Finance

Publications and Working Papers
Full-Time Faculty
Paul Asquith

Paul Asquith

Gordon Y Billard Professor of Finance

Featured Publications

Lessons in Corporate Finance: A Case Studies Approach to Financial Tools, Financial Policies, and Valuation, 2nd Edition.

Asquith, Paul, and Lawrence A. Weiss. Hoboken, New Jersey: John Wiley & Sons, Inc., 2019.

Lessons in Finance: Basic Tools.

Weiss, Lawrence A. and Paul Asquith. Cambridge, MA: CreateSpace Independent Publishing Platform, 2014.

"The Market for Borrowing Corporate Bonds."

Asquith, Paul, Andrea Au, Thomas Covert and Parag Pathak. Journal of Financial Economics Vol. 107, No. 1 (2013): 155-182.

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Hui Chen

Hui Chen

Associate Professor, Finance

Featured Publications

"Credit Risk and the Macroeconomy: A Survey."

Chen, Hui. Annual Review of Financial Economics. Forthcoming.

"Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Markets."

Chen, Hui, Scott Joslin, and Sophie Ni. Review of Financial Studies Vol. 32, No. 1 (2019): 228-265. Download Paper.

"Quantifying Liquidity and Default Risks of Corporate Bonds over the Business Cycle."

Chen, Hui, Rui Cui, Zhiguo He, and Konstantin Milbradt. Review of Financial Studies Vol. 31, No. 3 (2018): 852-897. Appendix. Download Paper.

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John C. Cox

John C. Cox

Nomura Professor of Finance

Featured Publications

"The Constant Elasticity of Variance Option Pricing Model."

Cox, John C. Journal of Portfolio Management Vol. 23, No. 5 (1996): 15-17.

"A Continuous Time Portfolio Turnpike Theorem."

Cox, John C. and Chi-fu Huang. Journal of Economic Dynamics and Control Vol. 16, No. 3-4 (1992): 491-507.

"A Variational Problem Arising in Financial Economics."

Cox, John C. and Chi-fu Huang. Journal of Mathematical Economics Vol. 20, No. 5 (1991): 465–487.

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Maryam Farboodi

Maryam Farboodi

Jon D. Gruber Career Development Professor

Featured Publication

"Comments on Network Reactions to Banking Regulation."

Farboodi, Maryam. Journal of Monetary Economics Vol. 89, (2017): 68-70.

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Daniel Greenwald

Daniel Greenwald

Judy C. Lewent (1972) and Mark Shapiro Career Development Professor of Finance

Featured Publications

"Financial Fragility with SAM?"

Greenwald, Daniel L., Tim Landvoigt, and Stijn Van Nieuwerburgh, MIT Sloan Working Paper 5261-17. Cambridge, MA: MIT Sloan School of Management, March 2018.

"The Mortgage Credit Channel of Macroeconomic Transmission."

Greenwald, Daniel L., MIT Sloan Working Paper 5184-16. Cambridge, MA: MIT Sloan School of Management, December 2016.

"Origins of Stock Market Fluctuations."

Daniel Greenwald, Martin Lettau, and Sydney C. Ludvigson.

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Leonid Kogan

Leonid Kogan

Nippon Telegraph & Telephone Professor of Management

Featured Publications

"Winners and Losers: Creative Destruction and the Stock Market."

Kogan, Leonid, Dimitris Papanikolaou, and Noah Stoffman. (Conditionally accepted by the Journal of Political Economy), Working Paper. 2018.

"Equilibrium Analysis of Asset Prices: Lessons from CIR and APT."

Kogan, Leonid and Dimitris Papanikolaou. The Journal of Portfolio Management Vol. 44, No. 6 (2018): 59-69.

"Technological Innovation, Resource Allocation, and Growth."

Kogan, Leonid, Dimitris Papanikolaou, Amit Seru, and Noah Stoffman. Quarterly Journal of Economics Vol. 132, No. 2 (2017): 665-712.

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Eben Lazarus

Eben Lazarus

Assistant Professor, Finance

Featured Publications

"Restrictions on Asset-Price Movements Under Rational Expectations: Theory and Evidence."

Augenblick, Ned and Eben Lazarus, MIT Sloan Working Paper 5765-18. Cambridge, MA: MIT Sloan School of Management, August 2018. Download Paper.

