Madhu Kalimipalli

Lazaridis School of Business and Economics, Wilfrid Laurier University

Professor

Waterloo, Ontario N2L 3C5

Canada

http://www.madhukalimipalli.com/

SCHOLARLY PAPERS

23

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3,431

SSRN CITATIONS
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Top 27,649

in Total Papers Citations

23

CROSSREF CITATIONS

7

Scholarly Papers (23)

The Economic Value of Using Realized Volatility in the Index Options Market

Number of pages: 49 Posted: 22 Jun 2006
Madhu Kalimipalli, Wing H. Chan and Ranjini Jha
Lazaridis School of Business and Economics, Wilfrid Laurier University, Wilfrid Laurier University - School of Business & Economics and University of Waterloo - School of Accounting and Finance
Downloads 309 (108,929)
Citation 5

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realized volatility, ARFIMA models, implied volatility, encompassing regressions, combination forecasts, volatility timing, option trading strategies

The Economic Value of Using Realized Volatility in Forecasting Future Implied Volatility

Number of pages: 42 Posted: 19 Nov 2006 Last Revised: 26 Dec 2008
Wing H. Chan, Ranjini Jha and Madhu Kalimipalli
Wilfrid Laurier University - School of Business & Economics, University of Waterloo - School of Accounting and Finance and Lazaridis School of Business and Economics, Wilfrid Laurier University
Downloads 303 (111,254)
Citation 1

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realized volatility, implied volatility, combination forecasts, volatility timing, option strategie

Regime-Switching Stochastic Volatility and Short-Term Interest Rates

Number of pages: 37 Posted: 21 Jul 2001
Madhu Kalimipalli and Raul Susmel
Lazaridis School of Business and Economics, Wilfrid Laurier University and University of Houston - Department of Finance
Downloads 452 (70,087)
Citation 5

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Short-term interest rates, stochastic volatility, regime switching, MCMC methods, GARCH models

Regime Switching Stochastic Volatility and Short-Term Interest Rates

Posted: 06 Nov 2003
Madhu Kalimipalli and Raul Susmel
Lazaridis School of Business and Economics, Wilfrid Laurier University and University of Houston - Department of Finance

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Does Skewness Matter? Evidence from the Index Options Market

Number of pages: 30 Posted: 23 Jul 2003
Madhu Kalimipalli and Ranjini Jha
Lazaridis School of Business and Economics, Wilfrid Laurier University and University of Waterloo - School of Accounting and Finance
Downloads 420 (77,252)
Citation 2

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conditional volatility, conditional skewness, option pricing biases, at-the-money delta-neutral strips, straps and straddles

4.

Did CDS Trading Improve the Market for Corporate Bonds?

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 72 Posted: 10 Mar 2011 Last Revised: 30 Aug 2013
Sanjiv Ranjan Das, Madhu Kalimipalli and Subhankar Nayak
Santa Clara University - Leavey School of Business, Lazaridis School of Business and Economics, Wilfrid Laurier University and Wilfrid Laurier University - Financial Services Research Centre
Downloads 375 (88,170)
Citation 18

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CDS, bond market efficiency

5.

Concentrated Control: A Comparative Analysis of Single and Dual Class Structures on Corporate Value

Number of pages: 36 Posted: 17 Nov 2006
Ben Amoako-Adu, Brian F. Smith and Madhu Kalimipalli
Wilfrid Laurier University - School of Business & Economics, Wilfrid Laurier University and Lazaridis School of Business and Economics, Wilfrid Laurier University
Downloads 294 (115,592)

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Dual Class, Concentrated Control

Idiosyncratic Volatility vs. Liquidity? Evidence from the U.S. Corporate Bond Market

Number of pages: 53 Posted: 23 Mar 2009 Last Revised: 26 Jul 2011
Madhu Kalimipalli and Subhankar Nayak
Lazaridis School of Business and Economics, Wilfrid Laurier University and Wilfrid Laurier University - Financial Services Research Centre
Downloads 266 (127,800)

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bond liquidity, equity volatility, illiquid markets, corporate bond spreads, Fama-Macbeth regressions

Idiosyncratic Volatility vs. Liquidity? Evidence from the U.S. Corporate Bond Market

Journal of Financial Intermediation, Forthcoming
Posted: 26 Jul 2011
Madhu Kalimipalli and Subhankar Nayak
Lazaridis School of Business and Economics, Wilfrid Laurier University and Wilfrid Laurier University - Financial Services Research Centre

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equity volatility, bond liquidity, corporate bond spreads, illiquid markets, Fama-MacBeth Regressions

7.

