Auctions
Publications
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“Strategic Behavior and Underpricing in Uniform Price Auctions: Evidence from Finnish Treasury Auctions” (with Matti Keloharju and Kristian Rydqvist), 2005, Journal of Finance, 60(4), 1865-1902.
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“Underpricing and Market Power in Uniform Price Auctions” (with Ilan Kremer), 2004, Review of Financial Studies, 17(3), 849-877.
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“Multiple Unit Auctions and Short Squeezes” (with Ilya A. Strebulaev), 2004, Review of Financial Studies, 17(2), 545-580.
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“Divisible Good Auctions: The Role of Allocation Rules” (with Ilan Kremer), 2004, RAND Journal of Economics, 35(1), 147-159.
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“Bidder Behavior in Multiunit Auctions: Evidence from Swedish Treasury Auctions” (with Kristian Rydqvist and Suresh Sundaresan), 2002, Journal of Political Economy, 110(2), 394-424.
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“Discriminatory versus Uniform Treasury Auctions: Evidence from When-Issued Transactions” (with Suresh Sundaresan), 1996, Journal of Financial Economics, 42(1), 63-104.
Money, Liquidity, and Financial Markets
Publications: Book
Note: For more details and links see the Collateral Book tab on this webpage
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“Collateral Frameworks: The Open Secret of Central Banks”, 2017, Cambridge University Press.
Publications: Journal Articles
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“Central Bank Collateral Frameworks,” 2017, Journal of Banking and Finance, 76, 198-214. Reprinted: Journal of Banking and Finance, 83, 232-248.
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“Money and Liquidity in Financial Markets” (with Per Östberg), 2014, Journal of Financial Economics, 112(1), 30-52.
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“The Price of Liquidity: The Effects of Market Conditions and Bank Characteristics” (with Falko Fecht and Jörg Rocholl), 2011, Journal of Financial Economics, 102(2), 344-362.
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“Repo Auctions and the Market for Liquidity” (with Ulrich Bindseil and Ilya A. Strebulaev), 2009, Journal of Money, Credit, and Banking, 41(7), 1391-1421.
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“Liquidity Management and Overnight Rate Calendar Effects: Evidence from German Banks” (with Falko Fecht and Jörg Rocholl), 2008, North American Journal of Economics & Finance, 19(1), 7-21.
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“Monetary Policy Implementation,” in Handbook of European Financial Markets and Institutions (Edited by Xavier Freixas, Philipp Hartmann and Colin Mayer), Oxford University Press, 2008, 742-778 (with Ulrich Bindseil).
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“A Descriptive Analysis of the Finnish Treasury Bond Market 1991-1999” (with Matti Keloharju, Markku Malkamäki, and Kristian Rydqvist), 2002, Finnish Journal of Business Economics, 51(3), 259-279.
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“Collateral and Short Squeezing of Liquidity in Fixed Rate Tenders” (with Ilya A. Strebulaev), 2001, Journal of International Money and Finance, 20(6), 769-792.
Working Papers
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”Robust difference-in-differences analysis when there is a term structure,” (with Jiri Woschitz), University of Zurich, October 2021.
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“The price of money: How collateral policy affects the yield curve,” (with Jiri Woschitz), University of Zurich, October 2021.
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”Repo Rates and the Collateral Spread Puzzle,” University of Zurich, Swiss Finance Institute, and CEPR, February 2019.
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”Repo Rates and the Collateral Spread: Evidence,” (with Cornelia Rösler), University of Zurich, Swiss Finance Institute, and CEPR, February 2019.
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”Central Bank Collateral Policy and Financial Fragility,” University of Zurich and Swiss Finance Institute, June 2016.
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“Stock Correlations: Trading, Liquidity, and Uncertainty,” (with Per Östberg and Zexi Wang), University of Zurich and Swiss Finance Institute, February 2016.
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“Collateral, Central Bank Repos, and Systemic Arbitrage” (with Falko Fecht, Jörg Rocholl, and Jiri Woschitz), University of Zurich and Swiss Finance Institute, February 2016.
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“Bidding and Performance in Repo Auctions: Evidence from ECB Open Market Operations” (with Ulrich Bindseil and Ilya A. Strebulaev), 2002, ECB working paper 157.
Taxes and Valuation
Publications
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“The Choice of Valuation Techniques in Practice: Education versus Profession” (with Lilia Mukhlynina), 2020, in Critical Finance Review, 9, 201-265.
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“Consistent Valuation of Project Finance and LBO’s Using the Flows-to-Equity Method” (with Ian Cooper), 2018, in European Financial Management, 24, 34-52.
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“Tax-Adjusted Discount Rates: A General Formula under Constant Leverage Ratios” (with Peter Molnár), 2013, European Financial Management, 19(3), 419-428 (lead article).
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“Tax-Adjusted Discount Rates With Investor Taxes and Risky Debt” (with Ian Cooper), 2008, Financial Management, 37(2), 365-379.
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“Valuing the Debt Tax Shield” (with Ian Cooper), 2007, Journal of Applied Corporate Finance, 19(2), 50-59.
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“The Value of Tax Shields IS Equal to the Present Value of Tax Shields” (with Ian Cooper), 2006, Journal of Financial Economics, 81(1), 215-225.
Other Corporate Finance and Banking
Publications
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“The Effect of Stock Liquidity on Cash Holdings: The Repurchase Motive” (with Zexi Wang), 2021, Journal of Financial Economics 142, 905–927.
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“Bank Bailout Menus” (with Sudipto Bhattacharya), 2013, Review of Corporate Finance Studies, 2(1), 29-61.
Winner of the 2014 Best Paper Award of Review of Corporate Finance Studies. -
“Financing and Corporate Growth under Repeated Moral Hazard” (with Ronald W. Anderson), 2011, Journal of Financial Intermediation, 20(1), 1-24 (lead article).
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“Agency and the Pace of Adoption of New Techniques” (with Ronald W. Anderson), 2002, Louvain Economic Review, 68(1-2), 203-220.
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“Cross Holdings in Germany: Comment,” 1999, Journal of Institutional and Theoretical Economics, 155(1), 113-118.
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“A Comparison of US, UK, and German Insolvency Codes” (with Julian Franks and Walter Torous), 1996, Financial Management, 25(3), 86-101.
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“Control Rights, Debt Structure and the Loss of Private Benefits: The Case of the UK Insolvency Code” (with Julian Franks), 1996, Review of Financial Studies, 9(4), 1165-1210.
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“The Use and Pricing of Convertible Bonds,” 1996, Applied Mathematical Finance, 3(3), 167-190.
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“Convertible Debt as Delayed Equity: Forced versus Voluntary Conversion and the Information Role of Call Policy,” 1995, Journal of Financial Intermediation, 4(4), 358-395.