"Horizon-Dependent Risk Pricing: Evidence from Short-Dated Options."

Lazarus, Eben, MIT Sloan Working Paper 5766-18. Cambridge, MA: MIT Sloan School of Management, September 2018. Download Paper.

"The Size-Power Tradeoff in HAR Inference."

Lazarus, Eben, Daniel J. Lewis, and James H. Stock. Revise and Resubmit, Econometrica, MIT Sloan Working Paper 5457-17. Cambridge, MA: MIT Sloan School of Management, June 2017. Replication Files. Supplementary Appendix. Download Paper.

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Andrew W. Lo

Andrew W. Lo

Charles E. and Susan T. Harris Professor

Featured Publications

"Book Review."

Lo, Andrew W. Review of Reinventing Capitalism in the Age of Big Data, by Viktor Mayer Schönberger and thomas Ramge. Science, Forthcoming.

"Estimation of Clinical Trial Success Rates and Related Parameters."

Wong, Chi Heem, Kien Wei Siah, and Andrew W. Lo. Biostatistics. Forthcoming.

"Hedge Fund Holdings and Stock Market Efficiency."

Cao, Charles, Bing Liang, Andrew W. Lo, and Lubomir Petrasek. Review of Asset Pricing Studies Vol. 8, No. 1 (2018): 77-116. SSRN Preprint.

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Deborah J. Lucas

Deborah J. Lucas

Sloan Distinguished Professor of Finance

Featured Publications

"Inventory of Support for Fossil Fuels—Estimating the Support Component of Loan Guarantees and Preferential Loans."

Lucas, Deborah J., MIT Sloan Working Paper 5400-17. Cambridge, MA: MIT Sloan School of Management, December 2017.

"Towards Fair Value Accounting for Public Pensions: The Case for Delinking Disclosure and Funding Requirements."

Lucas, Deborah J., MIT Sloan Working Paper 5399-17. Cambridge, MA: MIT Sloan School of Management, October 2017.

"Fiscal Consequences of the Federal Reserve’s Balance Sheet."

Lucas, Deborah J., MIT Sloan Working Paper 5402-17. Cambridge, MA: MIT Sloan School of Management, September 2017.

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Robert C. Merton

Robert C. Merton

School of Management Distinguished Professor of Finance

Featured Publications

"Customers and Investors: A Framework for Understanding the Evolution of Financial Institutions."

Merton, Robert C., and Richard T. Thakor. Journal of Financial Intermediation. Forthcoming. SSRN Preprint.

"IPE at 20: Time for retirement ‘SeLFIES’?"

Merton, Robert C., and Arun Muralidhar. Investments and Pensions Europe, April 2017.

"An Effective DC Plan for Uncovered Workers: The Flex MMM Model."

Merton, Robert C., Arun S. Muralidhar. Industry Voices, Plansponsor, February 2017.

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Stewart Myers

Stewart Myers

Robert C. Merton (1970) Professor of Financial Economics

Featured Publications

"A Theory of Risk Capital."

Erel, Isil, Stewart Myers and James A. Read, Jr. Journal of Financial Economics Vol. 118, No. 3 (2015): 620-635.

"Finance, Theoretical and Applied."

Myers, Stewart. Annual Review of Financial Economics Vol. 7, (2015): 1-34.

Fundamentals of Corporate Finance.

Myers, Stewart. Boston, MA: Irwin/McGraw-Hill, 2013.

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Christopher J. Palmer

Christopher J. Palmer

Albert and Jeanne Clear Career Development Professor

Featured Publications

"How Quantitative Easing Works: Evidence on the Refinancing Channel."

Di Maggio, Marco, Amir Kermani, and Christopher John Palmer, Working Paper. 2017. VoxEU Column. Forbes. NBER Digest.

"Monthly Payment Targeting and the Demand for Maturity."

Argyle, Bronson, Christopher John Palmer, and Taylor Nadauld, Working Paper. 2017.

"Real Effects of Search Frictions in Consumer Credit Markets."

Argyle, Bronson, Christopher John Palmer, and Taylor Nadauld, MIT Sloan Working Paper 5242-17. Cambridge, MA: MIT Sloan School of Management, October 2017. NBER Reporter. The Conversation. WSJ. MarketWatch.

