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Credit Risk Analysis Division Publications

The Economists in the Credit Risk Analysis Division publish research papers covering topics in credit-risk modeling, financial economics/econometrics, and general economics

2014

  1. Andersson, Fredrik, and Tom Mayock. "Loss Severities on Residential Real Estate during the Great Recession," Journal of Banking and Finance, (forthcoming).
  2. Ihlanfeldt, Keith and Tom Mayock. "Housing Bubbles and Busts: The Role of Supply Elasticity," Land Economics, forthcoming.

2013

  1. Agarwal, Sumit Gene Amromin, Itzhak Ben-David, Souphala Chomsisengphet and Douglas Evanoff (2013). "Predatory Lending and the Subprime Crisis," forthcoming Journal of Financial Economics.
  2. Andersson, Fredrik, Souphala Chomsisengphet, Dennis Glennon and Feng Li (2013). "The Changing Pecking Order of Consumer Defaults," Journal of Money, Credit and Banking, vol. 45, pp. 251-275.
  3. Barakova, Irina, D. Glennon and A. Palvia (2013). "Sample Selection Bias in Acquisition Credit Scoring Models," Journal of Credit Risk.
  4. Chen, Long, Da Zhi, and Xinlei Zhao, 2013, "What drives stock price movement?" Review of Financial Studies, 26(4), 841-875.
  5. Patro, Dilip, Min Qi and Xian Sun (2013), "A Simple Indicator of Systemic Risk," Journal of Financial Stability, 9(1), 105-116.
  6. Qi, Min and Xinlei Zhao (2013), "Debt Structure, Market Value of Firm and Recovery Rate," Journal of Credit Risk, 9(1), 3-37.
  7. Agarwal, Sumit, Brent Ambrose, Souphala Chomsisengphet and Anthony Sanders (2012). "Thy Neighbor's Mortgage: Does Living in a Subprime Neighborhood Affect One's Probability of Default?," Real Estate Economics, vol. 40, pp. 1-22.

2012

  1. Andersson, Fredrik, Elizabeth Davis, Matthew Freedman, Julia Lane, Brian McCall, and Kristin Sandusky (2012). "Decomposing the Sources of Earnings Inequality Assessing the Role of Reallocation," Industrial Relations, Vol. 51(4), pp. 779-998.
  2. Bostic, Raphael, Souphala Chomsisengphet, Kathleen E. Engel, Patricia A. McCoy, Anthony Pennington-Cross and Susan Wachter (2012). "Mortgage Product Substitution and State Anti-Predatory Lending Laws: Better Loans and Better Borrowers," Atlantic Economic Journal, vol 40, pp. 273-294.
  3. Guo, Zheng-Feng and Mototsugu Shinatani (2012). "Consistent Cotrending Rank Selection when both Stochastic and Nonlinear Deterministic Trends are Present," Forthcoming in Econometrics Journal.
  4. Ihlanfeldt, Keith and Tom Mayock (2012). "Information, Search, and House Prices: Revisited," Journal of Real Estate Finance and Economics, 44(1), pp. 90-115.
  5. Kiefer, Hua (September 2012). "Residential Location Choice: The Role of a Taste for Similarity," International Journal of Economics and Finance, 4(9).
  6. Pu, Xiaoling and Xinlei Zhao, 2012, "Correlation in Credit Risk Changes," Journal of Banking and Finance, 36, 1093-1106.
  7. Sun, Junjie, Xiaolong Yang, and Xinlei Zhao, 2012, "Understanding commercial real estate indices," Journal of Real Estate Portfolio Management, 18(3), 289-303.
  8. Agarwal, Sumit, Brent Ambrose, Souphala Chomsisengphet and Chunlin Liu (2011). "The Role of Soft Information in Dynamic Contract Settings: Evidence from the Home Equity Market," Journal of Money, Credit and Banking, vol. 43, pp. 633-655.

2011

  1. Agarwal, Sumit, Gene Amromin, Itzhak Ben-David, Souphala Chomsisengphet and Douglas Evanoff (2011), "The Role of Securitization in Mortgage Renegotiation," Journal of Financial Economics, vol. 102, pp. 559-578.
  2. Agarwal, Sumit, Souphala Chomsisengphet and Chunlin Liu (2011). "Consumer Bankruptcy and Default: The Role of Individual Social Capital," Journal of Economic Psychology, vol.32, pp. 632-650.
  3. Andersson, Fredrik, Iben Bolvig, Matthew Freedman, and Julia Lane (2011). "Lost Jobs and Health Insurance: An Analysis of the Impact of Employment Volatility on Firm-Provided Health Insurance Coverage," Applied Economics, Vol. 43(32), pp. 3051-3073.
  4. Chen, QingQing, Chor-Ching Goh, Bo Sun and Lixin Colin Xu (June 2011). "Market Integration in the People's Republic of China," Asian Development Review, vol. 28.
  5. Glennon, Dennis and Peter Nigro (2011). "Evaluating the Performance of Static Versus Dynamic Models of Credit Default: Evidence from Long-Term Small Business Administration-Guaranteed Loans," Journal of Credit Risk, 7(2).
  6. Guo, Zheng-Feng and Mototsugu Shinatani (2011). "Nonparametric Lag Selection for Nonlinear Additive Autoregressive Models," Economics Letters, 111(2), 131-134, 2011.
  7. Holzer, Harry, Julia Lane, David Rosenblum, and Fredrik Andersson (2011)."Where are All the Good Jobs Going? What National and Local Job Quality and Dynamics Mean for US Workers," Russell Sage Foundation.
  8. Kiefer, Hua (September 2011). "The House Price Determination Process: Rational Expectations with a Spatial Context," Journal of Housing Economics, 20(40, pp. 249-266.
  9. Li, Phillip (2011). "Estimation of sample selection models with two selection mechanisms," Computational Statistics and Data Analysis, vol. 55, pp. 1099-1108.
  10. Qi, Min and Xinlei Zhao (2011), "Comparison of Modeling Methods for Loss Given Default," Journal of Banking and Finance, 35 (11), 2842–2855.
  11. Robert DeYoung, Scott Frame, Dennis Glennon and Peter Nigro (2011). "The Information Revolution and Small Business Lending: The Missing Evidence," Journal of Financial Services Research, 39 (1-2).
  12. Wu, Deming, Jiawen Yang, and Han Hong (2011). "Securitization and Banks' Equity Risk." Journal of Financial Services Research 39, no. 3: 95-117.

