Research Interests
Risk Management:
Hedging and Coordinated Risk Management: Evidence from Mutual-to-Stock Conversions, The Journal of Finance, with Catherine Schrand, June 1998.Pricing the Risks of Default, Review of Derivatives Research, with Dilip Madan, forthcoming 1998.
Mutual-to-Stock Conversions:
Privatizing Mutual Thrifts, with Ronald Masulis. (work-in-progress).
Hedging and Coordinated Risk Management: Evidence from Mutual-to-Stock Conversions, The Journal of Finance, with Catherine Schrand, June 1998.
Regulatory Misconceptions in Pricing Thrift Conversions: A Closer Look at the Appraisal Process, Journal of Financial Services Research, June 1997, Vol 11, No. 3, pp 239-254.
Issue Size Choice and "Underpricing" in Thrift Mutual-to-Stock Conversions, The Journal of Finance, December 1993, with Vojislav Maksimovic, pp 1659-1692.
Fixed Income Securities:
A Two-Factor Hazard-Rate Model For Pricing Risky Debt with Random Recovery Rates, with Dilip Madan. (work-in-progress)
Pricing the Risks of Default, Review of Derivatives Research, with Dilip Madan, forthcoming 1998.
The Structural Behavior of the Japanese Gensaki Rate, in W. T. Ziemba, W. Bailey and Y. Hamao (editors), Japanese Financial Market Research, 1991, Elsevier-North Holland, with Kwok-Wai Leung and Anthony B. Sanders.
On the Intertemporal Behavior of the Short-Term Rate of Interest, Journal of Financial and Quantitative Analysis, Vol. 23, December 1988, with, Anthony B. Sanders, pp. 417-423.
Bank Stock Returns and Event Studies:
Modeling Structural and Temporal Variation in the Market's Valuation of Banking Firms, The Journal of Finance, with Edward J. Kane, Vol. 45, No. 1 (March 1990), pp. 113-136.Impact of Deposit-Rate Ceiling Changes on Bank Stock Returns, Journal of Money, Credit and Banking, Vol. 21, No. 2 (May 1989) pp. 207-220.
Two Approaches to Assessing the Interest-Rate Sensitivity of Deposit Institutions' Equity Returns, Research in Finance, Vol. VII, 1988, JAI Press, with, Edward J. Kane, pp. 113-137.
Change in Market Assessment of Deposit-Institution Riskiness, Journal of Financial Services Research, Vol. 1, June 1988, with, Edward J. Kane, pp. 207-229.Parameter Variability, Event Studies, and the Two-Index Model, Proceedings of a Conference on Bank Structure and Competition, The Federal Reserve Bank of Chicago, 1988.
Off-Balance-Sheet Items and the Changing Market and Interest-Rate Sensitivity of Deposit-Institution Equity Returns, Proceedings of a Conference on Bank Structure and Competition, The Federal Reserve Bank of Chicago, 1987.
Japanese Banking:
Market Assessments of Efficiency at Japanese Banks, with Gordon Phillips. (work-in-progress).
The Brady Announcement, 1989 Mexican Debt-Reduction Agreement, and Bank Stock Returns in the United States and Japan, with Asli Demirguc-Kunt and Kwok-Wai Leung, Journal of Money, Credit and Banking, August 1993.The Structural Behavior of the Japanese Gensaki Rate, in W. T. Ziemba, W. Bailey and Y. Hamao (editors), Japanese Financial Market Research, 1991, Elsevier-North Holland, with Kwok-Wai Leung and Anthony B. Sanders.
Analyzing Hidden Capital at Japanese Banks, in S. G. Rhee and R. P. Chang (editors), Pacific-Basin Capital Markets Research, coauthor, Edward J. Kane and Asli Demirguc-Kunt, Elsevier Science Publishers B.V. (North-Holland), 1991.
Capital Positions of Japanese Banks, Proceedings of a Conference on Bank Structure and Competition, The Federal Reserve Bank of Chicago, 1990.
Bank Privatization:
The Technical Process of Bank Privatization in Mexico, with Navarro