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Research

Published Papers

• How Common are Common Return Factors Across Nyse and Nasdaq?, (with Christophe Pérignon and Christophe Villa), 2008, forthcoming in Journal of Financial Economics.
• The Selection and Termination of Investment Managers by Plan Sponsors, (with Sunil Wahal), 2007, forthcoming in Journal of Finance.
• Growth Options, Beta, and the Cost of Capital, (with Antonio Bernardo and Bhagwan Chowdhry), 2006, forthcoming in Financial Management.
• A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (with Ivo Welch), Sep 2006, forthcoming in Review of Financial Studies.
  • Appendix including all the results.
• The Impact of Trades on Daily Volatility, (with Doron Avramov and Tarun Chordia), Winter 2006, Review of Financial Studies 19(4), 1241-1277.
• Liquidity and Autocorrelations in Individual Stock Returns, (with Doron Avramov and Tarun Chordia), October 2006, Journal of Finance 61(5), 2365-2394.
• A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability, (with Michael W. Brandt, Pedro Santa-Clara, and Jonathan R. Stroud), Fall 2005, Review of Financial Studies 18(3), 831-873.
• Demographics, Stock Market Flows, and Stock Returns, March 2004, Journal of Financial and Quantitative Analysis 39(1), 115-142.
• Idiosyncratic Risk Matters!, (with Pedro Santa-Clara), June 2003, Journal of Finance 58(3), 975-1007.
• Predicting the Equity Premium with Dividend Ratios, (with Ivo Welch), May 2003, Management Science 49(5), 639-654.
• Understanding the Financial Crisis in Asia, (with Bhagwan Chowdhry), May 2000, Pacific-Basin Finance Journal 8(2), 135-152.

Working Papers

• Liquidity and the Post-Earnings-Announcement-Drift, (with Tarun Chordia, Gil Sadka, Ronnie Sadka, and Lakshmanan Shivakumar), 2008.
• Cross-Section of Option Returns and Volatility, (with Alessio Saretto), 2008.
• Performance Persistence in Institutional Investment Management, (with Jeff Busse and Sunil Wahal), 2007.
• A Note on "Predicting Returns with Financial Ratios", (with Ivo Welch), 2003.
• The Long-Run Stock Performance of Financially Distressed Firms: An Empirical Investigation, (with Matthias Kahl and Walter N. Torous), 2003.
• Predictability of Stock Return Volatility from GARCH Models, 2000.

Data on Equity Premium Predictors (details are in this paper) - Updated to 2007

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Last modified: July 01, 2008