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Research Publications
Journal Article
Huang S., Yueshen B. Z. (Forthcoming). Speed Acquisition. Management ScienceJournal Article
Massa M., Zhang L. (Forthcoming). Bank Credit Tightening, Debt Market Frictions, and Corporate Yield Spreads (100603). Journal of Financial MarketsJournal Article
Massa M., Zhang L. (Forthcoming). Local Investor Horizon Clientele and IPO Underpricing. Journal of Financial MarketsJournal Article
Dessaint O., Olivier J., Otto C. A., Thesmar D. (Forthcoming). CAPM-Based Company (Mis)valuations. Review of Financial StudiesJournal Article
Li J., Massa M., Zhang H., Zhang J. (Forthcoming). Air Pollution, Behavioral Bias, and the Disposition Effect in China. Journal of Financial EconomicsCase Study
Does Sustainability Pay? Barry Callebaut's Sustainability Improvement Loan by Duke L., Tepla L.published: 13 Oct 2020
Journal Article
Massa M., Schumacher D. (2020). Information Barriers in Global Markets: Evidence from International Subcontracting Relationships. Journal of Financial and Quantitative Analysis, 55(6), (pp2037-2072).Journal Article
Dermine J. (2020). Banks’ Home Bias in Government Bonds Holdings. Will Banks in Low-Rated Countries Invest in European Safe Bonds (ESBies)? . European Financial Management, 26(4), (pp841-858).Working Paper
Nathanial P., Van der Heyden L. (2020). EU Banking in the COVID-19 Crisis: Time for a “New Deal”. 2020/25/FIN/TOMJournal Article
Von Beschwitz B., Massa M. (2020). Biased Short: Short Sellers' Disposition Effect and Limits to Arbitrage (100512). Journal of Financial Markets, 49, (pp80-82).Journal Article
Gavazzoni F., Santacreu A. M. (2020). International R&D Spillovers and Asset Prices. Journal of Financial Economics, 36(2), (pp330-354).Journal Article
Peress J., Schmidt D. (2020). Glued to the TV: Distracted Noise Traders and Stock Market Liquidity. Journal of Finance, 75(2), (pp1083-1133).Working Paper
Nathanial P., Van der Heyden L. (2020). Crisis Management: Framework and Principles with Applications to CoVid-19. 2020/17/FIN/TOMJournal Article
Von Beschwitz B., Keim D. B., Massa M. (2020). First to 'Read' the News: News Analytics and Algorithmic Trading Review of Asset Pricing Studies. Review of Asset Pricing Studies, 10(1), (pp122-178).Journal Article
Nolde N., Zhang J. (2020). Conditional Extremes in Asymmetric Financial Markets. Journal of Business and Economic Statistics, 38(1), (pp201-213).Journal Article
Cheng S., Massa M., Zhang H. (2019). The Unexpected Activeness of Passive Investors: A Worldwide Analysis of ETFs. Review of Asset Pricing Studies, 9(2), (pp296-355).Journal Article
Dumas B., Luciano E. (2019). From Volatility Smiles to the Volatility of Volatility. Decisions in Economics and Finance, 42(2), (pp387-406).Working Paper
Hillion P. (2019). The Specialness of Equally-Weighted Portfolios: The Rebalancing Fallacy. 2019/45/FINJournal Article
Dong A., Massa M., Zaldokas A. (2019). The Effects of Global Leniency Programs on Margins and Mergers. Rand Journal of Economics, 50(4), (pp883-915).Journal Article
Manconi A., Peyer U., Vermaelen T. (2019). Are Buybacks Good for Long-term Shareholder Value? Evidence From Buybacks Around the World. Journal of Financial and Quantitative Analysis, 54(5), (pp1899-1935).
