Peter J. & Stephanie J. Nolan Associate Professor
School of Applied Economics & Management
35 Quai de Grenelle, Tour de Mars –A-
Fax: (331) 45-78-63-88
E-mail: hd3500 at Google Mail
· In academia: number of citations (excluding self-cites) is 153.
· In the US media: research featured in Barron’s, Boston Globe [article], Business Week [article], Chicago Tribune, Economic Intuition, Money Magazine, Reuters News and the Washington Post.
· In the foreign media: research
featured in the Economist (UK) [article],
Financial Times (UK), The Age (
· Ranked 269th out of 129,622 total authors on the Social Science Research Network (ssrn.com) in terms of total number of paper downloads (over 17,000).
Selected Working Papers
Evidence of Institutional Insider Trading Before Merger and Acquisition Announcements (with G. Li from Securities Litigation & Consulting Group).
Below is the smoking gun figure from the paper. It shows abnormal volume from institutions starting 30 days before the M&A announcements!
Is Unlevered Firm Volatility Asymmetric? (with D. Ng).
Presented at the January 2007 American Finance Association annual meeting.
Market-Wide Short-Selling Restrictions (with A. Charoenrook).
Conditional Skewness of Aggregate Market Returns (with A. Charoenrook).
Best Paper in Investments Award Offered by the Southwestern Finance Association, 2005.
When No Law is Better Than a Good Law (with U. Bhattacharya), Review of Finance, 2009, vol 13, p 577-627.
Do Investors Learn about Analyst Accuracy? A Study of the Oil Futures Market (with C. Chang and A. Wang), Journal of Futures Markets, 2009, vol 29, p 414-429.
A Geopolitical Theory of Oil Price Behavior: An Econometric Evaluation (with A. Slaibi and D. Chapman), Applied Economics, 2009.
Capital Market Governance: Do Securities Laws Affect Market Performance? (with C. Lee and D. Ng), Journal of Corporate Finance, 2006, vol 12, p 560-593.
Switching Asymmetric GARCH and Options on a Volatility Index (with J. Guo), Journal of Futures Markets, 2004, vol 24, p 251-282.
The World Price of Earnings Opacity (with U. Bhattacharya and M. Welker), Accounting Review, 2003, vol 78, p 641-678.
The World Price of Insider Trading (with U. Bhattacharya), Journal of Finance, 2002, vol 57, p 75-108. Reprinted in Claessens S. and L. Laeven (ed), 2006, A Reader in International Corporate Finance, World Bank, Herndon, VA, USA.
Application of Neural Networks to an Emerging Financial Market: Forecasting and Trading the Taiwan Stock Index (with M. Leung and A. Chen), Computers and Operations Research, 2002.
Using Investment Portfolio Return to Combine Forecasts: A Multiobjective Approach (with M. Leung and A. Chen), European Journal of Operational Research, 2001, vol 134, p 84-102.
When an Event Is Not an Event: The Curious Case of an Emerging Market (with U. Bhattacharya, B. Jorgenson, and C. Kehr), Journal of Financial Economics, 2000, vol 55, p 69-101.
Forecasting Stock Indices: A Comparison of Classification and Level Estimation Models (with M. Leung and A. Chen), International Journal of Forecasting, 2000, vol 16, p 173-190. Reprinted in Batchelor R. and P. Dua (ed), 2002, Financial Forecasting, Edward Elgar Publishing, Surrey, UK.
Forecasting Exchange Rates Using General Regression Neural Networks (with M. Leung and A. Chen), Computers and Operations Research, 2000, vol 27, p 1093-1110.
Reviewer for the National Science Foundation.
Nomination for the Smith Breeden Award for Best Paper in the Journal of Finance.