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Jonathan A. Parker

Jonathan A. Parker

Robert C. Merton (1970) Professor of Financial Economics

Featured Publications

"Why Don't Households Smooth Consumption? Evidence from a 25 Million Dollar Experiment."

Parker, Jonathan A. American Economic Journal: Macroeconomics Vol. 9, No. 4 (2017): 153-183. Publisher Page. Online appendix.

"Valuation, Adverse Selection and Market Collapses."

Fishman, Michael J., and Jonathan A. Parker. The Review of Financial Studies Vol. 28, No. 9 (2015): 2575-2607.

"Optimal Expectations."

Brunnermeier, Markus K. and Jonathan A. Parker. American Economic Review Vol. 95, No. 4 (2005): 1092-1118. JSTOR.

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Lawrence D.W. Schmidt

Lawrence D.W. Schmidt

Victor J. Menezes (1972) Career Development Professor of Finance

Featured Publications

"Runs on Money Market Mutual Funds."

Schmidt, Lawrence D. W., Allan Timmermann, and Russ Wermers. American Economic Review Vol. 106, No. 9 (2016): 2625-2657. Author Disclosures. Appendix. Data Set.

"Climbing and Falling Off the Ladder: Asset Pricing Implications of Labor Market Event Risk."

Schmidt, Lawrence D. W., MIT Sloan Working Paper 5500-16. Cambridge, MA: MIT Sloan School of Management, March 2016.

"An Empirical Test of Pricing Kernel Monotonicity."

Beare, Brendan K., and Lawrence D. W. Schmidt. Journal of Applied Econometrics Vol. 31, No. 2 (2016): 338-356. Supplement.

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Antoinette Schoar

Antoinette Schoar

Stewart C. Myers-Horn Family Professor of Finance

Featured Publications

"The Impact of Consulting Services on Small and Medium Enterprises: Evidence from a Randomized Trial in Mexico."

Bruhn, Miriam, Dean Karlan, and Antoinette Schoar. Journal of Political Economy Vol. 126, No. 2 (2018): 635-687.

"The Globalization of Angel Investments: Evidence Across Countries."

Lerner, Josh, Antoinette Schoar, Stanislav Sokolinski, and Karen Wilson. Journal of Financial Economics Vol. 127, No. ` (2018): 1-20.

"Loan Originations and Defaults in the Mortgage Crisis: The Role of the Middle Class."

Adelino, Manuel, Antoinette Schoar, and Felipe Severino. Review of Financial Studies Vol. 29, No. 7 (2016): 1635-1670.

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David Thesmar

David Thesmar

Franco Modigliani Professor of Financial Economics

Featured Publications

"Sticky Expectations and the Profitability Anomaly."

Bouchaud, Jean-Philippe, Philipp Krueger, Augustin Landier, and David Thesmar. Journal of Finance. Forthcoming. Download Paper.

"The Real Effects of Bank Capital Requirements."

Fraisse, Henri, Mathias LÉ, and David Thesmar. Management Science. Forthcoming. Download Paper.

"Wholesale Funding Dry-Ups."

Perignon, Christophe, David Thesmar, and Guillaume Vuillemey. Journal of Finance Vol. 73, No. 2 (2018): 575-617. Download Paper.

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Adrien Verdelhan

Adrien Verdelhan

Stephens Naphtal Professor of Finance

Featured Publications

"Deviations from Covered Interest Rate Parity."

Du, Wenxin, Alexandre Tepper, and Adrian Verdelhan. Journal of Finance Vol. 73, No. 3 (2018): 915-957.

"The Share of Systematic Risk in Bilateral Exchange Rates."

Verdelhan, Adrien. Journal of Finance Vol. 73, No. 1 (2018): 375-418. SSRN Preprint.

"Common Risk Factors in Currency Markets."

Lustig, Hanno, Nick Roussanov and Adrien Verdelhan. Review of Financial Studies Vol. 24, No. 11 (2011): 3731-3777.

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Emil Verner

Emil Verner

Assistant Professor, Finance

Featured Publications

"Household Debt Revaluation and the Real Economy: Evidence from a Foreign Currency Debt Crisis."

