Madhu Kalimipalli

Lazaridis School of Business and Economics, Wilfrid Laurier University

Professor

Waterloo, Ontario N2L 3C5

Canada

http://www.madhukalimipalli.com/

SCHOLARLY PAPERS

22

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CITATIONS
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44

Scholarly Papers (22)

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 303 (97,979)
Citation 7

Abstract:

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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 298 (99,720)
Citation 2

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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 445 (62,545)
Citation 7

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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

Journal of Empirical Finance, Forthcoming
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

EFA 2003 Annual Conference Paper No. 380
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 415 (68,710)
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 363 (80,418)
Citation 26

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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 288 (104,067)

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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 258 (116,303)
Citation 4

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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 240 (125,791)
Citation 2

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

8.

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 188 (158,712)
Citation 1

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

9.

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 185 (161,849)
Citation 2

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

10.

Flight of Intermediation: Debt Choice of Foreign Issuers Around the Financial Crisis

Number of pages: 49 Posted: 13 Dec 2015 Last Revised: 03 Aug 2018
University of Waterloo, Lazaridis School of Business and Economics, Wilfrid Laurier University, Wilfrid Laurier University - Financial Services Research Centre and University of Houston
Downloads 106 (251,602)

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international debt markets, non-bank 144A private debt, Yankee bonds, QIBs, financial crisis

11.

Evaluating the Impact of Post-crisis Growth in Emerging Market Corporate Debt

Number of pages: 51 Posted: 25 Jan 2018 Last Revised: 23 Apr 2019
Olga Dodd, Wing H. Chan and Madhu Kalimipalli
Auckland University of Technology, Wilfrid Laurier University - School of Business & Economics and Lazaridis School of Business and Economics, Wilfrid Laurier University
Downloads 56 (364,276)

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emerging markets, corporate debt, distress risk, post-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: 27 May 2018
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 41 (415,280)

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

13.

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 25 (487,052)

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

14.

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

15.

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

16.

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

17.

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

18.

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

19.

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

20.

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

21.

Convertible Bond Prices and Inherent Biases

Journal of Fixed Income, Forthcoming
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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22.

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

The Journal of Fixed Income, March 2002
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