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Research and Publications

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 

" Creating and Conserving Shareholder Wealth in Emerging Markets: Recent Evidence," with Kathleen Hevert and Laurie Krigman, Stock Market Developments and Shareholder's Wealth Effects: Evidence from Emerging Markets, Nova Science Publishers, Inc., 2013.
"The Importance of Financial Policy Makers Making Informed Decisions," Jennifer Bethel and Erik Sirri,  Current Perspectives on Modern Equity Markets, CLS & Associates, 2010, 91-104.
“Managing the Costs of Issuing Common Equity: The Role of Registration Choice,” with L. Krigman, Quarterly Journal of Finance and Accounting, 47 (4), 2009, 57-85; Reprinted in Banking and Capital Markets: New International Perspectives, Harold Black, Lloyd P. Blenman, and Edward Kane, eds., World Scientific Press 2009.
“The Market for Shareholder-Voting Rights Around Mergers and Acquisitions: Evidence from Institutional Daily Trading and Voting,” with G. Hu and Q. Wang, Journal of Corporate Finance, 15, 2009, 129-145. (Received grant from Yale University’s Millstein Center for Corporate Governance and Performance).
“Legal and Economic Issues in Litigation Arising from the 2007-2008 Credit Crisis,” with A. Ferrell and G. Hu, Forthcoming in Brookings-Nomura Papers on Financial Services, Brookings Institution Press, 2009 (Translated into Chinese: Comparative Studies, 39, December 2008, 54- 96, China CITIC Press).
“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 (Translated into Japanese).
“Recent Changes in Disclosure Regulation: Description and Evidence” Journal of Corporate Finance, 13, 2007, 335–342.
“The Contribution of Investment Bank and Investor Incentives to Boom- and-Bust Cycles,” with L. Krigman,.  

Professor Richard Bliss

"Private Equity: The Differences between Developed and Emerging Markets", in Private Equity in Emerging Markets: The New Frontiers of International Finance, Darek Klonowski, editor, 2012, Palgrave Macmillan, New York. (2012)
"Decision Making and Risk Aversion in the Cash Cab", with Mark Potter and Chris Schwarz, September 2012, Journal of Economic Behavior and Organization, Vol. 84 No.1, pages 163-173. (2012)
Entrepreneurial Finance Strategy, Valuation and Deal Structure, with Janet Smith and Richard Smith, Stanford University Press 2011.
"Profitable Growth by Acquisition", in The Portable MBA; Finance and Accounting, 4th Edition, John L. Livingstone and Theodore Grossman, editors, 2009, John Wiley & Sons, Inc., New York.
"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

 “Smart Fund Managers? Stupid Money?” Bernhardt, D., Davies, R.J. (2009) Canadian Journal of Economics, 42(2), 719-748.
“Using Matched Samples to Test for Differences in Trade Execution Costs,” Davies, R.J., S.S. Kim, (2009) Journal of Financial Markets, 12(2). 173-202.
Funds of hedge funds portfolio selection; A multiple-objective approach, Davies, R.J., Kat, H.M., Lu, S. (2009).  Journal of Derivatives and Hedge Funds 15(2), 91-115.
“Cross hedging with single stock futures,” Brooks, C., Davies, R.J., Kim, S.S. (2007) Assurances et Gestion des Risques 74(4), 473-504.
“Long-term information, short-lived securities,” Bernhardt, D., Davies, R.J., Spicer, J. (2006)  Journal of Futures Markets 26(5), 465-502.
 “Painting the Tape: Aggregate Evidence,” Bernhardt, D., Davies, R.J. (2005) Economics Letters 89(3), 306-311. Davies, R.J. (2003)
“The Toronto Stock Exchange preopening session,” Journal of Financial Markets 6(4), 491-516.
 “Building a competitive and efficient European financial market,” Davies, R.J., Dufour, A., Scott-Quinn, B. (2003) European Capital Markets Institute Short Paper No. 4, 103 pages.
 “The MiFID: Competition in a new European equity market regulatory structure,” Davies, R.J., Dufour, A., Scott-Quinn, B. (2006) in Investor Protection in Europe: Corporate Law Making, The MiFID and Beyond, eds. Guido Ferrarini, Eddy Wymeersch; Oxford University Press, 163-197.
 “Single Strategy Funds of Hedge Funds: How Many Funds?” Davies, R.J., Kat, H.M., Lu, S. (2006) 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

