Research | | Babson College Below is a sampling of published research, working papers and areas of research being pursued by the faculty in the finance division of Babson College: Professor Jennifer Bethel: “Recent Changes in Disclosure Regulation: Description and Evidence” Journal of Corporate Finance, 13, 2007, 335–342.
“Policy Issues Raised by Structured Products,” with A. Ferrell, Brookings-Nomura Papers on Financial Services, Yasuki Fuchita, Robert E. Litan, eds., Brookings Institution Press, 2007.
“Legal and Economic Issues in Subprime Litigation,” with A. Ferrell and G. Hu, Forthcoming Brookings-Nomura Papers on Financial Services, Brookings Institution Press, 2008. “Managing the Costs of Issuing Common Equity: The Role of Registration Choice,” with L. Krigman, Forthcoming in Banking and Capital Markets: New International Perspectives, Harold Black, Lloyd P. Blenman, Edward Kane, eds. “Institutional Investor Activism: Evidence from Voting and Daily Trading Around Mergers and Acquisition,” with G. Hu and Q. Wang (Received grant from Yale University’s Millstein Center for Corporate Governance and Performance). “The Contribution of Investment Bank and Investor Incentives to Boom- and-Bust Cycles,” with L. Krigman,.
Professor Richard Bliss: "Woman managers in Poland and the United States: A comparative analysis", with Lidija Polutnik; Industrial Relations Journal, August 2003, Vol.34, Issue 3, 210-225. "Women Business Owners and Managers in Poland", with Ewa Lisowska and Lidija Polutnik, Volume 3, Research in Entrepreneurship and Management, John Butler, editor. "Estimating Semiconductor Sales (A) and (B)", with Norean Sharpe, in A Casebook for Business Statistics (2nd Ed.), 2002, New York: John Wiley & Sons, in press. "Mutual Fund Managers: Does Gender Matter?" (with Mark Potter), Journal of Business and Economic Studies, Spring 2002, Vol. 8, No. 1. Professor Ryan Davies: Bernhardt, D., Davies, R.J. (2008) “Smart Fund Managers? Stupid Money?” Canadian Journal of Economics, forthcoming. Davies, R.J., Kim, S.S. (2008) “Using Matched Samples to Test for Differences in Trade Execution Costs,” Journal of Financial Markets, forthcoming. Brooks, C., Davies, R.J., Kim, S.S. (2007) “Cross hedging with single stock futures,” Assurances et Gestion des Risques 74(4), 473-504. Bernhardt, D., Davies, R.J., Spicer, J. (2006) “Long-term information, short-lived securities,” Journal of Futures Markets 26(5), 465-502. Bernhardt, D., Davies, R.J. (2005) “Painting the Tape: Aggregate Evidence,” Economics Letters 89(3), 306-311. Davies, R.J. (2003) “The Toronto Stock Exchange preopening session,” Journal of Financial Markets 6(4), 491-516. Davies, R.J., Dufour, A., Scott-Quinn, B. (2003) “Building a competitive and efficient European financial market,” European Capital Markets Institute Short Paper No. 4, 103 pages. Davies, R.J., Dufour, A., Scott-Quinn, B. (2006) “The MiFID: Competition in a new European equity market regulatory structure,” in Investor Protection in Europe: Corporate Law Making, The MiFID and Beyond, eds. Guido Ferrarini, Eddy Wymeersch; Oxford University Press, 163-197. Davies, R.J., Kat, H.M., Lu, S. (2006) “Single Strategy Funds of Hedge Funds: How Many Funds?” in Fund of Hedge Funds: Performance, Assessment, Diversification and Statistical Properties, ed. Greg Gregoriou, Elsevier, 203-210. “Which hedge fund strategies? – New tool for portfolio allocation across hedge fund strategies,” Canadian Investment Review, Spring 2006, Volume 19, Issue 1, p. R7. “Investment directive must avoid old traps,” Financial News, January 6-12, 2003, p. 64-65. “Do U.S.-style ECNs have a future in Europe’s Marts?” Securities Industry News, May 13, 2002, p. 3, 25. “Fund of hedge funds portfolio selection: A multiple-objective approach” (with H. Kat, S. Lu). “The impact of nonsynchronous trading on differences in portfolio cross-autocorrelations” (with D. Bernhardt). “Intraday portfolio return autocorrelation dynamics” (with D. Bernhardt) Professor John Edmunds: Brave New Wealthy World, Financial Times Pearson Prentice Hall, June 2003. Wealth by Association, with John Marthinsen, Praeger Press, March 2003. November 11, 2005 “National Financial Systems and Enterprise Development in Latin America” presented at the Third Annual Can Latin American Firms