Published Papers – Marti G. Subrahmanyam

“The Optimality of a Competitive Stock Market,” (with R.C. Merton), The Bell Journal of Economics and Management Science, (renamed The Rand Journal of Economics), Spring 1974.
“On the Optimality of International Capital Market Integration,” Journal of Financial Economics, June 1975.
“International Capital Market Equilibrium and Investor Welfare with Unequal Interest Rates,” in E.J.Elton and M.J. Gruber(eds.),International Capital Markets, North Holland, 1975.
“Intra-Equilibrium and Inter-Equilibrium Analysis in Capital Market Theory: A Clarification,” (with M. Brenner), Journal of Finance, September 1977.
“Market Imperfections, Capital Market Equilibrium and Corporation Finance,”(with R.C. Stapleton), Journal of Finance, May 1977.
“Capital Market Equilibrium in a Mixed Economy, Optimal Public Sector Investment Decision Rules, and The Social Rate of Discount,” (with R.C. Stapleton), Quarterly Journal of Economics, August 1978.
“A Multiperiod Equilibrium Asset Pricing Model,” (with R.C. Stapleton), Econometrica, September 1978.
“Market Imperfections, Inflation and Capital Market Equilibrium,” (with R.C. Stapleton), in M. Sarnat (ed.), Inflation and Capital Markets, Ballinger, 1978.
“Utility Theory and Participation in Unfair Lotteries,” (with N.R. Patel), Journal of Economic Theory, December 1978.
“Multiperiod Equilibrium: Some Implications for Capital Budgeting,” (with R.C. Stapleton), in E.J. Elton and M.J. Gruber, (eds.) Portfolio Theory: Twenty Five Years After, Management Science, 1979.
“Marketability and the Price of Risk,” (with R.C. Stapleton), Journal of Financial and Quantitative Analysis, March 1979.
“Systematic Risk and the Theory of the Firm,” (with S. Thomadakis), Quarterly Journal of Economics, May 1980.
“Uncertain Inflation, Exchange Rates and Bond Yields,” (with R.C. Stapleton), Journal of Banking and Finance, March 1981. Reprinted in M. Sarnat and G. Szego (eds.), Inflation and Capital Markets, Ballinger, 1981.
“A Simple Algorithm for Optimal Portfolio Selection with Fixed Transaction Costs,” (with N.R. Patel), Management Science, March 1982.
“The Market Model, Mean-Variance Analysis and Capital Asset Pricing Theory: A Note,” (with R.C. Stapleton), Journal of Finance, December 1983.
“Comments on ‘A Simple Approach to the Pricing of Risky Assets with Uncertain Exchange Rates’,” Internationalization of Financial Markets and National Economic Policy, R. Hawkins, R. Levich and C. Wihlborg (eds.), JAI Press, 1983.
“The Ex-Dividend Day Behavior of Call Option Prices,” (with A. Kalay), Journal of Business, January 1984.
“Notes on Multiperiod Valuation and the Pricing of Options: A Comment,” (with R.C. Stapleton), Journal of Finance, March 1984.
“The Valuation of Multivariate Contingent Claims in Discrete Time Models,” (with R.C. Stapleton), Journal of Finance, March 1984.
“The Public Investment Decision Under Uncertainty: A MeanVariance Synthesis,” (with M. Swirski), in P. Pestieau (ed.). The Concept and the Measurement of Performance of Public Enterprises, North Holland, 1984.
“The Valuation of Options when Asset Returns are Generated by a Binomial Process,” (with R.C. Stapleton), Journal of Finance, December 1984.
“Notes on the APT and its Empirical Implications,” Australian Journal of Management, 1985.
“Finance Research – The Next 10 Years,” (with R.C. Stapleton), in A.H.G. Rinnooy Kan (ed.), New Challenges for Management Research, North Holland, 1985.
“Options on the Spot and Options on Futures,” (with M. Brenner and G. Courtadon), Journal of Finance, December 1985.
“Leasing and Financial Intermediation: Comparative Tax Advantages,” (with I. Brick and W.F. Fung), Financial Management, Spring 1987.
“Default Risk, Resolution of Uncertainty and the Interest Rate on Corporate Loans,” (with P. Nabar and R.C. Stapleton) in M. Sarnat and G. Szego (eds.), Studies in Banking and Finance: Essays in Memory of Irwin Friend, North Holland, 1988.
“A Simple Formula to Estimate the Implied Standard Deviation,” (with M. Brenner) Financial Analysts Journal, May-June 1988.
“The Behavior of Prices in the Nikkei Spot and Futures Market” (with M. Brenner and J. Uno), Journal of Financial Economics, August l989.
