Research
Published Papers
- Performance Persistence in Institutional Investment Management, (with Jeff Busse and Sunil Wahal), 2009, forthcoming in Journal of Finance.
- Cross-Section of Option Returns and Volatility, (with Alessio Saretto), November 2009, Journal of Financial Economics 94(2), 310-326.
- Liquidity and the Post-Earnings-Announcement-Drift, (with Tarun Chordia, Gil Sadka, Ronnie Sadka, and Lakshmanan Shivakumar), July/August 2009, Financial Analyst Journal 65(4), 18-32.
- How Common are Common
Return Factors Across Nyse and Nasdaq?, (with Christophe
Pérignon and Christophe Villa), December 2008, Journal of Financial Economics 90(3), 252-271.
- The Selection and Termination
of Investment Managers by Plan Sponsors, (with Sunil
Wahal), August 2008, Journal of Finance 63(4) 1805-1847.
- A Comprehensive Look at the Empirical Performance of Equity Premium Prediction (with Ivo Welch), July 2008, Review of Financial Studies 21(4) 1455-1508. [Michael Brennan Award for Best Paper at the Review of Financial Studies]
- Growth
Options, Beta, and the Cost of Capital, (with Antonio
Bernardo and Bhagwan
Chowdhry), Summer 2007, Financial Management 36(2), 5-17.
- 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
Last modified: July 23, 2009