2010

  1. Agarwal, Sumit, Gene Amromin, Itzhak Ben-David, Souphala Chomsisengphet, and Douglas Evanoff (2010). "Learning to Cope: Voluntary Financial Education Programs and the Housing Crisis," American Economic Review – Papers Proceeding, vol.100, pp. 495-500.
  2. Agarwal, Sumit, Souphala Chomsisengphet and Chunlin Liu (2010). "The Importance of Adverse Selection in the Credit Card Market: Evidence from Randomized Trials of Credit Card Solicitations," Journal of Money, Credit and Banking, vol. 42, pp. 743-754.
  3. Barakova, Irina and A. Palvia (2010). "Limits to relative performance evaluation," 2010, Journal of Financial Economic Policy.
  4. Elul, Ronel, Nicholas Souleles, Souphala Chomsisengphet, Dennis Glennon, Robert Hunt (2010). "What 'Triggers' Mortgage Default?," American Economic Review – Papers and Proceeding, vol. 100, pp. 490-494.
  5. Glennon, Dennis, Nick Kiefer, Erik Larson, and Huanshi Choi (2008). "Development and Validation of Credit-Scoring Models," Journal of Credit Risk, 4.
  6. Ihlanfeldt, Keith and Tom Mayock (2010). "Property Values and Crime," in Handbook on the Economics of Crime, edited by B. Benson and P. Zimmerman, Edward Elgar.
  7. Ihlanfeldt, Keith and Tom Mayock (2010). "Panel Data Estimates of the Effects of Different Types of Crime on Housing Prices," Regional Science and Urban Economics, 40(2-3), pp. 161-172.

2009

  1. Abowd, John, Bryce Stephens, Lars Vilhuber, Fredrik Andersson, Kevin McKinney, Marc Roemer, Simon Woodcock (2009). "The LEHD Infrastructure Files and the Creation of the Quarterly Workforce Indicators," in Producer Dynamics: New Evidence from Micro Data, edited by Timothy Dunne, J. Bradford Jensen, and Mark J. Roberts, NBER Press.
  2. Aggarwal, Raj and Min Qi (2009), "Distribution of Extreme Changes in Asian Currencies: Tail Index Estimates and Value at Risk Calculations," Applied Financial Economics, 19(13), 1083-1102.
  3. Alemdar, N. M. , S. Sirakaya and S. J. Turnovsky (2009). "Foreign Lending under Limited Enforcement." China and Asia: Economic and Financial Interactions 76, 257.
  4. Andersson, Fredrik, Harry Holzer, and Julia Lane (2009). "Temporary Help Agencies and the Advancement Prospects of Low Earners," in Studies of Labor Market Intermediation, edited by David Autor, NBER Press and NBER Working Paper 13434.
  5. Andersson, Fredrik, Matthew Freedman, John Haltiwanger, Julia Lane and Kathryn Shaw (2009). "Reaching for the Stars: Who Pays for Talent in Innovative Industries?," Economic Journal, Vol. 119 (June), pp. 308-332 and NBER Working Paper No. 12435.
  6. Chen, Long and Xinlei Zhao, 2009, "Return Decomposition," Review of Financial Studies, 22, 5213-5349.
  7. Cheung, Ron, Keith Ihlanfeldt, and Tom Mayock (2009). "The Regulatory Tax and House Price Appreciation in Florida," Journal of Housing Economics, 18(1), 2009, pp. 34-48.
  8. Cheung, Ron, Keith Ihlanfeldt, and Tom Mayock (2009). "The Incidence of the Land Use Regulatory Tax," Real Estate Economics, 37(44), pp. 675-704.
  9. Ihlanfeldt, Keith and Tom Mayock (2009). "Price Discrimination in the Housing Market," Journal of Urban Economics, 66(2), 2009, pp. 125-140.
  10. Qi, Min and Xiaolong Yang (2009), "Loss Given Default of High Loan-to-Value Residential Mortgages," Journal of Banking and Finance, 33(5), 788-799.
  11. Sirakaya, S., S. J. Turnovsky and N. M. Alemdar (2009). "Trade, Growth, and Environmental Quality." Review of International Economics 17 (5), 906-926.
  12. Xinlei Zhao, 2009, "Technological Innovation and Acquisitions," Management Science, 55, 1170-1183.
  13. Agarwal, Sumit, Souphala Chomsisengphet and Lawrence Mielnicki (2008). "Do Forbearance Plans Help Mitigate Credit Card Losses,?" Journal of Family and Economic Issues, vol. 29, pp. 191-209 (Lead article).
  14. Andersson, Fredrik, Clair Brown, Benjamin Campbell, Hyowook Chiang, Yooki Park (2008). "The Effect of HRM Practices and R&D Investment on Worker Productivity," in The Analysis of Firms and Employees: Quantitative and Qualitative Approaches, edited by Stefan Bender, Julia Lane, Kathryn Shaw, Fredrik Andersson and Till Von Wachter, University of Chicago Press.