The 1959-73 Mandatory Oil Import Quota Program:  U.S. Energy Policy or a Camouflaged Subsidy?”  with Sitanshu Singh, The Journal of American Business Review, Cambridge, vol. 1, no. 2, Summer 2013, pp. 275-292.
The National Strategic Petroleum Reserve:  An Anachronism or a Springboard?” with Sitanshu Singh, Environmental Economics, vol. 4, issue 1, 2013, pp. 81-90.
"Job creation in the post-modern economy” (with Keith R. St. John) Problems and Perspectives in Management. Volume 8, Issue 3. “Las Principales fuentes de riesgo o inestabilidad” América Económica
"The Macro Dimensions of Chile's Export Dilemma" (with Francisco Arroyo) Global Economy Journal. Berkeley Electronic Press, Fall 2009.
Brave New Wealthy World, Financial Times Pearson Prentice Hall, June 2003.
Wealth by Association, with John Marthinsen, Praeger Press, March 2003.
October 11, 2005 (with John Marthinsen) “Euro’s a Boon to Europe,” The Providence Journal.  

Professor Steven Feinstein

“Underestimation of Securities Fraud Aggregate Damages Due to Inter-Fund Trades.” (with Gang Hu, Mark Marcus, and Zann Ali). Journal of Forensic Economics, September2013, Vol. 24, No.2, pp.161-173.
“Distortion in Corporate Valuation: Implications of Capital Structure Changes” (with Allen Michel and Jacob Oded) Managerial Finance, 2011, Vol. 37(8), pp. 681-696.
Market Signals of Investment Unsuitability” with Alexander Liss and Steven Achartz, Law360.com, June 3, 2010.
"Planning Capital Expenditure, " The Portable MBA in Financing and Accounting, J.L. Livingstone and T. Grossman, editors, New York: Wiley, 3rd edition 2001, 4th edition 2009.
"Financial Management of Risks," in The Portable MBA in Financing and Accounting, J.L. Livingstone and T. Grossman, editors, New York: Wiley, 2nd edition 1997, 3rd edition 2001, and 4th edition 2009.
“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

 “Inter-Market Competition listed Securities,” Michael Goldstein, Andriy V. Shkilko, Bonnie F. Van Ness, and Robert A. Van Ness, The Review of Quantitative Finance and Accounting, vol 35, no 4, November 2010, 371-391
“Trading at the Speed of Light: The Impact of High-Frequency Trading on Market Performance, Regulatory Oversight, and Securities Litigation”, Pavitra Kumar, Michael Goldstein, and Frank Graves   Finance:  Current Topics in Corporate Finance and Litigation, The Brattle Group, Issue 2, 2011
“Do Dividends Matter More in Declining Markets?” Michael Goldstein and Kathleen P. Fuller, The Journal of Corporate Finance, Vol. 17, No. 3, June 2011, 457-473.
"Purchasing IPOs with commissions: Theoretical predictions and empirical results", (with P. Irvine and W. A. Puckett), The Journal of Financial Quantitative Analysis, 2010.
InterCon Travel Health: Case B," (with G. Truman and D. Pachamanova), Journal of Information Systems Education, Vol. 21, Number 1, Spring 2010, 27-32.
"An Analysis of Liquidity across Markets: Execution Costs on the NYSE Versus Electronic Markets" (with G. Hu and J. Ginger Meng), Liquidity, Interest Rates, and Banking, 2009, Jeffrey Morrey and Alexander Guyton (editors), Nova Publishers, Chapter 7, 139-167. “Brokerage Commissions and Information Allocation" (with P. Irvine, E. Kandel and Z. Wiener), The Review of Financial Studies. December 2009, Vol. 22, No. 12, 5175-5212. “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