“Stock Index – Futures Arbitrage in the Japanese Markets,” (with M. Brenner and J. Uno), Japan and the World Economy, June l989.
“Options on Stock Indices and Options on Futures,” (with M. Brenner) Journal of Banking and Finance, September l989.
“The Stock Index Options Market in Japan: The Early Experience” (with J. Uno and K. Saito), Japan Security Analysts Journal, September l989.
“Default Risk and the Valuation of High-Yield Bonds: A Methodological Critique,” (with R. Ambarish) in E.I. Altman (ed.) The High Yield Debt Market, Dow-Jones Irwin, 1990.
“The Japanese Stock Index Futures Market: The Early Experience,” (with M. Brenner and J. Uno) in E. Elton and M. Gruber eds.), Japanese Capital Markets, Harper and Row, 1990.
“The Options Features of Corporate Securities,” (with S. Park) in W. Silber, S. Figlewski and M. Subrahmanyam (eds.), Financial Options: From Theory to Practice, Business OneIrwin, 1990.
“Interest Rate Caps and Floors,” (with R.C. Stapleton) in S. Figlewski, W. Silber and M. Subrahmanyam (eds.), Financial Options: From Theory to Practice, Business One-Irwin, 1990.
“The Early Exercise Feature of American Options,” in S. Figlewski, W. Silber and M. Subrahmanyam (eds.), Financial Options: From Theory to Practice, Business One-Irwin, l990.
“Arbitrage Opportunities in the Japanese Stock and Futures Markets,”(with M. Brenner and J. Uno), Financial Analysts Journal, July-August l990.
“The Design of Stock Index Options,” in W. Bühler, H. Göppl and R. von Rosen (eds.) Optionen und Futures, Fritz Knapp Verlag, l990.
“Risk Aversion and the Intertemporal Behavior of Asset Prices,” (with R.C. Stapleton), Review of Financial Studies, December l990.
“The Effects of Derivative Securities on the Markets for the Underlying Assets in the United States: A Survey,” (with A. Damodaran), Journal of Financial Markets, Institutions and Instruments, 1992.
“The Analysis and Valuation of Interest Rate Options,” (with R.C. Stapleton), Journal of Banking and Finance, December 1993.
“Risk, Incentives and Managerial Behavior,” (with G. Franke and R.C. Stapleton) in M.Henssler, T.M.Kolbeck, H-W. Moritz and H. Rehm (eds.), Europäische Integration under globaler Wettbeweberb, Verlag Recht und Wirtschaft, 1993.
“The Volatility of the Japanese Stock Indices: Evidence from the Cash and Futures Markets,” (with M. Brenner and J. Uno), in R. Levich and R. Sato (eds.) International Financial Markets, Cambridge University Press, 1994.
“A Simple Approach to Valuation and Hedging in the BlackScholes Model,” (with M. Brenner), Financial Analysts Journal, March-April,1994.
“A Simple Technique for the Valuation and Hedging of American Options,” (with T.S. Ho and R.C. Stapleton), Journal of Derivatives, Fall 1994.
“Correlation Risk, Cross-Market Derivative Products, and Portfolio Performance,” (with T.S. Ho and R.C. Stapleton), European Financial Management, July 1995.
“Multivariate Binomial Approximations for Asset Prices with Non-Stationary Variance and Covariance Characteristics,” (with T.S. Ho and R.C. Stapleton), Review of Financial Studies, Winter 1995.
“Pricing and Hedging American Options: A Recursive Integration Method and its Implementation,” (with J. Huang and G.G. Yu), Review of Financial Studies, Spring 1996.
“The Term Structure of Interest Rates: Alternative Approaches and their Implications for the Valuation of Contingent Claims,” Geneva Papers on Risk and Insurance: Theory, Spring 1996. Review of Finance Theory and Asset Pricing by Frank Milne, Oxford University Press, 1995, in Journal of Economic Literature, December 1996.
“The Valuation of American Options with Stochastic Interest Rates: A Generalization of the Geske-Johnson Technique,” (with T.S. Ho and R.C. Stapleton), Journal of Finance, June 1997.
“The Pricing of Marked-to-Market Contingent Claims in a NoArbitrage Economy,” (with S.E. Satchell and R.C. Stapleton), Australian Journal of Management, June 1997.
“The Valuation of American-Style Options on Bonds,” (with T.S. Ho and R.C. Stapleton), Journal of Banking and Finance, December 1997.
“A Simple Formula to Compute the Insurance Premium in the Black-Scholes Model,” (with M. Brenner) Bank of Israel Banking Review, December 1997.