2008 - 1994

  1. Bender, Stefan, Julia Lane, Kathryn Shaw, Fredrik Andersson, and Till Von Wachter (eds.) (2008).The Analysis of Firms and Employees: Quantitative and Qualitative Approaches, University of Chicago Press, 2008
  2. DeYoung, Robert, Dennis Glennon, and Peter Nigro (2008). "Borrower-Lender Distance, Credit Scoring, and Loan Performance: Evidence from Informationally Opaque Small Business Borrowers," Journal Financial Intermediation, 17, pp 113-143.
  3. DeYoung, Robert, Scott Frame, Dennis Glennon, Daniel McMillen, and Peter Nigro (2008). "Commercial Lending Distance and Historically Underserved Areas," Journal of Economics and Business, 60, pp 149-164.
  4. Li, Kai and Xinlei Zhao, 2008, "Asymmetric Information and Dividend Policy," Financial Management, 37, 673-694.
  5. Li, Kai, Hernan Ortiz-Molina and Xinlei Zhao, 2008, "Do Institutional Investors Care About Voting Rights? Evidence From Institutional Investment in Dual-Class Firms," Financial Management, 37, 713-745 (Winner of the Best Paper Award at the 2007 Northern Finance Association Meetings).
  6. Qi, Min and G. Peter Zhang (2008), "Trend time series modeling and forecasting with neural networks", IEEE Transactions on Neural Networks, 19(5), 808-816.
  7. Qi, Min and Xinlei Zhao (2008), "Market Breadth, Trin Statistic, and Market Returns," Journal of Investing, 17(1), 65-73.
  8. Andersson, Fredrik, Simon Burgess, and Julia Lane (2007). "Cities, Matching and the Productivity Gains of Agglomeration," Journal of Urban Economics, Vol. 61(1), pp. 112-28.
  9. Chen, Long and Xinlei Zhao, 2007, "Mechanical Mean Reversion of Leverage Ratios," Economics Letters, 95, 223-229.
  10. Mitchell Stengel, Mahmoud El-Gamal, and Hulusi Inanoglu (2007). "Multivariate Estimation for Operational Risk with Judicious Use of Extreme Value Theory." The Journal of Operational Risk, Vol. 2, pp.21-54.
  11. Pennington-Cross, Anthony and Souphala Chomsisengphet (2007). "Subprime Refinancing: Equity Extraction and Mortgage Termination," Real Estate Economics, vol. 35, pp. 233-263.
  12. Yang, Sha, Livia Markoczy and Min Qi (2007), "Unrealistic Optimism in Consumer Credit Card Adoption," Journal of Economic Psychology, 28(2), 170-185.
  13. Agarwal, Sumit, Brent Ambrose, Souphala Chomsisengphet and Chunlin Liu (2006). "An Empirical Analysis of Home Equity Loans and Lines Performance," Journal of Financial Intermediation, vol. 15, pp. 444-469.
  14. Alemdar, N. M. , S. Sirakaya and F. Hüsseinov (2006). "Optimal Time Aggregation of Infinite Horizon Control Problems." Journal of Economic Dynamics and Control 30 (4), 569-593.
  15. Burton, Steven, Souphala Chomsisengphet and Erik Heitfield (2006). "Credit risk concentrations in wholesale loan portfolios," Journal of Credit Risk, vol. 2, pp. 3-31.
  16. Chen, Long and Xinlei Zhao, 2006, "On the relation between the market-to-book ratio, growth opportunity, and leverage ratio," Financial Research Letters, 3, 253-266.
  17. Chomsisengphet, Souphala and Ronel Elul (2006). "Bankruptcy Exemptions, Credit History, and the Mortgage Market," Journal of Urban Economics, vol. 59, pp. 171-188.
  18. Li, Xianghong and Xinlei Zhao, 2006, "Propensity Score Matching and Abnormal Performance After Seasoned Equity Offering," Journal of Empirical Finance, 13, p351-370.
  19. Qi, Min and Yangru Wu (2006) "Technical Trading-Rule Profitability, Data Snooping, and Reality Check: Evidence from the Foreign Exchange Market," Journal of Money, Credit and Banking, 38(8), 2135-2158.
  20. Sirakaya, S., S. J. Turnovsky and N.M. Alemdar (2006). "Feedback Approximation of the Stochastic Growth Model by Genetic Neural Networks." Computational Economics 27 (2), 185-206.
  21. Sirakaya, Sibel (2006). "Recidivism and Social Interactions." Journal of the American Statistical Association 101 (475), 863-877.
  22. Glennon, Dennis and Peter Nigro (2005)"Measuring Small Business Loan Default Behavior by Maturity," Journal of Financial Services Research, 28(1 / 2), pp 77-111.
  23. Glennon, Dennis and Peter Nigro (2005)."Measuring the Default Risk of Small Business Loans: A Survival Analysis Approach," Journal of Money, Credit, and Banking, 37(5), pp. 923-947.
