@article{danielsen_harrison_zhao_2014, title={It Makes a Village: Residential Relocation after Charter School Admission}, volume={42}, ISSN={["1540-6229"]}, DOI={10.1111/1540-6229.12074}, abstractNote={Although numerous studies investigate how student achievement is impacted by educational vouchers and charter schools, there appears to be no research on how these programs impact the surrounding environment. This study examines residential relocation of families whose children attend a charter school. We develop a conceptual model that predicts where relocating families are likely to move, given ex ante distance and direction to the school. The model is parameterized using data from student mailing address changes. We find that families are almost twice as likely to relocate toward the school as would be expected if the school did not exert any attraction. Moreover, although families are not required to live near the school, the child's school exerts a significantly stronger attraction than parent workplaces. This result may have important implications for mitigating urban sprawl, fostering urban renewal and promoting sustainable real estate development.}, number={4}, journal={REAL ESTATE ECONOMICS}, author={Danielsen, Bartley R. and Harrison, David M. and Zhao, Jing}, year={2014}, pages={1008–1041} }
 @article{danielsen_harrison_van ness_warr_2014, title={Liquidity, accounting transparency, and the cost of capital: Evidence from real estate investment trusts}, volume={36}, number={2}, journal={Journal of Real Estate Research}, author={Danielsen, B. R. and Harrison, D. M. and Van Ness, R. A. and Warr, R. S.}, year={2014}, pages={221–251} }
 @article{boehme_danielsen_kumar_sorescu_2009, title={Idiosyncratic risk and the cross-section of stock returns: Merton (1987) meets Miller (1977)}, volume={12}, ISSN={["1878-576X"]}, DOI={10.1016/j.finmar.2009.01.004}, abstractNote={Merton [1987. A simple model of capital market equilibrium with incomplete information. Journal of Finance 42, 483–510] predicts that idiosyncratic risk should be priced when investors hold sub-optimally diversified portfolios, and cross-sectional stock returns should be positively related to their idiosyncratic risk. However, the literature generally finds a negative relationship between returns and idiosyncratic risk, which is more consistent with Miller's [1977. Risk, uncertainty, and divergence of opinion. Journal of Finance 32, 1151–1168] analysis of asset pricing under short-sale constraints. We examine the cross-sectional effects of idiosyncratic risk while explicitly recognizing the confounding effects that dispersion of beliefs and short-sale constraints produce in the Merton framework. We find strong support for Merton's [1987. A simple model of capital market equilibrium with incomplete information. Journal of Finance 42, 483–510] model among stocks that have low levels of investor recognition and for which short selling is limited. For these stocks, the relation between idiosyncratic risk and expected returns is positive, as predicted by Merton [1987. A simple model of capital market equilibrium with incomplete information. Journal of Finance 42, 483–510].}, number={3}, journal={JOURNAL OF FINANCIAL MARKETS}, author={Boehme, Rodney D. and Danielsen, Bartley R. and Kumar, Praveen and Sorescu, Sorin M.}, year={2009}, month={Aug}, pages={438–468} }
 @article{danielsen_harrison_van ness_warr_2009, title={REIT Auditor Fees and Financial Market Transparency}, volume={37}, ISSN={["1540-6229"]}, url={http://www.scopus.com/inward/record.url?eid=2-s2.0-69449095587&partnerID=MN8TOARS}, DOI={10.1111/j.1540-6229.2009.00250.x}, abstractNote={This article examines the relationship between overinvestment in audit services, abnormal nonaudit fees paid to the auditor and market‐based measures of firm transparency. Because real estate investment trusts (REITs) must distribute 90% of their earnings as dividends, many are repeat participants in the seasoned equity market. Thus, REITs have unusually strong incentives to strive for security market transparency. We find that the capital markets reward REITs that overinvest in audit services with better liquidity as measured by bid‐ask spreads. However, firms with abnormally high nonaudit expenditures appear to be penalized with wider spreads, consistent with the notion that such fees may compromise auditor independence.}, number={3}, journal={REAL ESTATE ECONOMICS}, author={Danielsen, Bartley R. and Harrison, David M. and Van Ness, Robert A. and Warr, Richard S.}, year={2009}, pages={515–557} }
