John B. and Lillian E. Neff Department of Finance

Research Output

Our department seeks to produce high-impact scholarly research on important issues in various finance areas. The list below provides a record of publications by our faculty for the past five years (the author with a current UT affiliation or with a UT affiliation at the time of publication/acceptance is highlighted in bold).

2017 and Forthcoming

• Chune Y. Chung, Doojin Ryu, Kainan Wang and Blerina Zykaj, “Optionable Stocks and Mutual Fund Performance”, Journal of Futures Markets, Forthcoming.
• Harry Turtle and Kainan Wang, “The Value in Fundamental Accounting Information”, Journal of Financial Research, Forthcoming.
• Doina Chichernea, Alex Petkevich, and Kainan Wang, 2017, “Why Is Accounting Information Important to Bondholders?”, Journal of Fixed Income, Vol 26 (3), 2017, p. 82-107.
• Chune Y. Chung, Seok-Kyun Hur, and Kainan Wang, “Strategic Merger Decisions across Business Cycles: Evidence from Bidders' Time-Varying Appetite for Operating Leverage”, International Review of Economics and Finance, Vol 47, 2017, pp. 143-158. 

2016

• Richard Sias, Harry Turtle, and Blerina (Bela) Zykaj, 2016, “Hedge Fund Crowds and Mispricing”, Management Science, Vol 62(3), p. 764 - 784.
• Harry Turtle and Kainan Wang, 2016, "The Benefits of Improved Covariance Estimation", Journal of Empirical Finance, Vol 37, p. 233-246. 
• Mitchell C. Conover, Gerald R. Jensen, and Marc W. Simpson, 2016, "What Difference Do Dividends Make?", Financial Analysts Journal, Vol 72 (6), p. 28-41.
• Kershen Huang and Alex Petkevich, 2016, “Corporate Bond Pricing and Ownership Heterogeneity”, Journal of Corporate Finance, Vol 36, p. 54-74.
• T. Colin Campbell, Doina C. Chichernea, and Alex Petkevich, 2016, “Dissecting the Bond Profitability Premium”, Journal of Financial Markets, Vol 27, p. 102-131.
• Kershen Huang and Alex Petkevich, 2016, "Investment Horizon and Information", Journal of Business Finance and Accounting, Vol 43 (7-8), p. 1017-1056.
• Anthony Holder, Gary Moore, and Alex Petkevich, 2016, "Does Managerial Myopia Explain Bowman's Paradox?", American Journal of Business , Vol 31(3), p. 102-122.
• Chune Y. Chung and Kainan Wang, 2016, “The Impact of Individual Investor Trading on Information Asymmetry in the Korean Stock Market,” North American Journal of Economics and Finance 37, p. 472-484.
• Simpson, Marc W. and Axel Grossmann, 2016, “The Role of Industry Effects in Simultaneous Reversal and Momentum Patterns in One-Month Stock Returns”, The Journal of Behavioral Finance, Vol 17(4), p. 309-320.
• Chune Y. Chung, Chang Liu, and Kainan Wang, 2016, “Institutional Investor Trading in a Short Investment Horizon: Evidence from the Korean Stock Market,” Emerging Markets Finance and Trade, Vol 52, p. 1002-1012.
• Doina C. Chichernea and Diana R. Franz, 2016, "The Effect of Regulation of the Relationship between Earnings and Stock Returns", Accounting and Finance Research, Vol 5(3), p. 127-143.
• Anthony Holder, Gary Moore, Alex Petkevich, and Blerina (Bela) Zykaj, “Longevity Annuities: An Annuity for Anyone?”, Academy of Economics and Finance Journal, Forthcoming.

2015

• Doina C. Chichernea, Anthony Holder and Alex Petkevich, 2015, “Does Return Dispersion Explain the Accrual and Investment Anomalies?”, Journal of Accounting and Economics, Vol 60(1), p. 133-148.
• Doina C. Chichernea, Michael Ferguson, and Haimanot Kassa, 2015, “Idiosyncratic Risk, Investor Base and Returns”, Financial Management, Vol 44 (2), p. 267-293.
• Chune Young, Chang Liu, Kainan Wang, and Blerina (Bela) Zykaj, 2015, “Institutional Monitoring: Evidence from F_Score”, Journal of Business Finance and Accounting, Vol 42 (7-8), p. 885-914.
• Doina C. Chichernea, Alex Petkevich, and Blerina (Bela) Zykaj, 2015, “Idiosyncratic Volatility, Institutional Ownership, and Investment Horizon”, European Financial Management, Vol 21(4), p. 613–645.
• Grossmann, Axel and Marc W. Simpson, 2015, “Bid-ask spreads, deviations from PPP and the forward prediction error: The case of the British Pound and the Euro”, Quarterly Review of Economics and Finance, Vol 55, p. 124-139.
• Anthony Holder, Gary Moore, and Alex Petkevich, 2015, “On the Use of Crystal Balls in Financial Reporting: the Case Against Three Recent FASB Developments”, Internal Auditing, Vol 30 (2), p. 5-18.