  24. Agarwal, Sumit, Souphala Chomsisengphet and Olivier Hassler (2005). "The Impact of the 2002 Currency Crisis and Subsequent Economic Policies on the Argentine Mortgage Market," Journal of Housing Economic, vol. 14, pp. 242-270.
  25. Agarwal, Sumit, Souphala Chomsisengphet and Chunlin Liu (2005). "Exemption Laws and Small Business Bankruptcy Decision," Southern Economic Journal, vol. 71, pp. 620-635.
  26. Zhang, G. Peter and Min Qi (2005), "Neural Network Forecasting for Seasonal and Trend Time Series," European Journal of Operational Research, 160(2), 501-514.
  27. Andersson, Fredrik, Harry Holzer, and Julia Lane (2005). Moving Up or Moving On: Who Advances in the Low-Wage Labor Market?, Russell Sage Foundation.
  28. Chen, Robert and Xinlei Zhao, 2005, "The Information Content of Insider Options Trading," Financial Management, 34, p153-172.
  29. Holder, Mark E., Min Qi, and Amit K. Sinha (2004), "The Impact of Time Duration between Trades on the Price of Treasury Futures Contracts," Journal of Futures Markets, 24(10), 965-980.
  30. Alemdar, N. M. and S. Sirakaya (2003). "On-line Computation of Stackelberg Equilibria with Synchronous Parallel Genetic Algorithms." Journal of economic Dynamics and Control 27 (8), 1503-1515.
  31. Barakova, Irina, R. Bostic, P. Calem and S. Wachter (2003). "Does Credit Quality Matter for Homeownership," 2003, Journal of Housing Economics, vol. 12.
  32. Qi, Min and Sha Yang (2003), "Forecasting Consumer Credit Card Adoption: What Can We Learn about the Utility Function?" International Journal of Forecasting, 19(1), 71-85. Among the Journal’s top 10 requested articles in Year 2003.
  33. Qi, Min and Yangru Wu (2003), "Nonlinear Prediction of Exchange Rates with Monetary Fundamentals," Journal of Empirical Finance, 10(5), 623-640.
  34. Sirakaya, S. and N. M. Alemdar (2003). "Genetic Neural Networks to Approximate Feedback Nash Equilibria in Dynamic Games." Computers & Mathematics with Applications 46 (10-11), 1493-1509.
  35. Chen, QingQing (December 2002). "Personal Consumption, Asset Structure and Enterprise Financing Structure," Journal of Economic Studies, No. 4.
  36. Kolari, James, Dennis Glennon, Hwan Shin, and Michele Caputo (2002). "Predicting Large U.S. Commercial Bank Failures," Journal of Economics and Business, 54, pp. 361-387.
  37. Hasan, M. Nazmul (2001). "Rank Test of Unit Root Hypothesis with Infinite Variance Errors," Journal of Econometrics, vol. 104, pp. 49-65.
  38. Brown, Jeffery and Dennis Glennon (2000). "Cost Structures of Banks Grouped by Strategic Conduct," Applied Economics, 32, pp. 1591-1605.
  39. Mitchell Stengel and Dennis Glennon (1999). "Evaluating Statistical Models of Mortgage Lending Discrimination: A Bank-Specific Analysis." Real Estate Economics, Vol. 27, pp.299-334.
  40. Mitchell Stengel and James Gilkeson (1999). "The Economic Impact of Recent Accounting Rules." Mortgage Banking, Vol. 59, pp.55-62.
  41. Koenker, Roger W. and M. Nazmul Hasan (January 1997). "Robust Rank Tests of the Unit Root Hypothesis," Econometrica, vol. 65, No. 1, pp. 133-161.
  42. Glennon, Dennis and Julia Lane (1996). "Financial Innovation, Interest Rates, and Recent Behavior of the Velocity of Money," Journal of Banking and Finance, 20, pp. 207-225.
  43. Mitchell Stengel (1995). "From Traditional Mortgage Lending to Modern Mortgage Banking," OCC Quarterly Journal, Vol. 14, pp.11-18.
  44. Mitchell Stengel, Dennis Glennon, Marsha Courchane, and William Lang (1995). "Using Statistical Models to Identify Unfair Lending Behavior," in Fair Lending Analysis: A Compendium of Essays on the Use of Statistics, Anthony M. Yezer (ed.), American Bankers Association, pp.57-64.
  45. Koenker, Roger W. and M. Nazmul Hasan (1994). Robust Testing for Unit Root Hypothesis based on Regression Ranks Score," Proceedings of the Business and Economic Statistics Section, American Statistical Association.
  46. Mahmood, Raisul Awal, M. Nazmul Hasan and Sultan Hafeez Rahman (March 1991). "Slow Response of Trade and Industry to Import Policy Changes," Research Report No. 125, Bangladesh Institute of Development Studies.

