Submitted for Publication- Revisions:
Choosing to co-finance- An analysis of Project Specific Alliances in the film industry (with D. Palia and N. Reisel) A fourth-round revision is being prepared for the Review of Financial Studies.
Other submissions:
Performance and Managerial Turnover: Evidence from the Career -Paths of Film Directors”(with K. John and J. Sunder) (SSRN Top 10)
Leverage Changes and Product Pricing Incentives - a Tax Induced Analysis (with W. Yu).
Working papers:
To Notch or not to Notch-Yield differentials between Senior and Subordinated Debt and the Debt Rating Black Box. (with K. John and N. Reisel).
Soft Information – Hard Sell- Screenplays and soft information (with W. Goetzmann, R. Sverdlove and V. Pons) (SSRN Top 10).
Work in Progress:
The impact of bankruptcy contracts on capital structure (with A. Bris and R. Sverdlove).
Dissertations Supervised:
Name: Natalia Reisel
Graduation Date: 2005/May
Thesis Title: Three Essays in Corporate Finance
Name: Sverdlove, Ronald
Graduation Date: 2008/January
Thesis Title: Essays in the Economics of Fixed Income Securities
Dissertation Proposals of PhD Students:
Name: Wei Yu
Proposal Defended: 2004/December
Proposal Title: The Impact of New Jersey Home Ownership Secutiry Act on Subprime Mortgage Loans
Dissertation Proposal Abstract:
This dissertation is the first study to examine the impact of New Jersey Home Ownership Security Act of 2002 on both price and quantity of subprime mortgage loans in New Jersey. Previous studies ( Ellihausen and Staten (2002), Ernst, Farris and Stein (2002), Harvey and Nigro (2002) and Quercia, Stegman and Davis (2003) etc. ) that have examined the impact of anti-predatory legislation have focused on subprime loan quantity changes and concentrated on the impact of North Carolina law. Most of these studies use HMDA (Home Mortgage Disclosure Act) data, which is problematic in both its way of identifying subprime mortgage loans and its lack of loan characteristics. Using loan-level data from a securitized loan database of more than 2.5 million subprime loans (the industry's largest repository of subprime market database provided by Loan Performance, Inc.), this dissertation examines both price and quantity changes in a time line of five different stages of the law. After controlling for a broad category of loan risk variables -- macroeconomic, loan, property, borrower and lender characteristics, this paper will be the first to investigate whether loans restricted by the law (restricted loans) are priced differently from loans not restricted by law (unrestricted loans). Two aspects of loan price will be examined – the interest cost and the upfront fees.
In recognizing that Loan Performance data is a securitized database, which is a subsample of subprime loans, I propose the use of Bloom-Killingsworth (1985) type incidental truncation model to correct for sample selection bias. Moreover, since the status of being a restricted loan is endogenous in that it is correlated with some macroeconomic, borrower, property and loan characteristics, a simultaneous equation model is also used. Four different methodologies are to be used for estimation: OLS, incidental truncation, simultaneous equation and simultaneous equation with incidental truncation. Different results will then be compared.
