Jeffrey Wurgler
Nomura Professor of Finance
Research Associate, NBER
Phone: (212) 998-0367
Fax :
Email: jwurgler@stern.nyu.edu
Office: KMEC 9-54
44 West Fourth Street
Suite 9-190
New York, NY 10012-1126
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Jeffrey WurglerNomura Professor of Finance Phone: (212) 998-0367 Fax : Email: jwurgler@stern.nyu.edu Office: KMEC 9-54 44 West Fourth Street Suite 9-190 New York, NY 10012-1126 |
Research and Teaching Interests
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My central academic interest is behavioral corporate finance - the study of how securities prices and investor and managerial psychology affect corporate decisions - through such mechanisms as catering, market timing, and the use of reference points. Specific applications include capital structure policy, financing and new issues, dividend policy, capital expenditures, mergers and acquisitions, and foreign direct investment. A related interest is the measurement of investor sentiment and its effects on stock and bond returns. My other research areas include index-level investing, limits to arbitrage, financial market development, and mutual fund performance evaluation. I teach behavioral finance and corporate finance. |
Research
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Would Stricter Capital Requirements Raise the Cost of Capital? Bank Capital Regulation and the Low Risk Anomaly, with Malcolm Baker, NYU Stern working paper |
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Dividends as Reference Points: A Behavioral Signaling Approach, with Malcolm Baker, NYU Stern working paper |
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Comovement and predictability relationships between bonds and the cross-section of stocks, with Malcolm Baker, Review of Asset Pricing Studies, June 2012 |
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The effect of reference point prices on mergers and acquisitions,
with Malcolm Baker and Xin Pan,
Journal of Financial Economics,
October 2012 |
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Global, local, and contagious investor sentiment, with Malcolm Baker and Yu Yuan, Journal of Financial Economics, May 2012 |
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Behavioral Corporate Finance: An Updated Survey, with Malcolm Baker, Handbook of the Economics of Finance: Volume 2, 2012 |
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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 |
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Multinationals as arbitrageurs: The effect of valuations on foreign direct investment, with Malcolm Baker and C. Fritz Foley, Review of Financial Studies, January 2009 |
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Investor sentiment in the stock market,
with Malcolm Baker, Journal of Economic Perspectives,
Spring 2007 |
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The effect of dividends on consumption,
with Malcolm Baker and Stefan Nagel, Brookings Papers on Economic Activity,
Spring 2007 |
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Behavioral Corporate Finance: A Survey,
with Malcolm Baker and Richard S. Ruback, Handbook of Corporate Finance: Empirical Corporate Finance,
2007 |
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Predictive regressions based on managerial decision variables: Is
there a small-sample bias?, with Malcolm Baker and Ryan Taliaferro, Journal of Finance,
August 2006 |
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Investor sentiment and the cross-section
of stock returns, with Malcolm Baker, Journal of Finance,
August 2006 |
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Comovement, with Nicholas Barberis
and Andrei Shleifer, Journal of Financial Economics, February
2005 |
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Appearing and Disappearing Dividends: The
Link to Catering Incentives, with Malcolm Baker, Journal of
Financial Economics, August 2004 |
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A Catering Theory of Dividends, with
Malcolm Baker, Journal of Finance, June 2004 |
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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), 1934-2010 |
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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 |