2014

  1. Ihlanfeldt, Keith and Tom Mayock. "Housing Bubbles and Busts: The Role of Supply Elasticity," Land Economics, forthcoming.

2013

  1. Barakova, Irina, D. Glennon and A. Palvia (2013). "Sample Selection Bias in Acquisition Credit Scoring Models," Journal of Credit Risk.
  2. Patro, Dilip, Min Qi and Xian Sun (2013), "A Simple Indicator of Systemic Risk," Journal of Financial Stability, 9(1), 105-116.
  3. Qi, Min and Xinlei Zhao (2013), "Debt Structure, Market Value of Firm and Recovery Rate," Journal of Credit Risk, 9(1), 3-37.

2012

  1. Agarwal, Sumit, Brent Ambrose, Souphala Chomsisengphet and Anthony Sanders (2012). "Thy Neighbor's Mortgage: Does Living in a Subprime Neighborhood Affect One's Probability of Default?," Real Estate Economics, vol. 40, pp. 1-22.
  2. Ihlanfeldt, Keith and Tom Mayock (2012). "Information, Search, and House Prices: Revisited," Journal of Real Estate Finance and Economics, 44(1), pp. 90-115.
  3. Pu, Xiaoling and Xinlei Zhao, 2012, "Correlation in Credit Risk Changes," Journal of Banking and Finance, 36, 1093-1106.
  4. Sun, Junjie, Xiaolong Yang, and Xinlei Zhao, 2012, "Understanding commercial real estate indices," Journal of Real Estate Portfolio Management, 18(3), 289-303.

2011

  1. Glennon, Dennis and Peter Nigro (2011). "Evaluating the Performance of Static Versus Dynamic Models of Credit Default: Evidence from Long-Term Small Business Administration-Guaranteed Loans," Journal of Credit Risk, 7(2).
  2. Qi, Min and Xinlei Zhao (2011), "Comparison of Modeling Methods for Loss Given Default," Journal of Banking and Finance, 35 (11), 2842–2855.
  3. Wu, Deming, Jiawen Yang, and Han Hong (2011). "Securitization and Banks' Equity Risk." Journal of Financial Services Research 39, no. 3: 95-117.

2010 - 2007

  1. Agarwal, Sumit, Souphala Chomsisengphet and Chunlin Liu (2010). "The Importance of Adverse Selection in the Credit Card Market: Evidence from Randomized Trials of Credit Card Solicitations," Journal of Money, Credit and Banking, vol. 42, pp. 743-754.
  2. Elul, Ronel, Nicholas Souleles, Souphala Chomsisengphet, Dennis Glennon, Robert Hunt (2010). "What 'Triggers' Mortgage Default?," American Economic Review – Papers and Proceeding, vol. 100, pp. 490-494.
  3. Glennon, Dennis, Nick Kiefer, Erik Larson, and Huanshi Choi (2008). "Development and Validation of Credit-Scoring Models," Journal of Credit Risk, 4.
  4. Qi, Min and Xiaolong Yang (2009), "Loss Given Default of High Loan-to-Value Residential Mortgages," Journal of Banking and Finance, 33(5), 788-799.
  5. DeYoung, Robert, Dennis Glennon, and Peter Nigro (2008). "Borrower-Lender Distance, Credit Scoring, and Loan Performance: Evidence from Informationally Opaque Small Business Borrowers," Journal Financial Intermediation, 17, pp 113-143.
  6. Pennington-Cross, Anthony and Souphala Chomsisengphet (2007). "Subprime Refinancing: Equity Extraction and Mortgage Termination," Real Estate Economics, vol. 35, pp. 233-263.

2006 - 2002

  1. Agarwal, Sumit, Brent Ambrose, Souphala Chomsisengphet and Chunlin Liu (2006). "An Empirical Analysis of Home Equity Loans and Lines Performance," Journal of Financial Intermediation, vol. 15, pp. 444-469.
  2. Burton, Steven, Souphala Chomsisengphet and Erik Heitfield (2006). "Credit risk concentrations in wholesale loan portfolios," Journal of Credit Risk, vol. 2, pp. 3-31.
  3. Chomsisengphet, Souphala and Ronel Elul (2006). "Bankruptcy Exemptions, Credit History, and the Mortgage Market," Journal of Urban Economics, vol. 59, pp. 171-188.
  4. Glennon, Dennis and Peter Nigro (2005)"Measuring Small Business Loan Default Behavior by Maturity," Journal of Financial Services Research, 28(1 / 2), pp 77-111.
  5. Glennon, Dennis and Peter Nigro (2005)."Measuring the Default Risk of Small Business Loans: A Survival Analysis Approach," Journal of Money, Credit, and Banking, 37(5), pp. 923-947.
  6. Agarwal, Sumit, Souphala Chomsisengphet and Chunlin Liu (2005). "Exemption Laws and Small Business Bankruptcy Decision," Southern Economic Journal, vol. 71, pp. 620-635.
  7. Kolari, James, Dennis Glennon, Hwan Shin, and Michele Caputo (2002). "Predicting Large U.S. Commercial Bank Failures," Journal of Economics and Business, 54, pp. 361-387.

