User profiles for Gurupdesh S. Pandher

Gurupdesh Pandher

Verified email at cornell.edu
Cited by 663

Finance journal rankings and tiers: An active scholar assessment methodology

RR Currie, GS Pandher - Journal of Banking & Finance, 2011 - Elsevier
This study uses respondent data from a web-based survey of active finance scholars (45%
response rate from 37 countries) to endogenously rank 83 finance journals by quality and …

Risk and return in the US housing market: A cross‐sectional asset‐pricing approach

S Cannon, NG Miller, GS Pandher - Real Estate Economics, 2006 - Wiley Online Library
This article carries out an asset‐pricing analysis of the US metropolitan housing market. We
use ZIP code–level housing data to study the cross‐sectional role of volatility, price level, …

Finance journal rankings: Active scholar assessment revisited

RR Currie, GS Pandher - Journal of Banking & Finance, 2020 - Elsevier
This study constructs finance journal rankings and classifications using the active scholar
assessment (ASA) methodology with nested effects regression estimation. We observe some …

Employee‐based Innovation in Organizations: O vercoming Strategic Risks from Opportunism and Governance

GS Pandher, G Mutlu… - Strategic Entrepreneurship …, 2017 - Wiley Online Library
Research summary E mployees performing everyday tasks frequently acquire valuable new
ideas and knowledge. Our formal analysis studies how organizations can benefit from …

Forecasting multivariate time series with linear restrictions using constrained structural state‐space models

GS Pandher - Journal of Forecasting, 2002 - Wiley Online Library
This paper presents a methodology for modelling and forecasting multivariate time series with
linear restrictions using the constrained structural state‐space framework. The model has …

Modelling & controlling monetary and economic identities with constrained state space models

GS Pandher - International Statistical Review, 2007 - Wiley Online Library
The paper presents a method for modelling and controlling time series with identity structures.
The approach is presented in the context of monetary targeting where the monetary …

Valuation of stock option grants under multiple severance risks

GS Pandher - Journal of Derivatives, 2003 - search.proquest.com
Executive stock option (ESO) grants have a number of important features that do not conform
to assumptions of the Black-Scholes model. This article develops a risk-neutral model for …

Estimation of excess returns from derivative prices and testing for risk neutral pricing

GS Pandher - Econometric Theory, 2001 - cambridge.org
This paper develops an econometric framework for (i) estimating excess returns of the security
process from high frequency derivative prices, (ii) testing for risk neutral pricing, and (iii) …

Regression‐based modeling of market option prices: with application to S&P500 options

GS Pandher - Journal of Forecasting, 2007 - Wiley Online Library
This paper presents a simple empirical approach to modeling and forecasting market option
prices using localized option regressions (LOR). LOR projects market option prices over …

Drift estimation of generalized security price processes from high frequency derivative prices

GS Pandher - Review of Derivatives Research, 2000 - Springer
This paper presents a framework for using high frequency derivative prices to estimate the
drift of generalized security price processes. This work may be seen more generally as a quasi…