Compete? Conference at Thunderbird, The Garvin School of International Management. October 21, 2005 “Scenarios of Financial Wealth in Latin America,” presented at the CLADEA Conference, Santiago, Chile. October 11, 2005 (with John Marthinsen) “Euro’s a Boon to Europe,” The Providence Journal. July 15, 2005 (with John Marthinsen) “Wealth Creation and Currency Unification,” presented at the Second Annual Single Global Currency Conference, the Mount Washington Hotel, Bretton Woods, New Hampshire. May 26, 2005 “Latin American Capital Markets: A Progress Report,” presented at the BALAS Conference, Madrid, Spain. Session chair. Professor Steven Feinstein: “Fraud-on-the-market Theory: Is a Market Efficient?” (with Allen Michel and Israel Shaked) American Bankruptcy Institute Journal, May 2005. “Valuation of Credit Guarantees” (with Allen J. Michel and Israel Shaked). Journal of Forensic Economics 17(1), pp. 17-37, 2005. “A Better Understanding of why NPV Undervalues Managerial Flexibility,” (with Diane Lander) in The Engineering Economist, 2002, Volume 47, Number 4. Professor Michael Goldstein: “Brokerage Commissions and Information Allocation" (with P. Irvine, E. Kandel and Z. Weiner), The Review of Financial Studies, forthcoming. “Competition in the Market for NASDAQ Securities” (with A. Shkilko, B. Van Ness, and R. Van Ness), Journal of Financial Markets, Vol 11, No 2 , May 2008, 113-143. “InterCon Travel Health Teaching Note and Case Study” (with G. Truman and D. Pachamanova), Journal of the Academy of Business Education, Vol 8, Summer 2007, 17-32. “Transparency and Liquidity: A Controlled Experiment on Corporate Bonds” (with E. Hotchkiss and E. Sirri), The Review of Financial Studies, Vol. 20, No. 2, March 2007, 235-273. “The Intraday Probability of Informed Trading on the NYSE” (with B. F. Van Ness and R. A. Van Ness), Advances in Quantitative Analysis of Finance and Accounting, 2006, Ivan Brick, Tavy Ronen, and Chen-Few Lee (editors), World Scientific Press, Vol. 3, Chapter 7, 139-158. “Trading Strategies during Circuit Breakers and Extreme Market Movements” (with K. Kavajecz), Journal of Financial Markets, Vol. 7, No. 3, June 2004, 301-333. “Eighths, Sixteenths, and Market Depth: Changes in Tick Size and Liquidity Provision on the NYSE” (with K. Kavajecz), Journal of Financial Economics, Vol. 56, No. 1, April 2000, 125-149. "Market Making and Trading in NASDAQ Stocks" (with E. Nelling), Financial Review, February 1999, Vol. 34, No.1. "REIT Return Behavior In Advancing and Declining Stock Markets" (with E. Nelling), Real Estate Finance, Winter 1999, Vol. 15, No.4, 68-77. "Privatization in Post-Communist Economies" (with B. Gultekin), in Financial Sector Reform and Privatization in Transition Economies, John Doukas, Victor Murinde and Clas Wihlborg (editors), Advances in Finance, Investment and Banking, North-Holland, Vol. 7, 283-327, 1998. “Privatization Success and Failure: Finance Theory and Regulation in the Transitional Economies of Albania and the Czech Republic”, Managerial and Decision Economics, November-December 1997, Vol. 18, No.7&8, 529-544. "Quotes, Order Flow, and Price Discovery" (with M. Blume), The Journal of Finance, March 1997, Vol. 52, No.1, 221 - 244. Abstract appeared in Journal of Finance, July 1997. "Pratiquer les meilleurs prix permet-il d’attirer les transactions? Cotations et flux d’Ordres sur les bourses américaines" (with Marshall Blume), Organisation et qualité des marchés financiers, (Chapitre XIII), Presses Universitaires de France, ed. Biasis, Davydoff and Jacquillat, 1997. "Real Estate Investment Trusts, Small Stocks, and Bid-Ask Spreads" (with E. Nelling, J. Mahoney, and T. Hildebrand), Real Estate Economics, Spring 1995, Vol. 23, No. 1, 45-63. Professor Kathy Hevert: “Venture capital investing by information technology companies: did it pay?” (with Stephen A. Allen), Journal of Business Venturing, forthcoming. "Real Options Primer: A Practical Synthesis of Concepts and Valuation Approaches," Journal of Applied Corporate Finance, Vol. 14, No. 2, 25-40, Summer 2001. "Financial Education in an Integrated, Undergraduate Curriculum," with R. Bliss, M.Ho, M.Potter, and L.Stoller, Journal of Financial Education, Volume 26, Spring 2000. Professor Gang Hu: “Measures of Implicit Trading Costs and Buy-Sell Asymmetry,” (Western