Finance Department Publications

Refereed Articles

Mutual Funds

  1. Jing-Zhi Huang and Ying Wang, “Should Investors Invest in Hedge Fund-like Mutual Funds: Evidence from the 2007 Financial Crisis,” Journal of Financial Intermediation, forthcoming.
  2. Charles Cao, Timothy T. Simin, and Ying Wang, “Do Mutual Fund Managers Time Market Liquidity?” Journal of Financial Markets, forthcoming.
  3. Ross M. Miller, “The True Cost of Active Management,” Global ARC Quarterly, Winter 2013.
  4. Hany A. Shawky and Jianbo Tian, “Small Cap Equity Mutual Fund Managers as Liquidity Providers,” Journal of Empirical Finance, 2011, vol. 18, pp. 802-814.
  5. Ross M. Miller, “Paying the High Price of Active Management: A New Look at Mutual Fund Fees,” World Economics,” July-September 2010, vol. 11 no. 3, pp. 5-24.
  6. H. Kent Baker, John A. Haslem, and David M. Smith, “Performance and Characteristics of Actively Managed Institutional Equity Mutual Funds,” Journal of Investing, Spring 2009, vol. 18 no. 1, pp. 1-19.
  7. Charles Cao, Eric C. Chang, and Ying Wang, “An Empirical Analysis of the Dynamic Relationship between Mutual Fund Flow and Market Return Volatility,” Journal of Banking and Finance, 2008, vol. 32, pp. 2111-2123.
  8. H. Kent Baker, John A. Haslem, and David M. Smith, “Performance and Characteristics of Actively Managed Retail Equity Mutual Funds with Diverse Expense Ratios,” Financial Services Review, Summer 2008, vol. 17 no. 2, pp. 49-68.
  9. H. Kent Baker, John A. Haslem, and David M. Smith, “Institutional S&P 500 Index Funds as Financial Commodities: Fact and Fiction,” Journal of Investing, Summer 2008, vol. 17 no. 2, pp. 1-11.
  10. Ross M. Miller, “Measuring the True Cost of Active Management by Mutual Funds,” Journal of Investment Management, First Quarter 2007, vol. 5 no. 1, pp. 29-49.
  11. H. Kent Baker, John A. Haslem, and David M. Smith, “Identification and Performance of Equity Mutual Funds with Excessive Management Fees and Expense Ratios,” Journal of Investing, Summer 2007, vol. 16 no. 2, pp. 1-20.
  12. Hany A. Shawky and Liuling Li, “Optimal Asset Size for US Small-cap Equity Mutual Funds,” Journal of Investing, Spring 2006, vol. 15 no. 1, pp. 79-86.

Hedge Funds

  1. Hany A. Shawky, Donald Siegel and Mike Wright, “Financial and Real Effects of Alternative Investments,” Journal of Corporate Finance, 2012, vol. 18, pp. 105-107.
  2. Na Dai and Hany A. Shawky. “Diversification Strategies and the Performance of Funds of Hedge Funds,” Journal of Alternative Investments, 2012, vol. 15, pp. 75-85.
  3. Hany A. Shawky, Na Dai, and Douglas Cumming, “Diversification in the Hedge Fund Industry,” Journal of Corporate Finance, 2012, vol. 18, pp. 166-178.
  4. Kajal Lahiri, Hany A. Shawky and Yongchen Zhao, “On Estimating the Failure Probability of Hedge Funds,” Research in Finance, 2011, vol. 27, pp. 85-119.
  5. Na Dai, Hoje Jo, and Sul Kassicieh, “Cross-Border Venture Capital Investments in Asia: Selection and Exit Performance” Journal of Business Venturing, 2012, vol. 27, pp. 666-684.
  6. Douglas Cumming and Na Dai, “Hedge Fund Regulation and Misreported Returns,” European Financial Management, 2010, vol. 16, pp. 829-857.
  7. Douglas Cumming and Na Dai, “A Law and Finance Analysis of Hedge Funds,” Financial Management 2010, vol. 40, pp. 997-1026.
  8. Hany A. Shawky and Achla Marathe, “Stylistic Differences across Hedge Funds as Revealed by Historical Monthly Returns,” Journal of Technology and Investment, 2010, vol. 2, pp. 26-34.
  9. Douglas Cumming and Na Dai, “Capital Flows and Hedge Fund Regulation,” Journal of Empirical Legal Studies, 2009, vol. 6, pp. 848-873.
  10. Bill Ding, Hany A. Shawky and Jianbo Tian, “Liquidity Shocks, Size and the Relative Performance of Hedge Fund Strategies,” Journal of Banking and Finance, 2009, vol. 33, pp. 883-891.
  11. Bill Ding and Hany A. Shawky, “The Performance of Hedge Fund Strategies and the Asymmetry of Return Distributions,” European Financial Management, March 2007, vol. 13 no. 2, pp. 309-331.