2013

  1. Agarwal, Sumit Gene Amromin, Itzhak Ben-David, Souphala Chomsisengphet and Douglas Evanoff (2013). "Predatory Lending and the Subprime Crisis," forthcoming Journal of Financial Economics.
  2. Andersson, Fredrik, Souphala Chomsisengphet, Dennis Glennon and Feng Li (2013). "The Changing Pecking Order of Consumer Defaults," Journal of Money, Credit and Banking, vol. 45, pp. 251-275.

2012

  1. Bostic, Raphael, Souphala Chomsisengphet, Kathleen E. Engel, Patricia A. McCoy, Anthony Pennington-Cross and Susan Wachter (2012). "Mortgage Product Substitution and State Anti-Predatory Lending Laws: Better Loans and Better Borrowers," Atlantic Economic Journal, vol 40, pp. 273-294.
  2. Guo, Zheng-Feng and Mototsugu Shinatani (2012). "Consistent Cotrending Rank Selection when both Stochastic and Nonlinear Deterministic Trends are Present," Forthcoming in Econometrics Journal.
  3. Kiefer, Hua (September 2012). "Residential Location Choice: The Role of a Taste for Similarity," International Journal of Economics and Finance, 4(9).

2011

  1. Agarwal, Sumit, Brent Ambrose, Souphala Chomsisengphet and Chunlin Liu (2011). "The Role of Soft Information in Dynamic Contract Settings: Evidence from the Home Equity Market," Journal of Money, Credit and Banking, vol. 43, pp. 633-655.
  2. Agarwal, Sumit, Gene Amromin, Itzhak Ben-David, Souphala Chomsisengphet and Douglas Evanoff (2011), "The Role of Securitization in Mortgage Renegotiation," Journal of Financial Economics, vol. 102, pp. 559-578.
  3. Agarwal, Sumit, Souphala Chomsisengphet and Chunlin Liu (2011). "Consumer Bankruptcy and Default: The Role of Individual Social Capital," Journal of Economic Psychology, vol.32, pp. 632-650.
  4. Chen, QingQing, Chor-Ching Goh, Bo Sun and Lixin Colin Xu (June 2011). "Market Integration in the People's Republic of China," Asian Development Review, vol. 28.
  5. Guo, Zheng-Feng and Mototsugu Shinatani (2011). "Nonparametric Lag Selection for Nonlinear Additive Autoregressive Models," Economics Letters, 111(2), 131-134, 2011.
  6. Kiefer, Hua (September 2011). "The House Price Determination Process: Rational Expectations with a Spatial Context," Journal of Housing Economics, 20(40, pp. 249-266.
  7. Li, Phillip (2011). "Estimation of sample selection models with two selection mechanisms," Computational Statistics and Data Analysis, vol. 55, pp. 1099-1108.
  8. Robert DeYoung, Scott Frame, Dennis Glennon and Peter Nigro (2011). "The Information Revolution and Small Business Lending: The Missing Evidence," Journal of Financial Services Research, 39 (1-2).

2010 - 2009

  1. Agarwal, Sumit, Gene Amromin, Itzhak Ben-David, Souphala Chomsisengphet, and Douglas Evanoff (2010). "Learning to Cope: Voluntary Financial Education Programs and the Housing Crisis," American Economic Review – Papers Proceeding, vol.100, pp. 495-500.
  2. Aggarwal, Raj and Min Qi (2009), "Distribution of Extreme Changes in Asian Currencies: Tail Index Estimates and Value at Risk Calculations," Applied Financial Economics, 19(13), 1083-1102.
  3. Alemdar, N. M. , S. Sirakaya and S. J. Turnovsky (2009). "Foreign Lending under Limited Enforcement." China and Asia: Economic and Financial Interactions 76, 257.
  4. Chen, Long and Xinlei Zhao, 2009, "Return Decomposition," Review of Financial Studies, 22, 5213-5349.

2008

  1. Agarwal, Sumit, Souphala Chomsisengphet and Lawrence Mielnicki (2008). "Do Forbearance Plans Help Mitigate Credit Card Losses,?" Journal of Family and Economic Issues, vol. 29, pp. 191-209 (Lead article).
  2. DeYoung, Robert, Scott Frame, Dennis Glennon, Daniel McMillen, and Peter Nigro (2008). "Commercial Lending Distance and Historically Underserved Areas," Journal of Economics and Business, 60, pp 149-164.
  3. Li, Kai and Xinlei Zhao, 2008, "Asymmetric Information and Dividend Policy," Financial Management, 37, 673-694.
  4. Li, Kai, Hernan Ortiz-Molina and Xinlei Zhao, 2008, "Do Institutional Investors Care About Voting Rights? Evidence From Institutional Investment in Dual-Class Firms," Financial Management, 37, 713-745 (Winner of the Best Paper Award at the 2007 Northern Finance Association Meetings).
  5. Qi, Min and G. Peter Zhang (2008), "Trend time series modeling and forecasting with neural networks", IEEE Transactions on Neural Networks, 19(5), 808-816.
  6. Qi, Min and Xinlei Zhao (2008), "Market Breadth, Trin Statistic, and Market Returns," Journal of Investing, 17(1), 65-73.