Finance Association (WFA) meetings 2005, NYSE Travel Grant; Best Paper Award in Derivatives/Microstructure, Eastern Finance Association (EFA) meetings 2005). “The Role of Institutional Investors in Seasoned Equity Offerings,” with Thomas Chemmanur and Shan He (American Finance Association (AFA) meetings 2006). “Screening Location Strategies to Reduce Exchange Rate Risk,” with Timothy Lowe and Richard Wendell, European Journal of Operational Research 136 (2002) 573-590. Professor Ralph Kimball: "Failures in Risk Management," New England Economic Review, January/February 2000. "Inflation-Indexed Bonds: The Dog That Didn't Bark," New England Economic Review, January/February 1999. Reprinted in International Securities, Cheltenham, U.K.: Edward Elgar Publishing Ltd. (G. Philippatos and G. Koutmas, Editors). 2000. "Allocating Risk Capital in Banking," Value-Based Metrics: Foundation and Practice. (Frank J. Fabozzi Associates, 2000) Frank J. Fabozzi and James L. Grant, Editors. Professor Laurie Krigman: Cook, Douglas O., Laurie Krigman and J. Chris Leach, 2004, "On the Timing and Execution of Open Market Repurchases," The Review of Financial Studies, Vol. 17, No.2, 463-498. Cook, Douglas O., Laurie Krigman, and J. Chris Leach, 2003, "An Analysis of SEC Guidelines for Executing Open Market Repurchases", The Journal of Business, 76, No.2, 289-315. Aggarwal, Rajesh K., Laurie Krigman and Kent L. Womack, 2002, "Strategic IPO Underpricing, Information Momentum and Lockup Expiration Selling", The Journal of Financial Economics, 66, No. 1, 105-137. Professor Mark Potter: “Performance Characteristics of Individual vs. Team Managed Mutual Funds”, with Richard T. Bliss and Chris Schwarz, forthcoming, Journal of Portfolio Management, Spring 2008. “Opinion Divergence Among Professional Investment Managers”, with Gang Hu and Ginger Meng, forthcoming, Journal of Business Finance and Accounting, 2008. “Corporate Ethics and Shareholder Wealth: Does it Pay to Be Green?”, with Don Chambers and Nelson Lacey, Corporate Finance Review, Spring 2004. “The Impact of Gender and Social/Professional Networks on Behavior: Evidence from Mutual Fund Managers”, with Richard T. Bliss, Corporate Finance Review, Spring 2003. “Mutual Fund Managers: Does Gender Matter?”, with Richard T. Bliss, Journal of Business and Economic Studies, Volume 8, No. 1, Spring 2002, pp. 1-15. “The Determinants of Aggregate Mutual Fund Flows”, Journal of Business and Economic Studies, Fall 2000, Volume 6, No. 2, pp. 55-73. “Integrating The Undergraduate Business Curriculum: The Case of Babson College”, with Richard T. Bliss, Journal of Business Education, Spring 2000, Volume 1, pp. 1-13. “Financial Education in an Integrated, Undergraduate Curriculum”, with Richard Bliss, Kathy Hevert, Michael Ho, and Linda Stoller, Journal of Financial Education, Spring 2000, Volume 26, pp. 1-13. “Valuing Federal Disaster Loans for Investment: A Stochastic Model Approach”, with Austin Kelly and Nelson Lacey, Journal of Alternative Investments, Volume 1, No. 3, Winter 1998. “Equity-Based Commodity Trading Advisors: A Performance Appraisal”, Journal of Alternative Investments, Volume 1, No. 1, Summer 1998, pp. 41-55. “Evidence on the Effect of Taxes on Firms’ Decisions to Retire Debt Early”, with Gil Manzon and Tom Porter, Journal of Financial Research, Fall 1996, Vol. XIX, No. 3, pp. 327-337. “Managed Futures and Hedge Fund Investment for Downside Equity Risk Management”, with Tom Schneeweis and Richard Spurgin, Derivatives Quarterly, Fall 1996, pp. 1-11. Professor Erik Sirri: "Preferencing and Market Quality on U.S. Equity Exchanges," with Mark Peterson, Review of Financial Studies, 2003, Vol.16, No.2, 385-415. "Evaluation of the Biases in Execution Cost Estimation Using Trade and Quote Data," with Mark Peterson, Journal of Financial Markets, 2003, Vol.6, No.3, 259-280. "Order Submission Strategy and the Curious Case of Marketable Limit Orders," with Mark Peterson, Journal of Financial and Quantitative Analysis, 2002, Vol.37, No.2, 221-241. Professor Craig Stephenson: "Governance and Funds Allocation in United States Medical Research Charities," Financial Accountability & Management in Governments, Public Services and Charities, 2000, Vol.16, No.4, 335-352.
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