Published Papers
Real Estate
"“Does Real Estate Value Boost Corporate Borrowing? Evidence from Contract-Level Data,” (with Murillo Campello, Gaurav Kankanhalli, and Eva Steiner), Journal of Financial Economics, forthcoming 2021.
“What Really Happens During Flight to Safety: Evidence from Public and Private Real Estate Markets,” (with Wally Boudry and Eva Steiner), Real Estate Economics, forthcoming 2020.
“The Dynamics of REIT Market Efficiency,” (with Mike Aguilar and Wally Boudry), Real Estate Economics, 46 (Spring 2018), 251-283.
Stock-Bond Dynamics
“Equity Volatility as a Determinant of Future Term-Structure Volatility” (with Naresh Bansal and Chris Stivers), Journal of Financial Markets, 25 (September 2015), 33-51.
“The Stock-Bond Return Relation, the Term-Structure’s Slope, and Asset-class Risk Dynamics” (with Naresh Bansal and Chris Stivers), Journal of Financial and Quantitative Analysis, 49 (June 2014), 699-724.
“Regime-Switching in Stock Index and Treasury Futures Returns and Measures of Stock Market Stress,” (with Naresh Bansal and Chris Stivers), Journal of Futures Markets, 30 (August 2010), 753-779.
“Commonality in the Time-Variation of Stock-Bond and Stock-Stock Return Co-Movements,” (with Chris Stivers and Licheng Sun), Journal of Financial Markets, 10 (2007), 192-218.
“Stock Market Uncertainty and the Stock-Bond Return Relation,” (with Chris Stivers and Licheng Sun), Journal of Financial and Quantitative Analysis, 40 (March 2005), 161 – 194.
Asset Pricing and Capital Markets
“Economic-state Variation in Uncertainty-Yield Dynamics ,” (with David Dubofsky and Chris Stivers), August 2020, forthcoming in Review of Asset Pricing Studies.
“Macroeconomic Uncertainty and the Distant Forward-Rate Slope,” (with David Dubofsky and Chris Stivers), Journal of Empirical Finance, 48, September 2018, 140-161.
“Is There More to Long Memory in Fixed-Income Excess Returns and Volatility than Structural Instability?” (with Nuray Güner and Ken Hightower), Journal of Money, Credit and Banking, 39 (March-April 2007), 689 – 702.
“Information Content and Other Characteristics of the Daily Cross-Sectional Dispersion in Stock Returns,” (with Chris Stivers), Journal of Empirical Finance, 13 (February 2006), 79 – 112.
“Macroeconomic News, Stock Turnover, and Volatility Clustering in Daily Stock Returns,” (with Chris Stivers), Journal of Financial Research, (Summer 2005), 235 – 259.
“Momentum and Reversals in Equity Index Returns with Abnormal Turnover and Return Dispersion in Individual Firm Stocks” (with Chris Stivers), Journal of Finance, (August 2003), 1521 – 1556.
Connolly, Robert A., “A Posterior Odds Analysis of the Weekend Effect,” Journal of Econometrics, 49 (July-August 1991), 51 – 103.
Connolly, Robert A., “An Examination of the Robustness of the Weekend Effect,” Journal of Financial and Quantitative Analysis, 24 (June 1989), 133 – 171. (lead article)
Allen, Stuart D. and Robert A. Connolly, “Financial Market Influences on Aggregate Money Demand: A Bayesian Analysis” Journal of Money, Credit and Banking, 21 (May 1989), 158 – 175.
R&D and Firm Value
“Firm Size and the Effect of R&D on Tobin’s q,” (with Mark Hirschey), R&D Management, (March 2005), 217 – 223.
Connolly, Robert A. and Mark Hirschey, “Firm Size and R&D Effectiveness: A Value-Based Test,” Economics Letters, 32 (1990), 277 – 281.
Connolly, Robert A. and Mark Hirschey, “Concentration and Profits: A Test of the Accounting Bias Hypothesis,” Journal of Accounting and Public Policy, 7 (Winter 1988), 313 – 334.
Connolly, Robert A. and Mark Hirschey, “Market Value and Patents: A Bayesian Approach,” Economics Letters, 27 (1988), 83 – 87.
Hirsch, Barry T. and Robert A. Connolly, “Do Unions Capture Monopoly Profits?” Industrial and Labor Relations Review, 41 (October 1987), 118 – 135.
Connolly, Robert A., Barry T. Hirsch, and Mark Hirschey, “Union Rent-Seeking, Intangible Capital, and Market Value of the Firm,” Review of Economics and Statistics, 68 (November 1986), 567 – 577.
Connolly, Robert A. and Mark Hirschey, “R&D, Market Structure, and Profits: A Value-Based Approach,” Review of Economics and Statistics, 66 (November 1984), 682 – 686.
Skill, Luck, and Tournaments
“Tournament Qualification, Seeding and Selection Efficiency: An Analysis of the PGA TOUR’s FedExCup,” (with Richard J. Rendleman, Jr.), Journal of Quantitative Analysis in Sports, (2012).
“What it Takes to Win on the PGA Tour (If Your Name is `Tiger’ or if Your Name Isn’t),” (with Richard J. Rendleman, Jr, Interfaces, 42 (November-December 2012), 554-576.
“Going for the Green: A Simulation Study of Qualifying Success Probabilities in Professional Golf,” (with Richard J. Rendleman, Jr.), Journal of Quantitative Analysis in Sports, (2011).
“Dominance, Intimidation, and ‘Choking’ on the PGA Tour,” (with Richard J. Rendleman, Jr.), Journal of Quantitative Analysis in Sports, (2010).
“Skill, Luck, and Streaky Play on the PGA Tour,” (with Richard J. Rendleman, Jr), Journal of the American Statistical Association, 103 (March 2008), 74-88.
International Finance
“International Equity Market Co-Movements: Economic Fundamentals or Contagion?” (with F. Albert Wang), Pacific-Basin Finance Journal, 11 (January 2003), 23 – 44.
“Economic News and Stock Market Linkages: Evidence from the U.S., U.K., and Japan,” (with F. Albert Wang), Proceedings of the Second Joint Central Bank Research Conference on Risk Management and Systemic Risk, 1999.
Connolly, Robert A., “Price and Trading Volume Effects of Introducing Foreign Exchange Futures Options Trading,” Advances in Econometrics, Vol. 11B (1997).
Connolly, Robert A. and William M. Taylor, “Volume and Intervention Effects on Yen/Dollar Exchange Rate Volatility, 1977 – 1979,” Advances in Financial Planning and Forecasting, Vol. 5, (1994).
Pringle, John J. and Connolly, Robert A., “The Nature and Causes of Foreign Currency Exposure,” Journal of Applied Corporate Finance, 6 (Fall 1993), 61-72. [reprinted in Corporate Risk: Strategies and Management, Gregory W. Brown and Donald H. Chew, eds., (London: Risk Books, 1999).]
Applied Econometrics
Connolly, Robert A., “Assessing the Importance of Measurement Error in Capital Investment Models,” Managerial and Decision Economics, 7 (September 1986), 177 – 186.
Connolly, Robert A. and Steven Schwartz, “The Intertemporal Behavior of Economic Profits,” International Journal of Industrial Organization, 3 (December 1985), 379 – 400.
Connolly, Robert A. and C.J. LaCivita, “A Note on the Statistical Properties of Aggregate q Measures,” Economics Letters, 19 (1985), 177 – 181.