Cross-Listing and Long-Term Performance of ADRs: Revisiting European Evidence

Number of pages: 40 Posted: 17 Dec 2007 Last Revised: 10 Aug 2009
Franck Bancel, Madhu Kalimipalli and Usha R. Mittoo
European School of Management (ESCP) - (EAP), Lazaridis School of Business and Economics, Wilfrid Laurier University and University of Manitoba - Department of Accounting and Finance
Downloads 244 (140,186)
Citation 1

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Stock performance, Long-run performance, US listings, European ADRs, Capital raising ADRs, Initial Public offerings

8.

Risk Mitigation by Institutional Participants in the Secondary Market: Evidence from Foreign Rule 144A Debt Market

Journal of Banking and Finance, Vol. 99, 2019
Number of pages: 51 Posted: 23 Apr 2019
University of Waterloo, Lazaridis School of Business and Economics, Wilfrid Laurier University, Wilfrid Laurier University - Financial Services Research Centre and University of Houston
Downloads 197 (171,764)

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foreign debt markets, 144A bonds, secondary bond market spreads, QIBs, risk exposure

9.

The Economic Significance of Conditional Skewness Forecasts in Option Markets

Number of pages: 55 Posted: 19 Nov 2006
Madhu Kalimipalli and Ranjini Jha
Lazaridis School of Business and Economics, Wilfrid Laurier University and University of Waterloo - School of Accounting and Finance
Downloads 194 (174,166)
Citation 1

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conditional volatility, conditional skewness, out-of sample forecasting, option trading

10.

Role of Institutional Investors - Evidence from the Foreign “Rule 144A” Debt Market

Number of pages: 51 Posted: 13 Dec 2015 Last Revised: 04 Nov 2019
University of Waterloo, Lazaridis School of Business and Economics, Wilfrid Laurier University, Wilfrid Laurier University - Financial Services Research Centre and University of Houston
Downloads 124 (252,665)

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Foreign 144A issues, Yankee bonds, QIBs, financial crisis

11.

Evaluating Corporate Credit Risks in Emerging Markets

Number of pages: 52 Posted: 25 Jan 2018 Last Revised: 08 May 2020
Olga Dodd, Madhu Kalimipalli and Wing H. Chan
Auckland University of Technology, Lazaridis School of Business and Economics, Wilfrid Laurier University and Wilfrid Laurier University - School of Business & Economics
Downloads 84 (328,503)

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emerging markets, corporate leverage, credit risk, credit default swaps, post-Global financial crisis

12.

Information and Liquidity of Over-the-Counter Securities: Evidence from Public Registration of Rule 144A Bonds

Number of pages: 56 Posted: 12 Jun 2017 Last Revised: 25 Nov 2019
Song Han, Alan Guoming Huang, Madhu Kalimipalli and Ke Wang
Federal Reserve Board - Division of Research and Statistics, University of Waterloo, Lazaridis School of Business and Economics, Wilfrid Laurier University and Board of Governors of the Federal Reserve System
Downloads 67 (373,394)

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Rule 144A bond, broker-dealers, public registration, liquidity, information disclosure

13.

Banking Networks, Systemic Risk, and the Credit Cycle in Emerging Markets

Number of pages: 54 Posted: 06 Feb 2020
Sanjiv Ranjan Das, Madhu Kalimipalli and Subhankar Nayak
Santa Clara University - Leavey School of Business, Lazaridis School of Business and Economics, Wilfrid Laurier University and Wilfrid Laurier University - Financial Services Research Centre
Downloads 53 (418,690)

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systemic risk, network risks, default risk, emerging markets, financial instituions

14.

Information and Liquidity of OTC Securities: Evidence from Public Registration of Rule 144a Bonds

FEDS Working Paper No. 2018-061
Number of pages: 46 Posted: 17 Sep 2018 Last Revised: 21 Feb 2019
Song Han, Alan Guoming Huang, Madhu Kalimipalli and Ke Wang
Federal Reserve Board - Division of Research and Statistics, University of Waterloo, Lazaridis School of Business and Economics, Wilfrid Laurier University and Board of Governors of the Federal Reserve System
Downloads 49 (433,178)

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Rule 144A bond, Public registration, Information disclosure, Broker-dealers, Liquidity

15.