2007

  1. Chen, Long and Xinlei Zhao, 2007, "Mechanical Mean Reversion of Leverage Ratios," Economics Letters, 95, 223-229.
  2. Mitchell Stengel, Mahmoud El-Gamal, and Hulusi Inanoglu (2007). "Multivariate Estimation for Operational Risk with Judicious Use of Extreme Value Theory." The Journal of Operational Risk, Vol. 2, pp.21-54.
  3. Yang, Sha, Livia Markoczy and Min Qi (2007), "Unrealistic Optimism in Consumer Credit Card Adoption," Journal of Economic Psychology, 28(2), 170-185.

2006

  1. Chen, Long and Xinlei Zhao, 2006, "On the relation between the market-to-book ratio, growth opportunity, and leverage ratio," Financial Research Letters, 3, 253-266.
  2. Li, Xianghong and Xinlei Zhao, 2006, "Propensity Score Matching and Abnormal Performance After Seasoned Equity Offering," Journal of Empirical Finance, 13, p351-370.
  3. Qi, Min and Yangru Wu (2006) "Technical Trading-Rule Profitability, Data Snooping, and Reality Check: Evidence from the Foreign Exchange Market," Journal of Money, Credit and Banking, 38(8), 2135-2158.

2005 - 1995

  1. Agarwal, Sumit, Souphala Chomsisengphet and Olivier Hassler (2005). "The Impact of the 2002 Currency Crisis and Subsequent Economic Policies on the Argentine Mortgage Market," Journal of Housing Economic, vol. 14, pp. 242-270.
  2. Chen, Robert and Xinlei Zhao, 2005, "The Information Content of Insider Options Trading," Financial Management, 34, p153-172.
  3. Barakova, Irina, R. Bostic, P. Calem and S. Wachter (2003). "Does Credit Quality Matter for Homeownership," 2003, Journal of Housing Economics, vol. 12.
  4. Qi, Min and Sha Yang (2003), "Forecasting Consumer Credit Card Adoption: What Can We Learn about the Utility Function?" International Journal of Forecasting, 19(1), 71-85. Among the Journal’s top 10 requested articles in Year 2003.
  5. Hasan, M. Nazmul (2001). "Rank Test of Unit Root Hypothesis with Infinite Variance Errors," Journal of Econometrics, vol. 104, pp. 49-65.
  6. Koenker, Roger W. and M. Nazmul Hasan (January 1997). "Robust Rank Tests of the Unit Root Hypothesis," Econometrica, vol. 65, No. 1, pp. 133-161.
  7. Mitchell Stengel (1995). "From Traditional Mortgage Lending to Modern Mortgage Banking," OCC Quarterly Journal, Vol. 14, pp.11-18.
  8. Mitchell Stengel, Dennis Glennon, Marsha Courchane, and William Lang (1995). "Using Statistical Models to Identify Unfair Lending Behavior," in Fair Lending Analysis: A Compendium of Essays on the Use of Statistics, Anthony M. Yezer (ed.), American Bankers Association, pp.57-64.

2014

  1. Andersson, Fredrik, and Tom Mayock. "Loss Severities on Residential Real Estate during the Great Recession," Journal of Banking and Finance, (forthcoming).

2013 - 2011

  1. Chen, Long, Da Zhi, and Xinlei Zhao, 2013, "What drives stock price movement?" Review of Financial Studies, 26(4), 841-875.
  2. Andersson, Fredrik, Elizabeth Davis, Matthew Freedman, Julia Lane, Brian McCall, and Kristin Sandusky (2012). "Decomposing the Sources of Earnings Inequality Assessing the Role of Reallocation," Industrial Relations, Vol. 51(4), pp. 779-998.
  3. Andersson, Fredrik, Iben Bolvig, Matthew Freedman, and Julia Lane (2011). "Lost Jobs and Health Insurance: An Analysis of the Impact of Employment Volatility on Firm-Provided Health Insurance Coverage," Applied Economics, Vol. 43(32), pp. 3051-3073.
  4. Holzer, Harry, Julia Lane, David Rosenblum, and Fredrik Andersson (2011)."Where are All the Good Jobs Going? What National and Local Job Quality and Dynamics Mean for US Workers," Russell Sage Foundation.

2010

  1. Barakova, Irina and A. Palvia (2010). "Limits to relative performance evaluation," 2010, Journal of Financial Economic Policy.
  2. Ihlanfeldt, Keith and Tom Mayock (2010). "Property Values and Crime," in Handbook on the Economics of Crime, edited by B. Benson and P. Zimmerman, Edward Elgar.
  3. Ihlanfeldt, Keith and Tom Mayock (2010). "Panel Data Estimates of the Effects of Different Types of Crime on Housing Prices," Regional Science and Urban Economics, 40(2-3), pp. 161-172.