"Apple and Dell, 2007," Case Study, Babson Classic Collection, April 2013. Case Reference # BAB062C.
"Apple and Dell, 2007," Teaching Note, Babson Classic Collection, April 2013. Case Reference # BAB062TN.
"Starbucks Corporation: Financial Analysis of a Business Strategy," Case, Babson Classic Collection, July 2013. Case Reference # BAB036N.
"Blue Heron Capital Partners, LLC," Case, Babson Classic Collection, February 2012. Case Reference # BAB711-PDF-ENG. 
"Blue Heron Capital Partners, LLC," Teaching Note, Babson Classic Collection, February 2012. Case Reference # BAB712-PDF-ENG. 
"Blue Heron Capital Partners, LLC," Spreadsheet Supplement, Babson Classic Collection, February 2012, Case Reference # BAB713-XLS-ENG. 
“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

"Underestimation of Securities Fraud Aggregate Damages Due to Inter-Fund Trades," with Steve Feinstein, Mark Marcus, and Zann Ali, Journal of Forensic Economics 24, 2013, 161-173.
"Emerging Issues in Evaluating Market Efficiency: Part 2" (Analyst Coverage in the 21st Century), with J. Brendan Brooks, Law360, Securities and Class Action Expert Analysis sections, July 2013.
"Emerging Issues in Evaluating Market Efficiency: Part 1" (Serial Correlation), with Mark Marcus, Law360, Securities and Class Action Expert Analysis sections, July 2012.
"The Year-End Trading Activities of Institutional Investors: Evidence from Daily Trades," with R. David McLean, Jeffery Pontiff, and Qinghai Wang. Review of Financial Studies.
"Institutional Investors and the Information Production Theory of Stock Splits" Journal of Financial and Quantitative Analysis.
“OLIVE: A Simple Method for Estimating Betas When Factors Are Measured with Error,” with J. Ginger Meng and Jushan Bai, Journal of Financial Research 34, 2011, 27-60.
"Stock Repurchases and Splits", with J. Ginger Meng, in "Volume of Finance - Series on the Frontiers of Western Research in the Humanities and Social Sciences," Huimin Li and Dongmin Ke (editors), China Renmin University Press, Beijing, China, 2011, Chapter 18, 471-496.

"The Role of Institutional Investors in Initial Public Offerings." with Thomas Chemmanur and Jiekun Huang, Review of Financial studies, 2010.
"Costly Arbitrage and Idiosyncratic Risk: Evidence from Short Sellers." with Ying Duan and R. David McLean, Journal of Financial Intermediation, 2010.
"Is Dividend Smoothing Universal? New Insights from a Comparative Study of Dividend Policies in Hong Kong and the U.S.," with Thomas Chemmanur, Jie He, and Y. Helen Liu, Journal of Corporate Finance, 2010.
"The Role of Institutional Investors in Seasoned Equity Offerings," with Thomas Chemmanur and Shan He, Journal of Financial Economics 94, 2009, 384-411.
"Measures of Implicit Trading Costs and Buy-Sell Asymmetry." Journal of Financial Markets 12, 2009, 418-437.
"The Market for Shareholder Voting Rights Around Mergers and Acquisitions: Evidence from Institutional Daily Trading and Voting," with Jennifer Bethel and Qinghai Wang, Journal of Corporate Finance 15, 2009, 129-145.
“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 Wendy Jeffus

