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Journal Article

Measuring Global Systemic Risk: What Are Markets Saying About Risk?

October 1, 2010 - Rodney N. Sullivan Steven P. Peterson David T. Waltenbaugh

Systemic market events arise with increasing frequency in our complex, adaptive and highly interconnected markets.

Journal Article

The Low-Volatility Anomaly: Market Evidence on Systemic Risk vs. Mispricing

January 29, 2016 - Xi Li Rodney N. Sullivan Luis Garcia-Feijóo

Researchers have demonstrated a long-term connection between future stock returns and various measures of prior stock price variability.

Journal Article

Lessons From Financial Economics

January 1, 1991 - Jonathan R. Macey Geoffrey P. Miller Mark L. Mitchell Jeffrey M. Netter

There is disagreement among financial economists about the meaning of efficiency, how to test for it and what the results of these tests mean.

Journal Article

Macro to Micro: Country Exposures, Firm Fundamentals and Stock Returns

April 24, 2014 - Ningzhong Li Scott A. Richardson Irem Tuna

In an increasingly interconnected global system of economic and financial markets, understanding the macroeconomic landscape is important.

Journal Article

Do Asset Fire Sales Exist?

June 1, 1998 - Todd C. Pulvino

Financially distressed airlines can enter a vicious cycle when circumstances compel them to liquidate their fleets in the midst of an industry slump.

Journal Article

Sources of Change and Risk for Hedge Funds

February 1, 2004

Hedge funds are becoming much more institutionalized.

Journal Article

Taming Global Village Risk

July 1, 2008 - Rodney N. Sullivan

Asset price bubbles have been part of modern capital markets since those markets first evolved some 300 years ago.

Journal Article

Taming Global Village Risk II: Understanding and Mitigating Bubbles

July 1, 2009 - Rodney N. Sullivan

Asset bubbles and their subsequent bursts are nothing new.

Journal Article

Triggering the 1987 Stock Market Crash

September 1, 1989 - Mark L. Mitchell Jeffrey M. Netter

On Wednesday, October 14, 1987, the U.S. stock market began the most extreme one-week decline in its history, culminating in the crash on Monday, October 19, when the Dow Jones Industrial Average fell 508 points (22.6%).

Journal Article

Asset Reliability and Security Prices Evidence From Credit Markets

March 3, 2014 - Navneet Arora Scott A. Richardson Irem Tuna

This paper explores the relation between the reliability of an enterprise’s accounting and its security prices.