José A. Scheinkman’s Working Papers

The National Science Foundation supported research that produced some of the working papers in this page.

The papers are in Adobe Acrobat format (.pdf) and are not compressed.

Some Recent Papers:

Going-Concern debt of financial intermediaries (with Yueran Ma)

Repricing avalanches in the Billion-Prices data (with L. Leal, H. Mateen and M. Nirei)

A class of short-term models for the oil industry addressing speculative storage. (with Y. Achdou et al.)

Crime, punishment and the value of social responsibility (with H. Hong, J. Kubik and I. Liskovich)

Repricing avalanches (with Makoto Nirei)

Days to cover and stock returns (with H. Hong, W. Li, S. Ni and P. Yan)

Financial constraints on corporate goodness (with H. Hong and J. Kubik)

When a master dies: speculation and asset float (with L. Renneboog and J. Penasse) Published in Review of Financial Studies 34(8), 2021.

Savings gluts and financial fragility (with Patrick Bolton and Tano Santos) Published in  Review of Financial Studies 34(3), 2021.

Climate Finance (with H. Hong and A. Karolyi) Published in Review of Financial Studies 33(3), 2020.

Shorting in speculative markets (with Marcel Nutz) Published in Journal of Finance 75(2), 2020.

Bubbles in Assets with Finite Life (with H. Berestycki, C. Bruggeman, and R. Monneau)  Published in Mathematics and Financial Economics 13(3), 2019.

Stochastic compounding and uncertain valuation (with Lars Hansen) Published in Après le Déluge: Finance and the Common Good after the Crisis, E. G. Weyl, E. L. Glaeser, and T. Santos (eds.), University of Chicago Press, 2017.

Cream skimming in financial markets (with P. Bolton and T. Santos) Published in the Journal of Finance 71(2), 2016.

Misspecified recovery (with J. Borovicka and L. Hansen) Published in the Journal of Finance 71(6), 2016.

Yesterday’s heroes: compensation and risk at financial firms (with I. Cheng and H. Hong) Published in the Journal of Finance, 70(2), 2015.

Shock elasticities and impulse responses (with J. Borovička and L. Hansen) Published in Mathematics and Financial Economics 8(4), 2014.

Speculation, Trading and Bubbles (3rd Annual Arrow Lecture). Published by Columbia University Press, NY, 2014.

A Non Local Free Boundary Problem Arising in a Theory of Financial Bubbles (with H. Berestycki and R. Monneau) Published in Philosophical Transactions of the Royal Society A 372(2028), 2014.

Speculating on Home Improvements (with H. Choi and H. Hong) Published in Journal of Financial Economics 111(3), 2014.

Shadow Finance (with P. Bolton and Tano Santos) Published in Rethinking the Financial Crisis, A. Blinder, A. Lo and R. Solow (eds.).

Recursive Utility in a Markov Environment with Stochastic Growth (with Lars Hansen) Published in Proceedings of the National Academy of Sciences, 109:30, 11967–11972, July 24, 2012.

Pricing Growth-Rate Risk (with Lars Hansen) Published in Finance and Stochastics, 16:1, 2012.

The Informal Sector: An Equilibrium Model and Some Empirical Evidence From Brazil (with Aureo de Paula) Published in Review of Income and Wealth 57:s1, 2011.

Risk Price Dynamics (with J. Borovicka, L. Hansen and M. Hendricks) Published in Journal of Financial Econometrics 9:1, Winter 2011.

Outside and Inside Liquidity (with P. Bolton and T. Santos) Published in Quarterly Journal of Economics, 126:1, 2011.

Value Added Taxes, Chain Effects and Informality (with Aureo de Paula) Published in American Economic Journal: Macroeconomics 2:4, October 2010.

Market and Public Liquidity (with P. Bolton and T. Santos) Published in American Economic Review Papers and Proceedings, May 2009.

Long Term Risk: An Operator Approach (with Lars Hansen) Published in Econometrica, 77:1, January 2009.