“The Risk of a Currency Swap: A Multivariate-Binomial Methodology,” (with T.S. Ho and R.C. Stapleton), European Financial Management, March 1998.
“Coupon Effects and the Pricing of Japanese Government Bonds: An Empirical Analysis,” (with YoungHo Eom and Jun Uno), Journal of Fixed Income, September 1998.
“Who buys and Who Sells Options: The Role and Pricing of Options in an Economy with Background Risk,” (with G. Franke and R.C. Stapleton), Journal of Economic Theory, September 1998.
“When are Options Overpriced: The Black-Scholes Model and Alternative Characterizations of the Pricing Kernel,” with G. Franke and R.C. Stapleton), European Finance Review, (renamed Review of Finance), Spring 1999.
“An Empirical Examination of the Convexity Bias in the Pricing of Interest Rate Swaps,” (with A. Gupta), Journal of Financial Economics, February 2000.
“The Valuation of American Barrier Options Using the Decomposition Technique,”(with B.Gao and J.Huang) Journal of Economic Dynamics and Control, October 2000.
“The International Linkage of Interest Rate Swap Spreads: The Yen-Dollar Markets,” (with Y. H. Eom and J. Uno) in Economic Theory, Dynamics and Markets: Essays in Honor of Ryuzo Sato, K. Mino, T.Negishi and R. Ramachandran, (eds.), Kluwer Academic Press, 2001.
“Asset Prices and the Level of Background Risk,” (with G. Franke and R.C. Stapleton) in Beiträge zur Mikro- und zur Makro-ökonomik: Festschrift für Hans Jürgen Ramser, S.K. Berninghaus and M. Braulke (eds.), Springer, 2001.
“The Transmission of Swap Spreads and Volatilities in the International Swap Markets,” (with Y. H. Eom and J. Uno), Journal of Fixed Income, June 2002.
“Stale Prices and Strategies for Trading Mutual Funds,” (with J. Boudoukh, M.P. Richardson and R.F. Whitelaw), Financial Analysts Journal, July-August 2002.
“A Multi-Factor Spot-Rate Model for the Pricing of Interest Rate Derivatives,” (with S. Peterson and R. C. Stapleton), Journal of Financial and Quantitative Analysis, December 2003.
“Background Risk and the Demand for State-Contingent Claims,” (with G. Franke and R.C. Stapleton), Economic Theory, December 2003.

“Interest Rate and Foreign Exchange Risk Management Products: Overview of Hedging Instruments and Strategies,” (with R.C. Stapleton), in F.D.S. Choi, (ed.), International Finance and Accounting Handbook, Wiley, New York, 2003.
“Introduction to the Special Issue on Risk Management in Operations,” Production and Operations Management, 2005. “Pricing and Hedging Interest Rate Options: Evidence from Cap-Floor Markets,” (with A. Gupta), Journal of Banking and Finance, March 2005.
“When does Strategic Debt Service Matter?” (with V. Acharya, J. Huang and R. Sundaram), Economic Theory, October 2006.
“Latent Liquidity: A New Measure of Liquidity with an Application to Corporate Bonds,” (with G. Chacko, S. Mahanti and G. Mallik and A. Nashikkar), Journal of Financial Economics, May 2008.
“The economic determinants of interest rate option smiles,” (with A. Gupta and P. Deuskar), Journal of Banking and Finance, May 2008.
“A Tale of Two Prices: Liquidity and Asset Prices in Multiple Markets,” (with J. Chan and D. Hong), Journal of Banking and Finance, June 2008.
“Corporate Governance in the Modern Financial Sector,” (with V. Acharya, J. Carpenter, X. Gabaix, K. John, M. Richardson, R. Sundaram and E. Zemel), Chapter 7 in V. Acharya and M. Richardson (eds). Restoring Financial Stability: How to Repair a Failed System, John Wiley, 2009.
“Centralized Clearing for Credit Derivatives,” (with V. Acharya, R. Engle, S. Figlewski and A. Lynch), Chapter 11 in V. Acharya and M. Richardson (eds). Restoring Financial Stability: How to Repair a Failed System, John Wiley, 2009.
“Short Selling,” (with M. Brenner), Chapter 12 in V. Acharya and M. Richardson (eds). Restoring Financial Stability: How to Repair a Failed System, John Wiley, 2009.
“On the Volatility and Comovement of U.S. Financial Markets Around Macroeconomic News Announcements,” (with M. Brenner and P. Pasquariello), Journal of Financial and Quantitative Analysis, December 2009.