 2014

• Kathryn Chang, Doina C. Chichernea and Hassan HassabElnaby, 2014, “Can DuPont Analysis Be Used in Assessment of Profitability Performance in the Health Care Industry?”,Journal of Accounting and Public Policy, Vol 33 (1), p. 83-103.
• Harry Turtle and Kainan Wang, 2014, “Modeling Conditional Covariances with Economic Information Instruments,” Journal of Business and Economic Statistics, Vol. 32, p. 217-236.
• Grossman, Axel. Chris Paul, and Marc W. Simpson, 2014, “The equilibrium level and forecasting performance of nominal effective exchange rate indexes using an export and import price-based relative PPP model”, Applied Financial Economics, Vol. 24, p. 1017-1030.
• Grossmann, Axel, Alissa A. Lee, and Marc W. Simpson, 2014, “Forward Premium Anomaly of the British Pound and the Euro”, International Review of Financial Analysis, Vol. 34, p. 140-156.
• Chune Y. Chung and Kainan Wang, 2014, “Do Institutional Investors Monitor Management? Evidence from the Relationship between Institutional Ownership and Capital Structure”, North American Journal of Economics and Finance, Vol. 30, p. 203-233. 
• Simpson, Marc W. and Axel Grossmann, 2014,  “An examination of the forward prediction error of U.S. dollar exchange rates and how they are related to bid-ask spreads, purchasing power parity disequilibria, and forward premium asymmetry”, North American Journal of Economics and Finance, Vol. 28, p. 221-238.
• Grossmann, Axel, Marc W. Simpson, and Teofilo Ozuna, 2014, “Investigating the Validity of the PPP Hypothesis Using Constructed U.S. Dollar Equilibrium Exchange Rate Misalignments over the Post-Bretton Woods Period”, Journal of Economics and Finance, Vol. 38, p. 235-268.
• Grossmann, Axel, Emiliano Giudici, and Marc W. Simpson, 2014, “Euro Conversion and Return Dynamics of European Financial Markets: A Frequency Domain Approach”, Journal of Economics and Finance, Vol. 38, p. 1-26.
• John Nofsinger and Blerina (Bela) Zykaj, 2014, “Business Policies and New Firm Birth Rates Internationally”, Accounting and Finance Research, Vol. 3(4), p. 1-14.
• Anthony Holder, Gary Moore and Alex Petkevich, 2014, “Does the New Revenue Recognition Standard Improve Financial Reporting?", Internal Auditing, Vol 29(5), p. 15-26.

2013

• Doina C. Chichernea and Steve L. Slezak, 2013, “Idiosyncratic Risk Premia and Momentum”, Journal of Financial Research, Vol. 36 (3), p. 389-412.
• Gary Moore, Doina C. Chichernea, and Mei Zhang, 2013, “The Rate of Return Convergence and the Value Anomaly”, Academy of Economics and Finance Journal, Vol. 4, p. 57-69.

2012

• Doina C. Chichernea, Anthony Holder, and Diana Wei, 2012, “Connecting the Dots: The Accruals Quality Premium vs the Value Premium”, Managerial Finance, Vol. 38 (12), p. 1106-1133.
• Himmelmann, Achim, Dirk Schiereck, Marc W. Simpson, and Moritz Zschoche, 2012, “Long-term Reactions to Large Stock Price Declines and Increases in the European Stock Market: A Note on Market Efficiency”, Journal of Economics and Finance, Vol. 36, p. 400-423.
• Simpson, Marc W., Jose F. Moreno, and Teofilo Ozuna, 2012, “The makings of an information leader: The intraday price discovery process for individual stocks in the DJIA”, Review of Quantitative Finance and Accounting, Vol. 38, p. 347-365.
• Simpson, Marc W., and Sanjay Ramchander, 2012, “Asymmetric and Cross-sectional Effects of Inflation on Stock Returns under Varying Monetary Conditions”, Applied Financial Economics, Vol. 22, p. 285-298.
• Gary Moore and Yi Mu, 2012, “The Continuing Problem of the Standard IPO Contract”, Academy of Economics and Finance Journal, Vol. 3, p. 83-93.
• Andrew Solocha, K. Hoepfl and Alvin Compaan, 2012, “Solar and Wind Energy Portfolios and Real Time Pricing”, International Journal of Technology, Policy, and Management, 12(2/3), pp. 233-43.

2011

• Grossmann, Axel and Marc W. Simpson, 2011, “Predictability of the U.S. Dollar Index Using a U.S. Export and Import Price Index-Based Relative PPP Model”, Journal of Economics and Finance, Vol. 35, p. 417-433.
• Miao, Hong, Sanjay Ramchander, and Marc W. Simpson, 2011, “Return and Volatility Transmission in U.S. Housing Markets”, Real Estate Economics, Vol. 39, p. 701-741.
• Simpson, Marc W. and Axel Grossmann, 2011, “Can a relative purchasing power parity‐based model outperform a random walk in forecasting short‐term exchange rates?”, International Journal of Finance & Economics, Vol. 16 (4), p. 375-392.
• Gary Moore and Doina C. Chichernea, 2011, “Low P/E Investing - A Tribute to John Neff”, Academy of Economics and Finance Journal, Vol. 2, p.71-80.
• Gary Moore and Andrew Solocha, 2011, “Wind Energy Feasibility in Kentucky”,  Journal of Applied Economics and Policy,  Vol. 3(1), p. 1-13.