Nonlinear Principal Components and Long-run Implications of Multivariate Diffusions Run (with X. Chen and L. Hansen) Published in Annals of Statistics, 37:6B, December 2009.

A Limit Theorem for Systems of Social Interactions (with U. Horst) Published in Journal of Mathematical Economics, 45, 2009.

Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia (with Jianping Mei and Wei Xiong) Published in Annals of Economics and Finance, 10-2, 2009.

Operator Methods for Continuous Time Markov Processes (with Yacine Ait-Sahalia and Lars Hansen) . Published in Handbook of Financial Econometrics, Vol 1, L. Hansen and Y. Ait-Sahalia (eds.), 2009.

Advisors and Asset Prices: A Model of the Origins of Bubbles (with Harrison Hong and Wei Xiong) Published in Journal of Financial Economics, 89, 2008.

Social Interactions. Published in The New Palgrave Dictionary of Economics, 2nd edition, S. Durlauf and L. Blume (eds.), Palgrave Macmillan, 2008.

Optimal Exercise of American Claims When Markets Are Not Complete (with L.C. Rogers). Published in Finance and Stochastics, July 2007.

Asset Float and Speculative Bubbles (with Harrison Hong and Wei Xiong). Published in Journal of Finance, June 2006.

Equilibria in Systems of Social Interactions (with U. Horst). Published in Journal of Economic Theory, 130, 2006.

Executive Compensation and Short-termist Behavior in Speculative Markets (with Patrick Bolton and Wei Xiong). Published in Review of Economic Studies, 73, 2006.

Pay for Short-Term Performance: Executive Compensation in Speculative Markets (with Patrick Bolton and Wei Xiong). Published in Journal of Corporation Law, Summer 2005.

Heterogeneous Beliefs, Speculation and Trading in Financial Markets (with Wei Xiong). Published in Paris-Princeton Lectures on Mathematical Finance 2003, Lecture Notes in Mathematics 1847, Springer-Verlag, Berlin, 2004.

Overconfidence and Speculative Bubbles (with Wei Xiong)
Published in Journal of Political Economy, December, 2003.

The Social Multiplier (with Edward Glaeser and Bruce Sacerdote)
Published in Journal of The European Economic Association, April-May, 2003.

The Injustice of Inequality (with E. Glaeser and A. Shleifer)
Published in Journal of Monetary Economics. January 2003, 199-222

Non-Market Interactions (with Edward Glaeser)
Published in Advances in Economics and Econometrics: Theory and Applications, Eight World Congress, M. Dewatripont, L.P. Hansen, and S. Turnovsky (eds.), Cambridge University Press, 2002.

Financial Intermediation without Exclusivity (with Tano Santos)
Published in American Economic Review, Papers and Proceedings, 2001.

Competition Among Exchanges (with Tano Santos)
Published in The Quarterly Journal of Economics 2001.

Optimal Environmental Management in the Presence of Irreversibilities (with Thaleia Zariphopoulou)
Published in Journal of Economic Theory 96, 2001.

Measuring Social Interactions (with Edward Glaeser)
Published in Social Dynamics, S. Durlauf and P. Young, (eds.), MIT Press, 2001.

Spectral Methods for Identifying Scalar Diffusions (with L. Hansen and N. Touzi)
Published in Journal of Econometrics 86, 1998.

Short-Term Interest Rates as Subordinated Diffusions (with T. Conley, L. Hansen and E. Luttmer)
Published in The Review of Financial Studies 10(3), 1997.


Older, Never Published Papers

Notes On Asset Trading in an Overlapping Generations Economy (1980)

General Equilibrium Models of Economic Fluctuations: A Survey of Theory (1984)


Older Papers that are Difficult to Find

Aggregate Fluctuations from Independent Sectoral Shocks: Self-Organized Criticality in a Model of Production and Inventory Dynamics (with P. Bak, K. Chen and M. Woodford)
latest unpublished version: November 1992,
published in Ricerche Economiche, 47, 1993