“Group Affiliation and the Performance of Initial Public Offerings in the Indian Stock Market,” (with V. Marisetty), Journal of Financial Markets, February 2010.
“Regulating OTC Derivatives,” (with V. Acharya and O. Shachar), Chapter 13 in V.V., Cooley, T.F., Richardson, M.P., and I. Walter, Regulating Wall Street: The Dodd-Frank Act and the New Architecture of Global Finance, John Wiley, 2010.
“Regulating OTC Derivatives,” (with V. Acharya and O. Shachar), reprinted in D. Rösch and H. Scheule (eds.) Credit Portfolio Securitisations and Derivatives, John Wiley, 2013.
“Securitization Reform,” (with M. P Richardson and J. Ronen), Chapter 16 in V.V. Acharya, Cooley, T.F., Richardson, M. P., and I. Walter, Regulating Wall Street: The Dodd-Frank Act and the New Architecture of Global Finance, John Wiley, 2010.
“Liquidity Effects in OTC Options Markets: Premium or Discount?” (with P. Deuskar and A. Gupta), Journal of Financial Markets, February 2011.
“The Structure and Formation of Business Groups: Evidence from Korean Chaebols,” (with H. Almeida, S.Y. Park and D. Wolfenzon), Journal of Financial Economics, February 2011.
“Price Dispersion in OTC Markets: A New Measure of Liquidity,” (with R. Jankowitsch and A. Nashikkar), Journal of Banking and Finance, February 2011.
“Limited Arbitrage and Liquidity in the Market for Credit Risk,” (with S. Mahanti and A. Nashikkar), Journal of Financial and Quantitative Analysis, June 2011.
“Securitization and Real Investment in Incomplete Markets,” (with V. Gaur and S. Seshadri), Management Science, December 2011.
“Illiquidity or Credit Deterioration: A Study of Liquidity in the US Corporate Bond Market during Financial Crises,” (with N. Friewald and R. Jankowitsch), Journal of Financial Economics, July 2012.
“The Determinants of Recovery Rates in the US Corporate Bond Market,” (with R. Jankowitsch and F. Nagler), Journal of Financial Economics, October 2014.
“Credit Default Swaps: A Survey,” (with P. Augustin, D.Y. Tang and S.Q. Wang), Foundations and Trends in Finance, December 2014.
“The Determinants of Recovery Rates in the US Corporate Bond Market,” (with R. Jankowitsch and F. Nagler), Summary, Finance and Accounting Memos, 2016.
“Does the Tail Wag the Dog? The Effect of Credit Default Swaps on Credit Risk,” (with D.Y. Tang and S.Q. Wang), Review of Financial Studies, October 2014. Reprinted in S.M. Dev and P.G. Babu (eds.), Development in India: Micro and Macro Perspectives, Springer, 2016.
“Does the Tail Wag the Dog? The Effect of Credit Default Swaps on Credit Risk,” (with D.Y. Tang and S.Q. Wang), Summary, Finance and Accounting Memos, 2016.
“Credit Default Swaps: Past, Present, and Future,” (with P. Augustin, D.Y. Tang and S.Q. Wang), Annual Review of Financial Economics, 2016.
“Sovereign Credit Risk, Liquidity and the ECB Intervention: Deux ex Machina?” (with L. Pelizzon, D. Tomio and J. Uno), Journal of Financial Economics, October 2016.
“Transparency and Liquidity in the Securitized Product Market,” (with N. Friewald and R. Jankowitch), Review of Asset Pricing Studies, February 2017.
“Credit Default Swaps, Exacting Creditors and Corporate Liquidity Management,” (with D.Y. Tang and S.Q. Wang), Journal of Financial Economics, May 2017.
“Are Interest Rate Fixings Fixed? An Analysis of Libor and Euribor,” (with A. Eisl and R. Jankowitsch), European Financial Management, September 2017.
“Credit Rating Agencies and the Financial CHOICE Act,” (with M.P. Richardson, L.L. Veldkamp, and L.J.White) in M. P. Richardson, Schoenholtz, K.L., Tuckman, B.,and White, L.J. (eds.) Regulating Wall Street: CHOICE Act vs. DoddFrank, New York University, 2017.
“Costly Financing, Optimal Payout Policies and the Valuation of Corporate Debt,” (with V. Acharya, J. Huang and R. Sundaram), in M. Crouhy, Galai, D. and Wiener, Z. (eds.) Contingent Claims Analysis in Corporate Finance, World Scientific, 2019.
“Informed Options Trading Prior to Takeover Announcements: Insider Trading?” (with P. Augustin and M. Brenner), Management Science, May 2019.