“Successful Cross-border Acquisitions of Latin American Financial Institutions: Identifying Success Factors,” with C. Bulent and John Edmunds, Global Journal of Emerging  Market Economies, Vol 4, pp. 347-367, 2012.
“Trump in Scotland” Case Study, Babson Collection, June 2012. Case Reference # BAB1016C 2012, available at: www.thecasecentre.org/educators/products/view?id=109678
“Trump in Scotland” Teaching Note, Babson Collection, June 2012. Case Reference # BAB1016TN.
“Joint Impact of Executive Pay Disparity and Corporate Governance.” with Kimberly Gleason and Seema Pissaris, Journal of Managerial Issues, Vol 22, Issue 3, pp. 306–329, 2010.
“The Impact of Brazil's Currency Crisis on Brazilian American Depository Receipts,” Journal of Banks and Bank Systems, Vol. 2, pp. 20–28, 2009.
“Cross-border Investment in the Latin American Banking Sector,” with Harvey Arbeláez and Jesus Arteaga Ortiz, International Finance Review, Vol. 7, pp. 419-438, 2006.
“FDI and Stock Market Development in Selected Latin American Countries.” International Finance Review, Vol. 5, pp. 35 - 44, 2004.

Professor Laurie Krigman

"Managing the Cost of Issuing Common Equity: The Role of Registration Choice," Quarterly Journal of Finance and Accounting, 47, No. 4, 55-85.
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

"Decision Making and Risk Aversion in the Cash Cab", with Richard Bliss and Chris Schwarz, Journal of Economic Behavior and Organization, September 2012, Vol. 84 no.1, pp. 163-173.
"The Mutual Fund Scandal and Investor Response". with Chris Schwarz, Journal of Index Investing, Summer 2012, Vol.3 (1), pp.29-38.
"Teaching Finance and Financial Accounting in an On-Line Program", Journal of Modern Accounting and Auditing, Vol. 8, no.3, pp.330-339 (forthcoming).
Performance Characteristics of Individual vs. Team Managed Mutual Funds”, with Richard T. Bliss and Chris Schwarz, Journal of Portfolio Management 34.3, Spring 2008, pp. 110-119.
“Opinion Divergence Among Professional Investment Managers”, with Gang Hu and Ginger Meng, Journal of Business Finance and Accounting 35 (5) & (6), pp.679-703, June/July 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

Comment on "Tax-Subsidized Underpricing: Issuers and underwriters in the Market for Bulid America Bonds by Richard C. Green, Dario Cestau, and Norman Schurhoff," Journal of Monetary Economics, v.60, n.5, July 2013.
Regulatory Politics and Short Selling,” University of Pittsburgh Law Review, 2010, Vol. 71, No. 3,  pp. 517-544.
“Consolidation and Competition in U.S. Equity Markets,” with Robert L.D. Colby, Capital Markets Law Journal, 2010, Vol. 5, No. 2, pp. 169-196.
"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

Larry Steffen: Valuing Stock Options in a Compensation Package, Harvard Business School case and teaching note, HBS product # 9-914-517 and 5-914-518, with William E. Fruhan.
Hill Country Snack Foods, Harvard Business Publishing case and teaching note, HBS product # 9-913-517 and 5-913-518, with W. Carl Kester.
Sterling Household Products Company, Harvard Business case and teaching note, product #9-913-556 and 5-913-557, with William E. Fruhan.
Pacific Grove Spice Company, Harvard Business Publishing case and teaching note, HBP product # 4366 and 4370, with William E. Fruhan.
Harmonic Hearing Co., Harvard Business Publishing case and teaching note, HBP product # 4271 and 4272, with Howard H. Stevenson.
Harmonic Hearing, Harvard Business Publishing Spreadsheet Supplement, case product #4275
Flash Memory, Inc., Harvard Business Publishing case, product #4230; and Flash Memory, Inc., Harvard Business Publishing teaching note, product #4232.
Chapter 5: "Capital Structure", in The Portable MBA in Finance and Accounting, 4th edition, John Wiley & Sons, Inc.
"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.