Research

Working Papers

Do ETFs Increase the Commonality in Liquidity of Underlying Stocks?, with Vikas Agarwal, Rabih Moussawi, and Christof Stahel.

Political Contributions and the Price of Credit Risk: Evidence from Credit Default Swaps , with Shunlan Fang, Alexei Ovtchinnikov, and Saumya Prabhat.

Publications

The Fast and the Curious: VC Drift. Journal of Financial Services Research (2018), with Amit Bubna and Sanjiv Das.

Contagion effects in strategic mortgage defaults. Journal of Financial Intermediation (2017), with Ryan Goodstein, Carlos Ramirez and Christof Stahel.

Value of Corporate Control: Some International Evidence Journal of Investment Management (2013), with Alan C. Shapiro and Atulya Sarin.

Run-lengths and liquidity. Annals of Operations Research (2010), with Sanjiv Das.

Implied recovery. Journal of Economic Dynamics and Control (2009), with Sanjiv Das.

Accounting-based vs. market-based models of CDS spreads. Journal of Banking and Finance (2009), with Sanjiv Das and Atulya Sarin.

Hedging credit: Equity liquidity matters. Journal of Financial Intermediation (2009), with Sanjiv Das.

Credit Default Swap Spreads. Journal of Investment Management (2006), with Sanjiv Das.

Is there a dark side to incentive compensation? Journal of Corporate Finance (2006), with David Denis and Atulya Sarin.

Chapters and Monographs

Recovery Rate, with S.R. Das. 2010.
Encyclopedia of Quantitative Finance John Wiley & Sons, Ltd., UK

Recovery Rate Swaps, with S.R. Das. 2010.
Encyclopedia of Quantitative Finance John Wiley & Sons, Ltd., UK