“Informed Options Trading before Corporate Announcements,” (with P. Augustin), Annual Review of Financial Economics, 2020.
“Are Corporate Spin-offs Prone to Insider Trading?”(with P. Augustin, M. Brenner and J. Hu), Critical Finance Review, September 2020.
“Coronavirus and Financial Stability 3.0: Try Equity – Risk Sharing for Companies, Large and Small,” (with A. Boot, E. Carletti, H-H. Kotz, J-P. Krahnen, and L. Pelizzon) in Europe in the Time of Covid-19, A. Bénassy-Quéré and B. Weder di Mauro (eds.), A VoxEU.org Book, CEPR Press, May 2020.
“Corona and Financial Stability 4.0: Implementing a European Pandemic Equity Fund,” (with A. Boot, E. Carletti, H-H. Kotz, J-P. Krahnen, and L. Pelizzon) in Europe in the Time of Covid-19, A. Bénassy-Quéré and B. Weder di Mauro (eds.), A VoxEU.org Book, CEPR Press, May 2020.
“Security Design with Status Concerns,” (with S. Basak, D. Makarov, and A. Shapiro), Journal of Economic Dynamics and Control, September 2020.
“The COVID-19 Shock and Equity Shortfall: Firm-level Evidence from Italy,” (with E. Carletti, T. Oliviero, M. Pagano, and L. Pelizzon), Review of Corporate Finance Studies, November 2020.
“The New Rules of the Rating Game: Market Perception of Corporate Ratings,” (with R. Jankowitsch and G. Ottonello), Review of Corporate Finance Studies, January 2022.
“Attention Triggers and Investors’ Risk-Taking,” (with M. Arnold and M. Pelster), Journal of Financial Economics, February 2022. Summarized in “Push-Nachrichten und Investorenverhalten,” (with M. Arnold and M. Pelster), Schmalenbach Research Impulse, 2022.
“In Sickness and in Debt: The COVID-19 Impact on Sovereign Credit Risk,” (with P. Augustin, V. Sokolovski, and D. Tomio), Journal of Financial Economics, March 2022.
“Credit Default Swaps around the World: Investment and Financing Effects,” (with S.M. Bartram, J.Conrad and J. Lee), Review of Financial Studies, May 2022.
“Sovereign Issuers, Incentives and Liquidity: An Event Study of the Danish Sovereign Bond Market,” (with A. Eisl, C. Ochs and J. Staghøj), Journal of Banking and Finance, July 2022.
“Informed Options Strategies before Corporate Events,” (with P. Augustin, M. Brenner, G. Grass, and P. Orlowski), Journal of Financial Markets, July 2022.
“Clientele Effect in Sovereign Bonds: Evidence from Islamic Sukuk Bonds in Malaysia,” (with M. Chan, J. Cherian, Z. Li, and Y. Shao), Critical, Finance Review, August 2022.
“How Sovereign is Sovereign Credit Risk? Global Prices, Local Quantities,” (with P. Augustin, V. Sokolovski, and D. Tomio), Journal of Monetary Economics, October 2022.
“Can Central Banks Boost Corporate Investment? Evidence from the ECB Liquidity Injections,” (with S.L. Daetz, D.Y. Tang, and S.Q Wang), Review of Corporate Finance Studies, May 2023.
“Lighting up the dark: A preliminary analysis of liquidity in the German corporate bond market,” (with Y. Günduz, L. Pelizzon, and M. Schneider), Journal of Fixed Income, 2023.
“Non-Standard Errors,” (with A.J. Menkveld et al.), Journal of Finance, April 2024.
“Sourcing for Online Marketplaces with Demand and Price Uncertainty,” with V. Gaur, N. Osadchiy, and S. Seshadri) Production and Operations Management, forthcoming, 2023.
Collateral Eligibility of Corporate Debt in the Eurosystem,” (with L. Pelizzon, M. Riedel, and Z. Simon), Journal of Financial Economics, March 2024.
“Market Liquidity and Competition among Designated Market Makers,” (with M. Bellia, L. Pelizzon, and D. Yuferova), Management Science, forthcoming, 2023.
“Central Bank-Driven Mispricing,” (with L. Pelizzon and D. Tomio), Journal of Financial Economics, forthcoming, 2024.
“The Finance Paradigm,” in Core Assumptions in Business Theory: A Wedge between Performance and Progress, S. Rangan (ed.), Oxford, 2025.
“What Drives Liquidity in the Chinese Credit Bond Markets?” (with J. Mo), The Journal of Finance and Decision Science, forthcoming, 2024.