 @article{danielsen_van ness_warr_2009, title={Single Stock Futures as a Substitute for Short Sales: Evidence from Microstructure Data}, volume={36}, ISSN={["1468-5957"]}, url={http://www.scopus.com/inward/record.url?eid=2-s2.0-70449386849&partnerID=MN8TOARS}, DOI={10.1111/j.1468-5957.2009.02159.x}, abstractNote={Abstract:  We examine how the introduction of single‐stock futures impacts short sale costs and short interest levels in the underlying spot market. We find that short selling in the underling securities declines, after futures are introduced, the cost of borrowing stock for short sales declines and the available unborrowed supply of lendable shares increases. These results are consistent with futures exchanges providing a low‐cost substitute market for establishing short positions. Microstructure evidence also suggests that the lower cost and greater ease of short selling via futures markets draws informed traders from the spot market.}, number={9-10}, journal={JOURNAL OF BUSINESS FINANCE & ACCOUNTING}, author={Danielsen, Bartley R. and Van Ness, Robert A. and Warr, Richard S.}, year={2009}, pages={1273–1293} }
 @article{kumar_sorescu_boehme_danielsen_2008, title={Estimation risk, information, and the conditional CAPM: Theory and evidence}, volume={21}, ISSN={["1465-7368"]}, DOI={10.1093/rfs/hhn016}, abstractNote={We theoretically and empirically investigate the role of information on the cross section of stock returns and firms' cost of capital when investors face estimation risk and learn from noisy signals of uncertain quality. The resultant equilibrium is an information-dependent conditional CAPM. We find strong empirical support for the model. Innovations in market volatility, oil prices, exchange rates, and dispersion of analysts' forecasts not only help explain the cross section of stock returns, but their influence depends on the stock's systematic estimation risk. Moreover, dividend and share repurchase initiations have significant downward announcement effects on estimated betas and their standard errors.}, number={3}, journal={REVIEW OF FINANCIAL STUDIES}, author={Kumar, Praveen and Sorescu, Sorin M. and Boehme, Rodney D. and Danielsen, Bartley R.}, year={2008}, month={May}, pages={1037–1075} }
 @article{danielsen_van ness_warr_2007, title={Reassessing the impact of option introductions on market quality: A less restrictive test for event-date effects}, volume={42}, ISSN={["0022-1090"]}, DOI={10.1017/S0022109000003495}, abstractNote={AbstractPrior research concludes that option introductions improve the average liquidity of the underlying stocks. We develop an improved, generalizable test to assess whether market quality changes occur on or near an event date. Applying this method to option listing events, we conclude that options do not systematically improve the market quality of the underlying security; rather, the market quality of the underlying security improves before the listing decision. Hazard model tests indicate that improving liquidity is a selection criterion in the option listing decision. Moreover, these tests suggest that the size of a stock's bid-ask spread is the single most important option listing determinant.}, number={4}, journal={JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS}, author={Danielsen, Bartley R. and Van Ness, Bonnie F. and Warr, Richard S.}, year={2007}, month={Dec}, pages={1041–1062} }
 @article{boehme_danielsen_sorescu_2006, title={Short-Sale Constraints, Differences of Opinion, and Overvaluation}, volume={41}, ISSN={0022-1090 1756-6916}, url={http://dx.doi.org/10.1017/S0022109000002143}, DOI={10.1017/S0022109000002143}, abstractNote={AbstractMiller (1977) hypothesizes that dispersion of investor opinion in the presence of short-sale constraints leads to stock price overvaluation. However, previous empirical tests of Miller's hypothesis examine the valuation effects of only one of these two necessary conditions. We examine the valuation effects of the interaction between differences of opinion and shortsale constraints. We find robust evidence of significant overvaluation for stocks that are subject to both conditions simultaneously. Stocks are not systematically overvalued when either one of these two conditions is not met.}, number={2}, journal={Journal of Financial and Quantitative Analysis}, publisher={Cambridge University Press (CUP)}, author={Boehme, Rodney D. and Danielsen, Bartley R. and Sorescu, Sorin M.}, year={2006}, month={Jun}, pages={455–487} }