• Intranet Home
  • Home
  • Vita
  • Courses
  • Published Papers
  • Working Papers

Published Papers

• "A Skeptical Appraisal of Asset-Pricing Tests," with J. Lewellen and S. Nagel, Journal of Financial Economics, forthcoming, 2009.



• "Estimating and Testing Beta Pricing Models: Alternative Methods and their Performance in simulations," with Guofu Zhou, Journal of Financial Economics, 84, 2007.



• "Economic Forces and the Stock Market Revisited," with Mark Weinstein, Journal of Empirical Finance, March, 2006.



• "Mutual fund performance with Learning Across Funds," with Christopher S. Jones, Journal of Financial Economics 78, 507-552, 2005.



• "Asset Allocation with Inflation-Protected Bonds," with S.P. Kothari, Financial Analysts Journal, 54-70, 2004.



• "Time-series coefficient variation in value-relevance regressions: a discussion of Core, Guay, and Van Buskirk and new evidence," with S.P.Kothari, Journal of Accounting and Economics 34, 69-87, 2003.



• "Learning, Asset-Pricing Tests, and Market Efficiency," with Jonathan Lewellen, Journal of Finance, Vol LVII, No. 3, 1113-1145, 2002.



• "Anomalies and Efficient Portfolio Formation," with S.P. Kothari, monograph, Association for Investment Management and Research, 2002.



• "2001 European Financial Management Association: Roundtable Discussion, Rationality of Capital Markets," Moderator: John A Doukas; Panelists: Ray Ball, Kent Daniel, Kenneth French, Stephen Ross, European Financial Management, Vol 8, No. 2, 229-247, 2002.



• "Fundamentals Largely Explain Stock Price Volatility," with S.P. Kothari, Journal of Applied Corporate Finance, 81-112, 2000.



• "Book-to-market, dividend yield, and expected market returns: A time-series analysis," with S.P. Kothari, Journal of Financial Economics 44, 169-203, 1997.



• "Implications of Capital Markets Research for Corporate Finance," with Clifford W. Smith, Financial Management, Vol.25, 98-104, 1996.


• "Statistical Methods in Tests of Portfolio Efficiency: A Synthesis," Handbook of Statistics, Volume 14, 693-711, 1996.



• "Another Look at the Cross-section of Expected Stock Returns," with S.P. Kothari and Richard G. Sloan, Journal of Finance, Vol. L, No. 1, 185-224, 1995.



• "Problems in measuring a portfolio performance, An application to contrarian investment strategies," with Ray Ball and S.P. Kothari, Journal of Financial Economics 38, 79-107, 1995.



• "In Defense of Beta," with S.P. Kothari, Journal of Applied Corporate Finance, Volume 8, Number1, 53-58, 1995.



• "Lack of timeliness and noise as explanations for the low contemporaneious return-earnings association," with Daniel W. Collins, S.P. Kothari, Richard G. Sloan, Journal of Accounting and Economics 18, 289-324, 1994.



• "The Current State of the Arbitrage Pricing Theory," Journal of Finance Vol. 47, No. 4, 1569-1574, 1992.



• "Stock return variation and expected dividends," with S.P. Kothari, Journal of Financial Economics 31, 177-210, 1992.



• "On the Estimation of Beta-Pricing Models," Review of Financial Studies, Volume 5, number 1, 1-33, 1992.



• The Current State of the Arbitrage Pricing Theory, Journal of Finance, Vol. XLVII, No. 4, 1569-1574, 1992.



• "Intertemporal Asset Pricing: An Empirical Investigation," Journal of Econometrics 45, 99-120, 1990.



• "A Test of the Efficiency of a Given Portfolio," with Michael R. Gibbons and Stephen A. Ross, Econometrica, Vol. 57, No. 5, 1121-1152, 1989.



• "Multivariate Proxies and Asset Pricing Relations, Living with the Roll Critique," with Daniel W. Collins, S.P. Kothari, Richard G. Sloan, Journal of Financial Economics 18, 91-110, 1987.



• "A Bayesian Approach to Testing Portfolio Efficiency," Journal of Financial Economics 19, 195-215, 1987.



• "Subperiod Aggregation and the Power of Multivariate Tests of Portfolio Efficiency," with Michael R. Gibbons, Journal of Financial Economics 19, 389-394, 1987.



• "Nonsynchronous Data and the Covariance-Factor Structure of Returns," Journal of Finance, Volume XLII, No. 2, 1987.



• "Testing Portfolio Efficiency when the Zero-Beta Rate is Unknown: A Note," Journal of Finance, Vol. 41, No. 1, 269-276, 1986.



• "On the Exlcusion of Assets from Tests of the mean Variance Efficiency of the Market Portfolio: An Extension," Journal of Finance, Vol. XLI, No. 2, 331-337, 1986.



• "Mulivariate Tests of the Zero-Beta CAPM," Journal of Financial Economics 14, 327-348, 1985.



• "Multi-Beta CAPM or Equilibrium-APT?: A Reply," Journal of Finance, Vol XL, No. 4, 1189-1196, 1985.



• "The Arbitrage Pricing Theory: Is it Testable?," Journal of Finance, Vol 37, No. 5, 1129-1140, 1982.