Working Papers

With Binying Liu, "Dividend Dynamics, Learning, and Expected Stock Index Returns", NBER WP 21557, September 2015.

With Zhi Da and Jianfeng Shen, “Gross Margins: A Leading Indicator of Losers in Industry IPO Waves,” March 2012

With Arik Ben Dor, Iwan Meier, and Zhe Xu, “ What Drives Tracking Errors of Hedge Fund Clones?”, December 2011.

With Kent Daniel and Soohun Kim, “A Hidden Markov Model of Leverage Dynamics, Tail Risk, and Value-Momentum Correlation,” Revised June 2017.

With Srikant Marakani, “Long run risks, the factor structure of price dividend ratios and the cross section of returns,” NBER w17484, October 2011.

With Iwan Meier and Vefa Tarhan, “The Cross Section of Hurdle Rates for Capital Budgeting: An Empirical Analysis of Survey Data,” NBER w16770, February 2011.

With Andrei Jirnyi and Ann E. Sherman, “Why Do IPO Auctions Fail the Market Test? The Complexity of Indirect Mechanisms” NBER w16214, July 2010.

With Ben Chabot and Eric Ghysels, “Momentum Cycles and Limits to Arbitrage: Evidence from the Stock Exchanges of Victorian England and the Post-Depression United States,” NBER w15591December 2009.

With Paul Gao and Joey Engelberg, “An Anatomy of Pairs Trading: The Role of Idiosyncratic News, Common Information, and Liquidity,” Revised February 2009.

Work in Progress

With Mila Getmansky Sherman, Loriana Pelizzon, and Vijaya Marisetti, “Trading Networks.”

With Tongshu Ma, “Risk Parity.”

With Ramana Sonti, “Price Momentum: Who is on the Other Side?”

With David Matsa, Iwan Meier, and Vefa Tarhan, “How do firms set discount rates?”

Academic Publications

With Mudit Kapoor and Ernst Schaumburg, "Causes of the Great Recession of 2007-9: The Financial Crisis was the Symptom not the Disease!" accepted for publication in the Journal of Financial Intermediation.
An earlier version appeared under the title, “Why are we in a recession? The financial crisis is the symptom not the disease!,” NBER w15404, October 2009.

With Srikant Marakani, Hitoshi Takehara and Yong Wang, “Calendar Cycles, Infrequent Decisions and the Cross Section of Stock Returns,” Management Science March 2012 58:507-522

With Zhi Da and Re-Jin Guo, “CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence,” Journal of Financial Economics, Vol 103, 2012, Pages: 204-220

With Zhi Da and Paul Gao, “Impatient Trading, Liquidity Provision, and Stock Selection by Mutual Funds,” Review of Financial Studies, Vol 24, Number 3, March 2011, Pages: 675-720.

With Ernst Schaumburg and Guofu Zhou, “Cross-Sectional Asset Pricing Tests,” Annual Review of Financial Economics, Vol. 2, December 2010, Pages 49-74.

With Dmitry Novikov and Alexey Malakov, “Do Hot Hands Exist Among Hedge Fund Managers? An
Empirical Evaluation,” Journal of Finance, February 2010.

With Gopal Basak and Tongshu Ma “Jackknife Estimator for Tracking Error Variance of Optimal Portfolios,” Management Science, Vol. 55, No. 6, June 2009, pp. 990-1002.

With Yong Wang, “Lazy Investors, Discretionary Consumption, and the Cross Section of Stock Returns,” August 2007, Journal of Finance.

With George Skoulakis and Zhenyu Wang, “Analysis of large cross-sections of security returns”,
Forthcoming, “Handbooks in Economics” eds: Yacine Ait-Sahalia and Lars P. Hansen, Elsevier/North-
Holland.

With John Boyd and Jian Hu, "The Stock Market’s Reaction to Unemployment News: Why Bad News May Some Times Be Good For Stocks?,” Journal of Finance, April 2005.

With Andrew Kaplin and Steve Guoqiang Sun, "An Evaluation of Multi-Factor CIR Models Using LIBOR, Swap Rates, and Cap and Swaption Prices", Journal of Econometrics, Volume 116, Issues 1-2, September-October 2003, Pages 113-146

With Tongshu Ma, "Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps,” Forthcoming, Journal of Finance, August 2003.

With Arik Ben Dor and Iwan Meier, “Understanding Mutual Fund and Hedge Fund Styles Using Return Based Style Analysis,” Journal of Investment Management, Vol. 1, No. 1, 2003, pages: 97-137.