Venture Capital and Private Equity

  1. Douglas Cumming and Na Dai, “Why do Entrepreneurs Switch Lead Venture Capitalists?” Entrepreneurship Theory & Practice, forthcoming.
  2. Na Dai, “Monitoring via Staging? Evidence from Private Investment in Public Equity,” Journal of Banking and Finance, 2011, vol. 35, pp. 3417-3431.
  3. Douglas Cumming and Na Dai, “Fund Size, Limited Attention and Valuation of Venture Capital Backed Firms,” Journal of Empirical Finance, 2011, vol. 18, pp. 2-15. (Lead Article)
  4. H.C. Chen, Na Dai, and J.D. Schatzberg. “The Choice of Equity Selling Mechanisms: PIPEs versus SEOs,” Journal of Corporate Finance, 2010, vol. 16, pp. 104-119.
  5. Douglas Cumming and Na Dai. “Local Bias in Venture Capital Investments,” Journal of Empirical Finance, 2010, vol. 17, pp. 362-380.
  6. Na Dai, H. Jo and J.D. Schatzberg, “The Quality and Price of Investment Banks’ Service: Evidence from the PIPE Market,” Financial Management, 2010, vol. 39, pp. 585-616.
  7. Na Dai, “Does Investor Identity Matter? An Empirical Examination of Investments by Venture Capital Funds and Hedge Funds in PIPEs,” Journal of Corporate Finance, 2007, vol. 13, pp. 538-563.

Valuation

  1. Christophe Faugère and Julian Van Erlach, “A Required Yield Theory of Stock Market Valuation and Treasury Yield Determination,” Financial Markets, Institutions and Instruments, 2009, vol. 18 no. 1, pp. 27-88.
  2. Christophe Faugère and Julian Van Erlach, “The Equity Premium: Consistent with GDP Growth and Portfolio Insurance,” The Financial Review, 2006, vol. 41 no. 4, pp. 547-564.
  3. Christophe Faugère and Julian Van Erlach, “The Price of Gold: A Global Required Yield Theory,” Journal of Investing, Spring 2005, vol. 14 no. 1, pp. 99-111.
  4. Christophe Faugère and Hany A. Shawky, “A Valuation Formula for High Technology Firms that are in the Early Stage of their Lifecycle,” Advances in Financial Planning and Forecasting, New series 2005, vol. 1, pp. 101-130.

Trading and Markets

  1. Ross M. Miller, “The Effect of Boundary Conditions on Efficiency and Pricing in Double-Auction Markets with Zero-Intelligence Agents,” Intelligent Systems in Accounting, Finance and Management, July/September 2012, vol. 19 no. 3, pp. 179-188.
  2. Ross M. Miller, “Don’t Let Your Robots Grow Up to Be Traders: Artificial Intelligence, Human Intelligence, and Asset-Market Bubbles,” Journal of Economic Behavior and Organization, October 2008, vol. 68 no. 1, pp. 153-166.
  1. Eric Girard and Rita Biswas, “Trading Volume and Market Volatility: Developed vs. Emerging Stock Markets,” The Financial Review, August 2007, vol. 42 no. 3, pp. 429-459.
  2. Ross M. Miller, “The Leap from Free Markets to Autonomous Markets,” Journal of Economic Behavior and Organization, June 2007, vol. 63 no. 2, pp. 295-306.

Portfolio Management

  1. David M. Smith, Christophe Faugère, and Ying Wang, “Head and Shoulders above the Rest? The Performance of Institutional Portfolio Managers who Use Technical Analysis,” Research in Finance, forthcoming.
  2. Russell Gregory-Allen, Hany A. Shawky and Jeffrey Stangl, “Quantitative vs. Fundamental Analysis in Institutional Money Management: Where’s the beef?” Journal of Investing, 2009, vol. 18 no. 4, pp. 42-52.
  3. Sanjay Goel, Christopher Brown and Hany A. Shawky, “Complexity and the Performance of Investment Portfolios,” Advances in Investment Analysis and Portfolio Management, 2007, vol. 3, pp. 83-102.
  4. David M. Smith and William H. Desormeau, Jr., “Optimal Rebalancing Frequency for Stock-Bond Portfolios,” Journal of Financial Planning, November 2006, vol. 19 no. 11, pp. 52-63.
  5. Hany A. Shawky and David M. Smith, “The Optimal Number of Stock Holdings in Mutual Fund Portfolios Based on Market Performance,” The Financial Review, November 2005, vol. 40 no. 4, pp. 481-495.
  6. Christophe Faugère, Hany A. Shawky and David M. Smith, “Sell Discipline and Institutional Money Management,” Journal of Portfolio Management, Spring 2004, vol. 30 no. 3, pp. 95-105.

Futures

  1. Eric Girard, Amit Sinha and Rita Biswas, “The Efficacy of Conditional Cost of Carry Models in Pricing Oil Futures,” Review of Futures Markets, February, 2010, vol. 18 no. 3.
  2. Eric Girard, Amit Sinha and Rita Biswas, “The Relationship between Information Flow and Energy Futures Volatility,” Review of Futures Markets, February 2008, vol. 16 no. 3.
  3. Lester Hadsell and Hany A. Shawky, “One-Day Forward Premiums and the Impact of Virtual Bidding on the New York Wholesale Electricity Market Using Hourly Data,” Journal of Futures Markets, 2007, vol. 27 no. 11, pp. 1107-1125.
  4. Lester Hadsell and Hany A. Shawky, “Electricity Price Volatility and the Marginal Cost of Congestion: An Empirical Study of Peak Hours on the NYISO Market, 2001-2004,” The Energy Journal, 2006, vol. 27 no. 2, pp. 157-180.
  5. Lester Hadsell, Achla Marathe and Hany A. Shawky, “Estimating the Volatility of Wholesale Electricity Spot Prices in the US,” The Energy Journal, 2004, vol. 25 no. 4, pp. 23-40.

