Lori and Alan S. Zekelman Professor of Business Administration
Simon Business School
University of Rochester
Recent Working Papers
Understanding Defensive Equity, September 2014.
Quality Investing, December 2012 (significantly revised May 2014).
Predicting Anomaly Performance with Politics, the Weather, Global Warming, Sunspots, and the Stars, Journal of Financial Economics, forthcoming.
Linking Benefits to Investment Performance in US Public Pension Systems (with Joshua D. Rauh), Journal of Public Economics, forthcoming.
The Revenue Demands of Public Employee Pension Promises (with Joshua D. Rauh), 2013, American Economic Journal: Economic Policy, forthcoming.
The Other Side of Value: The Gross Profitability Premium, Journal of Financial Economics 108(1), 2013, 1-28.
Logical Implications of GASB’s Methodology for Valuing Pension Liabilities, Financial Analysts Journal 69(1), 2013, 26-32.
Fiscal Imbalances and Borrowing Costs: Evidence from State Investment Losses (with Joshua D. Rauh), American Economic Journal: Economic Policy 4(2), 2012, 182-213.
Is Momentum Really Momentum?, Journal of Financial Economics 103(3), 2012, 429-453.
Public Pension Promises: How Big Are They and What Are They Worth? (with Joshua D. Rauh), Journal of Finance 66(4), 2011, 1211-1249.
Operating leverage, Review of Finance 15(1), 2011, 103-134.
Policy Options for State Pension Systems and Their Impact on Plan Liabilities (with Joshua D. Rauh), Journal of Pension Economics and Finance 10(2), 2010, 173-194.
Hot and cold markets, Real Estate Economics 37(1), 2009, 1-22.
The Liabilities and Risks of State-Sponsored Pension Plans (with Joshua D. Rauh), Journal of Economic Perspectives 23(4), 2009, 191-210.
An equilibrium model of investment under uncertainty, Review of Financial Studies 20(5), 2007, 1461-1502.
Preempting Preemptive Investment, November 2009.
Financial Valuation of PBGC Insurance with Market Implied Default Probabilities (with Joshua D. Rauh and Jules van Binsbergen), 2014, forthcoming in Tax Policy and the Economy.
The Crisis in Local Government Pensions in the United States (with Joshua D. Rauh), 2011, Growing Old: Paying for Retirement and Institutional Money Management after the Financial Crisis, Robert Litan and Richard Herring, eds., Brookings Institution, Washington, DC.
Contains city and county breakdown of $0.6 trillion unfunded liabilities at the local level.
Pension Security Bonds: A New Plan to Address the Pension Crisis (with Joshua D. Rauh), The Economists' Voice 7(3), 2010.
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