Research | Priyank Gandhi

Publications

(1)Treasury yield implied volatility and real activity

(with Martijn Cremers and Matthias Fleckenstein)

Journal of Financial Economics, 140, (2), May 2021

(2)Equity is cheap for large financial institutions

(with Hanno Lustig and Alberto Plazzi)

Review of Financial Studies, 33(9), January 2020

(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

(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

(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

(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

(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

(8)Size anomalies in bank stock returns

(with Hanno Lustig)

Journal of Finance, 70 (2), April 2015

(9)The origins and intent of the Volcker rule

In "Perspectives on Dodd-Frank and Finance", Edited by Paul H. Schultz, MIT Press, 2014

(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)

(12) United they fail: Bank risk after the financial crisis

(with Amiyatosh Purnanandam)

(13) Does being ethical pay: Evidence from the implementation of SOX section 406 (Updating!)

(with Saurabh Ahluwalia, Linda Ferrell, and O.C. Ferrell)

(14) The information premium in asset prices: Evidence from the credit default swap market (Updating!)

(with Pierre Collin-Dufresne, Alberto Plazzi, and Jovan Stojkovic)

(15) Tax policy uncertainty and asset prices: Evidence from dual-class corporate bonds in the early 20th century

(with Matthias Fleckenstein and Paul Gao)

(16) Bank convexity risk (Updating!)

(with Martijn Cremers and Jun Yang)

(17) From the depression of 1873 to the recession of 2007: Bank credit, macroeconomic risk, and equity returns (Updating!)

(18) Diversification by U.S. banks: True safety or a false sense of security?

(with Alberto Plazzi)

Work in progress

(19) Measuring capital structure of banks

(with Stefan Nagel and Amiyatosh Purnanandam)

(20) Treasury yield implied volatility and the cross-section of returns

(with Martijn Cremers)

(21) Does a market for credit protection increase employment risk?

(with Guo Chen and Simi Kedia)

Permanent working papers

(22) Reply to Amit Goyal's "No size anomalies in U.S. bank stock returns"

(23) On identifying commercial banks in CRSP