Regulation

  1. Sanjay Goel and Hany A. Shawky, “The Impact of Federal and State Notification Laws on Security Breach Announcements,” Communications of the AIS, forthcoming.
  2. Sharada Alampalli, “Information Infrastructure for Systemic Regulation,” Journal of Financial Regulation and Compliance, July 2013, vol. 21 no. 3.
  1. Douglas Cumming, Na Dai, Lars Helge Haß, Denis Schweizer, “Regulatory Induced Performance Persistence: Evidence from Hedge Funds, Journal of Corporate Finance, 2012, vol. 18, pp. 1005-1022.
  2. David Ornstil, Hany A. Shawky and David M. Smith, “Is the SEC Registration Status of Hedge Fund Advisors Associated with Superior Performance?” Journal of Alternative Investments, Spring 2006, vol. 8 no. 4, pp. 55-62.

Other Topics

  1. Biswas, Rita, David Buzen and Hany A. Shawky, “On the Use of Covered Bonds as an Alternative Mortgage Funding Model for U.S. Banks,” Journal of Risk Management in Financial Institutions, March 2010, vol. 3 no. 2, pp. 135-147.
  2. Janet Marler and Christophe Faugère, “Shareholder Activism and Middle Management Equity Incentives,” Corporate Governance: An International Review, 2010, vol. 18 no. 4, pp. 313-328.
  3. Sanjay Goel and Hany A. Shawky, “Estimating the Impact of Security Breach Announcements on Firm Values,” Journal of Information and Management, 2010, vol. 46 no. 7, pp. 404-410.
  4. Lester Hadsell and Hany A. Shawky, “Profit and Efficiency in the NYISO Transmission Congestion Contract Market,” Electricity Journal, 2010, vol. 22 no. 9, pp. 47-57.
  5. Christophe Faugère and Giri Tayi, “Designing Free Software Samples: A Game-Theoretic Approach,” Journal of Information Technology and Management, 2007, vol. 8 no. 4, pp. 263-278.
  6. H. Kent Baker and David M. Smith, “In Search of a Residual Dividend Policy,” Review of Financial Economics, Spring 2006, vol. 15 no. 1, pp. 1-18.
 Douglas Cumming - Hedge Funds Book   David Smith and Hany A. Shawky - Institutional Money Management 

Books

  1. Douglas Cumming, Na Dai, and Sophia Johan, “Hedge Fund Structure, Regulation, and Performance around the World,” Oxford University Press, 2013.
  2. David M. Smith and Hany A. Shawky, Editors, “Institutional Money Management: An Inside Look at Strategies, Players, and Practices,” John Wiley & Sons, 2012.

Book Chapters

  1. Ross M. Miller, “Quantitative Techniques and Risk Management,” Chapter 10 in Institutional Money Management: Objectives, Constraints, and Strategies (David M. Smith and Hany A. Shawky, eds.), John Wiley & Sons, 2012.
  2. Ying Wang, Matt Reiner, and Gregory Roeder, “Mutual Funds,” Chapter 15 in Institutional Money Management: Objectives, Constraints, and Strategies (David M. Smith and Hany A. Shawky, eds.), John Wiley & Sons, 2012.
  3. Na Dai, “Venture Capital Funds,” Chapter 21 in Institutional Money Management: Objectives, Constraints, and Strategies (David M. Smith and Hany A. Shawky, eds.), John Wiley & Sons, 2012.
  4. Russell Gregory-Allen, David M. Smith, and Mark Werman, “Short Selling by Portfolio Managers: Performance and Risk Effects across Investment Styles,” Chapter 30 in The Handbook of Short Selling (Greg Gregoriou, ed.), McGraw-Hill, 2012.
  5. Rita Biswas, “International Takeovers and Restructuring,” Chapter 24 in The Art of Capital Restructuring: Creating Shareholder Value through Mergers and Acquisitions, (H. Kent Baker and Halil Kiymaz, eds.), John Wiley & Sons, 2011.
  6. David M. Smith, “The Economics of Mutual Funds,” Chapter 3 in Mutual Funds: Portfolio Structures, Analysis, Management, and Stewardship (John A. Haslem, ed.), John Wiley & Sons, 2010.
  7. David M. Smith, “Mutual Fund Fees and Expenses,” Chapter 4 in Mutual Funds: Portfolio Structures, Analysis, Management, and Stewardship (John A. Haslem, ed.), John Wiley & Sons, 2010.
  8. David M. Smith, “Residual Dividend Policy,” Chapter 8 in Dividends and Dividend Policy (H. Kent Baker, ed.), John Wiley & Sons, 2009.