2009

  1. Abowd, John, Bryce Stephens, Lars Vilhuber, Fredrik Andersson, Kevin McKinney, Marc Roemer, Simon Woodcock (2009). "The LEHD Infrastructure Files and the Creation of the Quarterly Workforce Indicators," in Producer Dynamics: New Evidence from Micro Data, edited by Timothy Dunne, J. Bradford Jensen, and Mark J. Roberts, NBER Press.
  2. Andersson, Fredrik, Harry Holzer, and Julia Lane (2009). "Temporary Help Agencies and the Advancement Prospects of Low Earners," in Studies of Labor Market Intermediation, edited by David Autor, NBER Press and NBER Working Paper 13434.
  3. Andersson, Fredrik, Matthew Freedman, John Haltiwanger, Julia Lane and Kathryn Shaw (2009). "Reaching for the Stars: Who Pays for Talent in Innovative Industries?," Economic Journal, Vol. 119 (June), pp. 308-332 and NBER Working Paper No. 12435.
  4. Cheung, Ron, Keith Ihlanfeldt, and Tom Mayock (2009). "The Regulatory Tax and House Price Appreciation in Florida," Journal of Housing Economics, 18(1), 2009, pp. 34-48.
  5. Cheung, Ron, Keith Ihlanfeldt, and Tom Mayock (2009). "The Incidence of the Land Use Regulatory Tax," Real Estate Economics, 37(44), pp. 675-704.
  6. Ihlanfeldt, Keith and Tom Mayock (2009). "Price Discrimination in the Housing Market," Journal of Urban Economics, 66(2), 2009, pp. 125-140.
  7. Sirakaya, S., S. J. Turnovsky and N. M. Alemdar (2009). "Trade, Growth, and Environmental Quality." Review of International Economics 17 (5), 906-926.
  8. Xinlei Zhao, 2009, "Technological Innovation and Acquisitions," Management Science, 55, 1170-1183.

2008 - 2006

  1. Andersson, Fredrik, Clair Brown, Benjamin Campbell, Hyowook Chiang, Yooki Park (2008). "The Effect of HRM Practices and R&D Investment on Worker Productivity," in The Analysis of Firms and Employees: Quantitative and Qualitative Approaches, edited by Stefan Bender, Julia Lane, Kathryn Shaw, Fredrik Andersson and Till Von Wachter, University of Chicago Press.
  2. Bender, Stefan, Julia Lane, Kathryn Shaw, Fredrik Andersson, and Till Von Wachter (eds.) (2008).The Analysis of Firms and Employees: Quantitative and Qualitative Approaches, University of Chicago Press, 2008
  3. Andersson, Fredrik, Simon Burgess, and Julia Lane (2007). "Cities, Matching and the Productivity Gains of Agglomeration," Journal of Urban Economics, Vol. 61(1), pp. 112-28.
  4. Alemdar, N. M. , S. Sirakaya and F. Hüsseinov (2006). "Optimal Time Aggregation of Infinite Horizon Control Problems." Journal of Economic Dynamics and Control 30 (4), 569-593.
  5. Sirakaya, S., S. J. Turnovsky and N.M. Alemdar (2006). "Feedback Approximation of the Stochastic Growth Model by Genetic Neural Networks." Computational Economics 27 (2), 185-206.
  6. Sirakaya, Sibel (2006). "Recidivism and Social Interactions." Journal of the American Statistical Association 101 (475), 863-877.

2005 - 1994

  1. Zhang, G. Peter and Min Qi (2005), "Neural Network Forecasting for Seasonal and Trend Time Series," European Journal of Operational Research, 160(2), 501-514.
  2. Andersson, Fredrik, Harry Holzer, and Julia Lane (2005). Moving Up or Moving On: Who Advances in the Low-Wage Labor Market?, Russell Sage Foundation.
  3. Holder, Mark E., Min Qi, and Amit K. Sinha (2004), "The Impact of Time Duration between Trades on the Price of Treasury Futures Contracts," Journal of Futures Markets, 24(10), 965-980.
  4. Alemdar, N. M. and S. Sirakaya (2003). "On-line Computation of Stackelberg Equilibria with Synchronous Parallel Genetic Algorithms." Journal of economic Dynamics and Control 27 (8), 1503-1515.
  5. Qi, Min and Yangru Wu (2003), "Nonlinear Prediction of Exchange Rates with Monetary Fundamentals," Journal of Empirical Finance, 10(5), 623-640.
  6. Sirakaya, S. and N. M. Alemdar (2003). "Genetic Neural Networks to Approximate Feedback Nash Equilibria in Dynamic Games." Computers & Mathematics with Applications 46 (10-11), 1493-1509.
  7. Chen, QingQing (December 2002). "Personal Consumption, Asset Structure and Enterprise Financing Structure," Journal of Economic Studies, No. 4.
  8. Brown, Jeffery and Dennis Glennon (2000). "Cost Structures of Banks Grouped by Strategic Conduct," Applied Economics, 32, pp. 1591-1605.
  9. Mitchell Stengel and Dennis Glennon (1999). "Evaluating Statistical Models of Mortgage Lending Discrimination: A Bank-Specific Analysis." Real Estate Economics, Vol. 27, pp.299-334.
  10. Mitchell Stengel and James Gilkeson (1999). "The Economic Impact of Recent Accounting Rules." Mortgage Banking, Vol. 59, pp.55-62.
  11. Glennon, Dennis and Julia Lane (1996). "Financial Innovation, Interest Rates, and Recent Behavior of the Velocity of Money," Journal of Banking and Finance, 20, pp. 207-225.
  12. Koenker, Roger W. and M. Nazmul Hasan (1994). Robust Testing for Unit Root Hypothesis based on Regression Ranks Score," Proceedings of the Business and Economic Statistics Section, American Statistical Association.