund Returns," MIT LFE Working Paper No.LFE-1041A-03
Lo, A.W., Mamaysky, H., and J. Wang, 2001, "Asset Prices and Trading Volume under Fixed Transaction Costs," MIT LFE Working Paper No.LFE-1042-02 [ abstract ] [ download pdf (2.8Mb) ]