With Iwan Meier, “Do we need CAPM for capital budgeting?” Financial Management, Volume 31, Number 4, Winter, 2002.

With George Skoulakis and Zhenyu Wang, “Generalized Method of Moments: Applications in Finance," Journal of Business and Economic Statistics, Volume 20, Number 4, October 2002.

With Zhenyu Wang, “Empirical Evaluation of Asset Pricing Models: A Comparison of the SDF and Beta Models,” Journal of Finance, Vol. 57, No. 5, October 2002, pages 2337-2368.

With Gopal Basak and Guoqiang Sun, "A Test for Mean Variance Efficiency When Shortselling is
Prohibited", Journal of Economic Dynamics and Control, 26, 2002, 1195–1215.

With Shaker Srinivasan, "Does product market competion reduce agency costs?", Special Finance Issue of the North American Journal of Finance, 10, 1999, 387-399.

With Jane Saly and Steven J. Huddart, "Valuing the Reload Features of Executive Stock Options",
Accounting Horizons, September 1999. Abstracted in “Status Report”, Financial Accounting Series, Financial Accounting and Standards Board of the Financial Accounting Foundation, September 29, 2000.

With Zhenyu Wang, "An Asympototic Theory For Estimating Beta-Pricing Models Using Cross-Sectional Regression", Journal of Finance, July 1998.

With Zhenyu Wang, "A note on the asymptotic covariance in Fama-MacBeth regression", Journal of Finance, April 1998.

With Keiichi Kubota and Hitoshi Takehara, "Relationship between labor-income risk and average return: Empirical evidence from the Japanese stock market", Journal of Business, July 1998.

With Murray Frank, "Why do stock prices drop by less than the value of the dividend? Evidence from a country without taxes", Journal of Financial Economics, Volume 47, Issue 2, February 1998.

With Lars Peter Hansen, "Assessing specification errors in stochastic discount factor models," Journal of Finance, June 1997.

With Zhenyu Wang, "The Conditional CAPM and the Cross-section of Expected Returns", Journal of Finance, Vol 51, No. 1, March 1996. Summarized in “Investments” by Zvi Bodie, Alex Kane and Alan J. Marcus, Chapter 13, pages 386-390, 4th Edition, Irwin McGraw-Hilll, 1999.

With John Boyd, "Ex-Dividend Price Behavior of Common Stocks", Review of Financial Studies, Vol. 7, Issue 4, 1994.

With Lawrence Glosten, "A Contingent Claims Framework for Analyzing the Performance of Portfolio Managers", Journal of Empirical Finance, 1, 1994, pages: 133-160.

With Lawrence Glosten and David Runkle, "On the relation between the expected value and the volatility of the nominal excess return on stocks", The Journal of Finance, Vol. 48, No.5, December 1993, pages: 1779-1801.

With Lars Peter Hansen, "Implications of security market data for models of dynamic economies", Journal of Political Economy, vol.99, no.2, 1991. Summarized in “Economic Survey of Japan”, 1997; “The Econometrics of Financial Markets” by John Y. Campbell, Andrew W. Lo and A. Craig MacKinlay, Princeton University Press, 1997, pages 296-304; “Recursive Macroeconomic Theory” by Lars Ljungqvist and Thomas J. Sargent, The MIT Press, 2000, pages 265-271; “Asset Pricing” byJohn H. Cochrane, Princeton University Press, 2001, pages 95-100.

With Fumio Hayashi, "Ex-day behavior of Japanese stock prices: New insights from new methodology", Journal of Japanese and International Economies, 4, 1990.

With V. V. Chari and Larry E. Jones, "Price Stability and Futures Trading in Commodities," Quarterly Journal of Economics, May 1990.

With William Breen and Lawrence Glosten, "Economic Significance of Predictable Variations in Stock Index Returns", Journal of Finance, December 1989, Vol. 44, No.5.

With V. V. Chari, "Adverse Selection in a Model of Mortgage Lending", Journal of Finance, June 1989, Vol. 44, No. 2.

With Thomas R. Palfrey, "The Effects of Insider Trading Disclosures on Speculative Activity and Futures Prices", Economic Inquiry, 1989, Vol XXVII, No.3.

With V. V. Chari, "Banking Panics, Information and Rational Expectation Equilibrium," Journal of Finance, vol. 43, No. 3, July 1988. Reproduced in “The Regulation and Supervision of Banks” edited by Maximilian J.B. Hall, Edward Elgar Publishing Limited, 2000.