Dynamic Effects of Idiosyncratic Volatility and Liquidity on Corporate Bond Spreads

Journal of Banking and Finance, Forthcoming
Posted: 01 Aug 2011 Last Revised: 04 Jun 2013
Madhu Kalimipalli, Subhankar Nayak and Marcos Fabricio Perez
Lazaridis School of Business and Economics, Wilfrid Laurier University, Wilfrid Laurier University - Financial Services Research Centre and Wilfrid Laurier University - School of Business & Economics

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bond liquidity, equity volatility, illiquid markets, corporate bond spreads, dynamic relationships

16.

Cross-Listing and the Long-Term Performance of ADRs: Revisiting European Evidence

Journal of International Financial Markets, Institutions and Money, Forthcoming
Posted: 13 Aug 2009
Franck Bancel, Madhu Kalimipalli and Usha R. Mittoo
European School of Management (ESCP) - (EAP), Lazaridis School of Business and Economics, Wilfrid Laurier University and University of Manitoba - Department of Accounting and Finance

Abstract:

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Stock performance, Long-run performance, US listings, European ADRs, Capital raising ADRs, Initial Public offerings

17.

The Economic Significance of Conditional Skewness in Index Option Markets

Journal of Futures Markets, Forthcoming
Posted: 24 Apr 2009
Ranjini Jha and Madhu Kalimipalli
University of Waterloo - School of Accounting and Finance and Lazaridis School of Business and Economics, Wilfrid Laurier University

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Key Words: conditional volatility, conditional skewness, out-of sample forecasting, option trading, trading costs

18.

Concentrated Control and Corporate Value: A Comparative Analysis of Single and Dual Class Structures in Canada

Applied Financial Economics, Forthcoming
Posted: 15 Dec 2008
Ben Amoako-Adu, Brian F. Smith and Madhu Kalimipalli
Wilfrid Laurier University - School of Business & Economics, Wilfrid Laurier University and Lazaridis School of Business and Economics, Wilfrid Laurier University

Abstract:

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Dual Class, Concentrated Control

19.

The Economic Value of Using Realized Volatility in Forecasting Future Implied Volatility

Journal of Financial Research, Forthcoming
Posted: 15 Dec 2008
Madhu Kalimipalli, Wing H. Chan and Ranjini Jha
Lazaridis School of Business and Economics, Wilfrid Laurier University, Wilfrid Laurier University - School of Business & Economics and University of Waterloo - School of Accounting and Finance

Abstract:

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realized volatility, implied volatility, combination forecasts, volatility timing, option strategies

20.

Analyst Forecast Dispersion and Future Stock Return Volatility

Analyst Forecast Dispersion and Future Stock Return Volatility" Quarterly Journal of Business and Economics, Vol. 42, Nos. 1 and 2, Winter/Spring 2003, pp 57-78 .
Posted: 19 Nov 2006
Madhu Kalimipalli and George Athanassakos
Lazaridis School of Business and Economics, Wilfrid Laurier University and University of Western Ontario - Finance-Economics Area Group

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dispersion, optimism, stock return volatility, pooled regressions

21.

Does the Method of Entry Matter? Evidence from Indian Adr and Gdr Issues

Pacific-Basin Finance Journal, Forthcoming
Posted: 06 Jun 2006
Madhu Kalimipalli and Latha Ramchand
Lazaridis School of Business and Economics, Wilfrid Laurier University and University of Houston

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ADRS, GDRs, Rule 144A, Reg S, Volume, Volatility, Liquidity, q ratio

22.

Convertible Bond Prices and Inherent Biases

Posted: 17 Nov 2003
Peter Carayannopoulos and Madhu Kalimipalli
Wilfrid Laurier University - School of Business & Economics and Lazaridis School of Business and Economics, Wilfrid Laurier University

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23.

Bid/Ask Spread, Volatility and Volume in the Corporate Bond Market

Posted: 22 Apr 2002
Madhu Kalimipalli and Arthur Warga
Lazaridis School of Business and Economics, Wilfrid Laurier University and University of Houston - Department of Finance

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ABS market, volatility, volume, bid-ask spreads, ACD model