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Jeffrey Wurgler

Nomura Professor of Finance
Research Associate, NBER


Phone: (212) 998-0367
Fax : (212) 995-4233
Email:  jwurgler@stern.nyu.edu
Office: KMEC 9-89

44 West Fourth Street
Suite 9-190
New York, NY 10012-1126


Research and Teaching Interests

 

My research and teaching interests involve corporate finance, asset pricing, and behavioral finance. Within corporate finance, my research addresses capital structure, financing ad new issues, dividend policy, capital expenditures, mergers and acquistions, and foreign direct investment, and I approach these topics from the perspective of behavioral mechanisms such as catering, market timing, and reference point thinking. Within asset pricing, my research addresses stock and bond return characteristics, investor sentiment, index-driven invenstment, benchmarking, and performance evaluation.


Research

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The Risk Anomaly Tradeoff of Leverage, with Malcolm Baker and Mathias Hoeyer, NYU Stern working paper

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Investing in the Presence of Massive Flows: The Case of MSCI Country Reclassifications, with Terence Burnham and Harry Gakidis, NYU Stern working paper, January 2017

· 

Dividends as Reference Points: A Behavioral Signaling Approach, with Malcolm Baker, Review of Financial Studies, March 2016

· 

Do Strict Capital Requirements Raise the Cost of Capital? Bank Regulation and the Low Risk Anomaly, with Malcolm Baker, American Economic Review, May 2015

· 

The effect of reference point prices on mergers and acquisitions, with Malcolm Baker and Xin Pan, Journal of Financial Economics, October 2012

· 

Comovement and predictability relationships between bonds and the cross-section of stocks, with Malcolm Baker, Review of Asset Pricing Studies, June 2012

· 

Global, local, and contagious investor sentiment, with Malcolm Baker and Yu Yuan, Journal of Financial Economics, May 2012

· 

Behavioral Corporate Finance: An Updated Survey, with Malcolm Baker, Handbook of the Economics of Finance: Volume 2, 2012

· 

Benchmarks as limits to arbitrage: Understanding the low volatility anomaly, with Malcolm Baker and Brendan Bradley, Financial Analysts Journal, January/February 2011

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On the economic consequences of index-linked investing, Challenges to Business in the Twenty-First Century, 2011

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Can mutual fund managers pick stocks? Evidence from their trades prior to earnings announcements, with Malcolm Baker, Lubomir Litov, and Jessica Wachter, Journal of Financial and Quantitative Analysis, October 2010

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Catering through nominal share prices, with Malcolm Baker and Robin Greenwood, Journal of Finance, December 2009

· 

Multinationals as arbitrageurs: The effect of valuations on foreign direct investment, with Malcolm Baker and C. Fritz Foley, Review of Financial Studies, January 2009

· 

Investor sentiment in the stock market, with Malcolm Baker, Journal of Economic Perspectives, Spring 2007

· 

The effect of dividends on consumption, with Malcolm Baker and Stefan Nagel, Brookings Papers on Economic Activity, Spring 2007

· 

Behavioral Corporate Finance: A Survey, with Malcolm Baker and Richard S. Ruback, Handbook of Corporate Finance: Empirical Corporate Finance, 2007

· 

Predictive regressions based on managerial decision variables: Is there a small-sample bias?, with Malcolm Baker and Ryan Taliaferro, Journal of Finance, August 2006

· 

Investor sentiment and the cross-section of stock returns, with Malcolm Baker, Journal of Finance, August 2006

· 

Comovement, with Nicholas Barberis and Andrei Shleifer, Journal of Financial Economics, February 2005

· 

Appearing and Disappearing Dividends: The Link to Catering Incentives, with Malcolm Baker, Journal of Financial Economics, August 2004

· 

A Catering Theory of Dividends, with Malcolm Baker, Journal of Finance, June 2004

· 

When Does the Market Matter? Stock Prices and the Investment of Equity-Dependent Firms, with Malcolm Baker and Jeremy Stein, Quarterly Journal of Economics, August 2003

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The Maturity of Debt Issues and Predictable Variation in Bond Returns, with Malcolm Baker and Robin Marc Greenwood, Journal of Financial Economics, November 2003

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Does Arbitrage Flatten Demand Curves for Stocks?, with Ekaterina Zhuravskaya, Journal of Business, October 2002

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Market Timing and Capital Structure, with Malcolm Baker, Journal of Finance, February 2002

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Financial Markets and the Allocation of Capital, Journal of Financial Economics, October 2000

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The Equity Share in New Issues and Aggregate Stock Returns, with Malcolm Baker, Journal of Finance, October 2000


Data

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Investor sentiment data (annual and monthly), 1965-2014

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S&P 500 additions and deletions, 1976-2000

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Equity share in new issues, 1927-2007

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Long-term share in total debt issues, 1945-2004

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Industry investment - value added elasticity, 65 countries