Publications

Browse or search publications from Stanford GSB faculty.

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Persuasion Bias, Social Influence, and Unidimensional Opinions

Peter M. DeMarzo, Dimitri Vayanos, Jeffrey Zwiebel
Quarterly Journal of Economics 2003 Vol. 118 Issue 3 Pages 909-968.

Term Structure Dynamics in Theory and Reality

Kenneth J. Singleton, Qiang Dai
Review of Financial Studies 2003 Vol. 16 Issue 3 Pages 631.

Securities Lending, Shorting, and Pricing

Darrell Duffie, Nicolae Garleanu, Lasse Heje Pedersen
Journal of Financial Economics November2002 Vol. 66 Issue 2-3 Pages 307-339.

The Bond/Old-Bond Spread

Arvind Krishnamurthy
Journal of Financial Economics November2002 Vol. 66 Issue 2-3 Pages 463-506.

Universal State Prices and Asymmetric Information

Darrell Duffie, Rui Kan
Journal of Mathematical Economics September2002 Vol. 38 Issue 1-2 Pages 191-196.

Expectation puzzles, time-varying risk premia, and affine models of the term structure

Kenneth J. Singleton, Qiang Dai
Journal of Financial Economics March2002 Vol. 63 Issue 3 Pages 415.

A Dual Liquidity Model for Emerging Markets

Ricardo J. Caballero, Arvind Krishnamurthy
American Economic Review 2002 Vol. 92 Issue 2 Pages 33-37.

Option Exercise Games: An Application to the Equilibrium Investment Strategies of Firms

Steven Grenadier
Review of Financial Studies 2002 Vol. 15 Issue 3 Pages 691-721.

International and Domestic Collateral Constraints in a Model of Emerging Market Crises

Arvind Krishnamurthy, Ricardo J. Caballero
Journal of Monetary Economics December2001 Vol. 48 Issue 3 Pages 513-548.

Management

Robert L. Joss
Australian Journal of Management August2001 Vol. 26 Pages 89-103.

Estimation of affine asset pricing models using the empirical characteristic function

Kenneth J. Singleton
Journal of Econometrics May2001 Vol. 102 Issue 1 Pages 111-141.

Floating-Fixed Credit Spreads

Darrell Duffie, Jun Liu
Financial Analysts Journal May2001 Vol. 57 Issue 3 Pages 76-87.

Term Structures of Credit Spreads with Incomplete Accounting Information

Darrell Duffie, David Lando
Econometrica May2001 Vol. 69 Issue 3 Pages 633-664.

Analytical Value-at-Risk with Jumps and Credit Risk

Darrell Duffie, Jun Pan
Finance and Stochastics April2001 Vol. 5 Issue 2 Pages 155-180.

Risk and Valuation of Collateralized Debt Obligations

Darrell Duffie, Nicolae Garleanu
Financial Analysts Journal January2001 Vol. 57 Issue 1 Pages 41-59.

A review of “Capital Ideas and Market Realities: Option Replication, Investor Behavior, and Stock Market Crashes,” by Bruce I. Jacobs

Anat R. Admati
Journal of Economic Literature December2000 Vol. 38 Issue 4 Pages 936-991.

Equilibrium with Time-to-Build: A Real-Options Approach

Steven Grenadier
Project Flexibility, Agency, and Competition: New Developments in the Theory and Applications of Real Options Oxford University Press 2000 Pages 275-296.

Forcing Firms to Talk: Financial Disclosure Regulation and Externalities

Anat R. Admati, Paul Pfleiderer
Review of Financial Studies 2000 Vol. 13 Issue 3 Pages 479–519.

Option Exercise Games: The Intersection of Real Options and Game Theory

Steven Grenadier
Journal of Applied Corporate Finance 2000 Vol. 13 Issue 2 Pages 99-107.

Sorting Out Sorts

Jonathan B. Berk
Journal of Finance 2000 Vol. 55 Pages 407-427.