Recent Finance Research Publications

Senay Agca

“The Impact of Capital Market Imperfections on the Investment-Cash Flow Sensitivity,” Journal of Banking and Finance (with A. Mozumdar).

“The Performance of Alternative Risk Measures and Immunization Strategies Under a Heath-Jarrow-Morton Framework,” Journal of Financial and Quantitative Analysis, September 2005, Vol. 40, No. 3, pp. 645-669.

Alexandre M. Baptista

“On the Non-Existence of Redundant Options,” 2007, Economic Theory, 31, pp. 205-212.

“Does the Basle Capital Accord Reduce Bank Fragility? An Assessment of the Value-at-Risk Approach,” 2006, Journal of Monetary Economics, 53, pp. 1631-1660 (with Gordon J. Alexander).

“Options and Efficiency in Multidate Security Markets,” 2005, Mathematical Finance, 15, pp. 569-587.

“A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model,” 2004, Management Science, 50, pp. 1261-1273 (with Gordon J. Alexander).

“Spanning with American Options,” 2003, Journal of Economic Theory, 110, pp. 264-289.

Neil G. Cohen

“Obstacles to Trade, Growth, Investment and Competitiveness: Ten Case Studies on Balkan Businesses.”

William C. Handorf

“An Index of Risk Management and Value Creation,” 2007, Bank Accounting and Finance.

“US Bank Loan-Loss Provisions, Economic Conditions, and Regulatory Guidance,” 2006, Journal of Applied Finance.

Gergana Jostova

Jostova’s work has been published in the Journal of Finance, Journal of Business, Journal of Financial and Quantitative Analysis, and the Financial Analysts Journal.

Robert Savikas

Savikas’ work has been published in the Review of Financial Studies, Journal of Financial and Quantitative Analysis, Journal of Banking and Finance, and the Journal of Business and Economic Statistics.