Room 5139
100 Rockafeller Road
Piscataway, NJ 08854
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Priyank Gandhi
Assistant Professor of Finance
Tel: 848-445-9262
Publications
(1)Treasury yield implied volatility and real activity
(with Martijn Cremers and Matthias Fleckenstein)
Journal of Financial Economics, 140, (2), May 2021
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(2)Equity is cheap for large financial institutions
(with Hanno Lustig and Alberto Plazzi)
Review of Financial Studies, 33(9), January 2020
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(3)A taxonomy of financial market misconduct
(with Ai Deng)
In "Corruption and Fraud in Financial Markets", Edited by Carol Alexander and Douglas Cummings, Wiley Press, June 2020
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(4)The analytics of financial market misconduct
(with Ai Deng)
In "Corruption and Fraud in Financial Markets", Edited by Carol Alexander and Douglas Cummings, Wiley Press, June 2020
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(5)Using annual report sentiment as a proxy for financial distress in U.S. banks
(with Tim Loughran and Bill McDonald)
Journal of Behavioral Finance, 20 (4), March 2019
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(6)Financial market misconduct and public enforcement: The case of Libor manipualation
(with Ben Golez, Jens Jackwerth, and Alberto Plazzi)
Management Science, 65 (11), February 2019
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(7)The relation between credit growth and expected returns of bank stocks
European Financial Management, Special Issue, Corporate Policies and Asset Prices, 24 (4), September 2018
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(8)Size anomalies in bank stock returns
(with Hanno Lustig)
Journal of Finance, 70 (2), April 2015
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(9)The origins and intent of the Volcker rule
In "Perspectives on Dodd-Frank and Finance", Edited by Paul H. Schultz, MIT Press, 2014
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(10)Counterparty credit risk and the credit default swap market
(with Navneet Arora and Francis Longstaff)
Journal of Financial Economics, 103 (2), February 2012
Working papers
(11) ​International transmission of bank liquidity shocks: Does organizational structure of global banks matter?
(Revise and Resubmit)
(with George Issa and Elvis Jarnecic)
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(12) United they fail: Bank risk after the financial crisis
(with Amiyatosh Purnanandam)
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(13) Does being ethical pay: Evidence from the implementation of SOX section 406 (Updating!)
(with Saurabh Ahluwalia, Linda Ferrell, and O.C. Ferrell)
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(14) The information premium in asset prices: Evidence from the credit default swap market (Updating!)
(with Pierre Collin-Dufresne, Alberto Plazzi, and Jovan Stojkovic)
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(with Matthias Fleckenstein and Paul Gao)
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(16) Bank convexity risk (Updating!)
(with Martijn Cremers and Jun Yang)
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(17) From the depression of 1873 to the recession of 2007: Bank credit, macroeconomic risk, and equity returns (Updating!)
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(18) Diversification by U.S. banks: True safety or a false sense of security?
(with Alberto Plazzi)
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Work in progress
(19) Measuring capital structure of banks
(with Stefan Nagel and Amiyatosh Purnanandam)
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(20) Treasury yield implied volatility and the cross-section of returns
(with Martijn Cremers)
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(21) Does a market for credit protection increase employment risk?
(with Guo Chen and Simi Kedia)
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