With V. V. Chari and Aharon R. Ofer, "Seasonalities in Security Returns: the Case of Earnings
Announcements," Journal of Financial Economics, vol 21, No.1, May 1988.

With Robert A. Korajczyk, "Assessing the Market Timing Performance of Managed Portfolios," Journal of Business, 59, #2, 1986.

With William Breen and Aharon R. Ofer, "Correcting for Heteroscedasticity in Tests for Market Timing Ability," Journal of Business, vol. 59, No. 4, Part 1, October 1986.

"An Investigation of Commodity Futures Prices Using the Consumption Based Intertemporal Capital Asset Pricing Model," Journal of Finance, March 1985.

"Call Options and the Risk of Underlying Securities," Journal of Financial Economics, 13 (1984).

Other Publications

With John H. Boyd and Sungkyu Kwak, “What Caused The Current Financial Mess and What Can We Do About It?” Journal of Investment Management, Fourth Quarter, 2009.

With John H. Boyd, “Avoiding the Next Crisis,” Economists’ Voice, Vol. 6 : Iss. 7, Article 1, 2009.

With John Boyd and Qianqiu Liu, “The Stock Market’s Reaction to Unemployment News, Stock-Bond Return Correlations, and the State of the Economy," Journal of Investment Management, Vol 4, No. 4, Fourth Quarter 2006, Pages 73-90.

With Ann E. Sherman, “Reforming the Book Building Process,” Forthcoming, Journal of Applied Corporate Finance, 2005.

With Arik Ben Dor, and Iwan Meier, “Understanding mutual funds and hedge funds stuyles using returnbased style analysis”, Journal of Investment Management, 2003, First Quarter, 97-137.

With Ellen R. McGrattan and Anna Scherbina, “The Declining U.S. Equity Premium”, NBER working paper 8132, Federal Reserve Bank of Minneapolis Quarterly Review, Fall 2000.

With Narayana Kocherlakota, "Why Should Older People Invest Less in Stocks than Younger People?: An Economic Analysis of Financial Planners' Advice", Federal Reserve Bank of Minneapolis Quarterly Review, Summer 1996. Abstracted in “The CFA Digest”, Spring 1997, Vol. 27, No. 2.

"Relation between the slopes of the conditional and unconditional mean-standard deviation frontiers of asset returns," 1996, Modern Portfolio Theory and Applications: Inquiries into Asset Valuation Problems, Edited by S. Saitou, K. Sawaki, and K. Kubota, Published by the Center for Academic Societies Japan, Osaka, pages: 1-8.

With Ellen McGrattan, "The CAPM Debate," Federal Reserve Bank of Minneapolis Quarterly Review, Fall
1995.

With V.V.Chari, "The simple analytics of commodity futures markets: Do they stabilize prices? Do they raise welfare?", Federal Reserve Bank of Minneapolis Quarterly Review, Summer 1990.

With Zhenyu Wang, “The CAPM Is Alive and Well”, Staff Report 165, Federal Reserve Bank of
Minneapolis, November 1993. Reproduced in the “The Valuation Compilation” of Center for Economic and Industry Research.

Book Chapters

With Arik Ben-Dor, "Style Analysis: Asset Allocation and Performance Evaluation", (2002) in “The
Handbook of Equity Style Management”, Edited by T. Daniel Coggin, and Frank J. Fabozzi, John Wiley, Forthcoming.

With Wayne E. Ferson, “Econometric Evaluation of Asset Pricing Models”, 1996, Handbook of Statistics,Vol 14: Statistical Methods in Finance, Edited by G.S. Maddala, Published by Elsevier Science Publishers B.V.

Book Reviews

Review of “Options: Theory, Strategy, and Applications” by Peter Ritchkin; Glenview, IL, Scott Foresman and Co., 1987 for the Journal of Finance

Cases

Joint with Iwan Meier, “Trump Entertainment Resorts, Inc,” November 2010

Joint with Iwan Meier, “Liz Claiborne Inc,” November 2010

Joint with Iwan Meier, “MEMC Electronic Materials,” December 2010

Joint with Iwan Meier, “Hudson General Corporation,” January 2010

Joint with Zhi Da, “Convertible Bonds of Countrywide Financial Corportion,” January 2007

Joint with Paul Gao, and Eric Green “Extraordinary Value Partners,” January 2007