Verner, Emil and Győző Gyöngyösi, MIT Sloan Working Paper 5476-18. Cambridge, MA: MIT Sloan School of Management, January 2018. Most recent version.

"Bank Equity and Banking Crises."

Baron, Matthew, Wei Xiong, and Emil Verner, MIT Sloan Working Paper 5479-18. Cambridge, MA: MIT Sloan School of Management, 2018.

"Financial Crisis, Creditor-Debtor Conflicts, and Political Extremism."

Gyöngyösi, Győző, and Emil Verner, MIT Sloan Working Paper 5480-18. Cambridge, MA: MIT Sloan School of Management, 2018.

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Jiang Wang

Jiang Wang

Mizuho Financial Group Professor

Featured Publications

"​Dynamic Portfolio Execution."

Tsoukalas, Gerry, Jiang Wang, and Kay Giesecke. Management Science. Forthcoming.

"Early Peek Advantage? Efficient Price Discovery with Tiered Information Disclosure."

Hu, Grace Xing, Jun Pan, and Jiang Wang. Journal of Financial Economics Vol. 126, No. 2 (2017): 399-421. Download Paper.

"Market Selection."

Kogan, Lenoid, Stephen Ross, Jiang Wang, and Mark Westerfield. Journal of Economic Theory Vol. 168, (2017): 209-236.

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Haoxiang Zhu

Haoxiang Zhu

Associate Professor, Finance

Featured Publications

"​Are CDS Auctions Biased and Inefficient?"

Zhu, Haoxiang, and Songzi Du. Journal of Finance Vol. 27, No. 6 (2017): 2589-2628. SSRN Preprint. Appendix.

"Mortgage Dollar Roll."

Song, Zhaogang and Haoxiang Zhu. Review of Financial Studies. Forthcoming. SSRN Preprint.

"Non-Fundamental Speculation Revisited."

Yang, Liyan, and Haoxiang Zhu. Journal of Finance Vol. 72, No. 6 (2017): 2759-2772. SSRN Preprint.

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Publications and Working Papers
Visiting Faculty
Shimon Kogan

Shimon Kogan

Visiting Associate Professor, Finance

Featured Publications

"Is Investor Rationality Time Varying? Evidence from the Mutual Fund Industry."

Glode, Vincent, Burton Hollifield, Marcin Kacperczyk, and Shimon Kogan. In Behavioral Finance: Where do Investors Biases Come From?, edited by Itzhak Venezia, 67-113. Singapore: World Scientific Publishing Co., 2016.

"Business Microloans for U.S. Subprime Borrowers."

Fracassi, Cesare, Mark J. Garmaise, Shimon Kogan, and Gabriel Natividad. Journal of Financial and Quantitative Analysis Vol. 51, No. 1 (2016): 55-83.

"Trading Complex Assets."

Carlin, Bruce, Shimon Kogan, and Richard Lowery. Journal of Finance Vol. 68, No. 5 (2013): 1937-1960.

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Egor Matveyev

Egor Matveyev

Featured Publications

"Good and Bad CEOs."

Jenter, Dirk, Egor Matveyev, and Lukas Roth, Working Paper. 2017.

"Misvaluation of Investment Options."

Lyandres, Evgeny, Egor Matveyev, and Alexei Zhdanov, MIT Sloan Working Paper 5235-17. Cambridge, MA: MIT Sloan School of Management, April 2017.

"The Labor Market for Corporate Directors."

Matveyev, Egor, Working Paper. 2016.

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Matthew Rhodes-Kropf

Matthew Rhodes-Kropf

Visiting Associate Professor, Finance

Featured Publications

"Financing Risk and Innovation."

Nanda, Ramana, and Matthew Rhodes-Kropf. Management Science. Forthcoming.

"Financing Entrepreneurial Experimentation."

Nanda, Ramana, and Matthew Rhodes-Kropf. In Innovation Policy and the Economy, Vol. 16, 1-23. Chicago, IL: University of Chicago Press, 2016.

"Regional Variation in Venture Capital: Causes and Consequences."

Ramana Nanda and Matthew Rhodes-Kropf. In Moving to the Innovation Frontier, edited by Christian Keuschnigg, Washington, DC: March 2016.

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