TOPICS:     INFORMATION & PRICES / FINANCIAL CRISES & CONTAGION / FOREIGN EXCHANGE ISSUES  

INFORMATION & PRICES:


The On-The-Run Liquidity Phenomenon 
With Clara Vega.
Journal of Financial Economics (2009), 92, pp. 1-24 (Lead Article).
PDF version

This paper previously circulated under the title "Strategic Order Flow in the On-The-Run
and Off-The-Run Bond Markets."

You can read more about this paper on the Fall 2006 NBER Reporter 
 


Does Asymmetric Information Drive Capital Structure Decisions? 
With Sreedhar Bharath and Guojun Wu.
Review of Financial Studies (2009), 22, pp. 3211-3243.
PDF version

You can read more about this paper on the Summer 2006 NBER Reporter 
and on the Ross Thought in Action 
 


On the Volatility and Comovement of U.S. Financial Markets Around 
Macroeconomic News Announcements 
With Menachem Brenner and Marti Subrahmanyam.
Journal of Financial and Quantitative Analysis (2009), 44, pp. 1265-1289 (Lead Article).
PDF version

This paper previously circulated under the title "Financial Markets and the Macro Economy."



Informed and Strategic Order Flow in the Bond Markets 
With Clara Vega.
Review of Financial Studies (2007), 20, pp. 1975-2019.
PDF version
 


Updating Expectations: An Analysis of Post-9/11 Returns
With Jarl Kallberg and Crocker Liu.
Journal of Financial Markets (2008), 11, pp. 400-432.
PDF version

You can read more about this paper on financialrounds.blogspot.com and smarteconomics.com 



FINANCIAL CRISES & CONTAGION:


The Anatomy of Financial Crises: Evidence from the Emerging ADR Market
Journal of International Economics (2008), 76, pp. 193-207. 
PDF version

This paper previously circulated under the title "Are Financial Crises Indeed
"Crises?" Evidence from the Emerging ADR Market."

You can read more about this paper on financeprofessor.com 
 


Imperfect Competition, Information Heterogeneity, and Financial Contagion
Review of Financial Studies (2007), 20, pp. 391-426.
PDF version
 


Time-Series and Cross-Sectional Excess Comovement in Stock Indexes
With Jarl Kallberg.
Journal of Empirical Finance (2008), 15, pp. 481-502.
PDF version
 


An Examination of the Asian Crisis: Regime Shifts in Currency and Equity Markets
With Jarl Kallberg and Crocker Liu.
Journal of Business (2005), 78, pp. 169-211.
PDF version
 


Regime Shifts in Asian Equity and Real Estate Markets
With Jarl Kallberg and Crocker Liu.
Real Estate Economics (2002), 30, pp. 263-291.
PDF version
 


Regime Switches in Asian Equity and Real Estate Markets
With Jarl Kallberg and Crocker Liu.
Current version: June 1999
Forthcoming in Edward Altman and Irving Vanderhof eds., Risk and Return Management for Insurance Companies.
PDF version
 


FOREIGN EXCHANGE ISSUES:


Central Bank Intervention and the Intraday Process of Price Formation in Currency Markets
Journal of International Money and Finance (2010), 29, pp. 1045-1061.
PDF version
 


Informative Trading or Just Costly Noise? An Analysis of Central Bank Interventions
Journal of Financial Markets (2007), 10, pp. 107-143 (Lead Article).
PDF version
 


Uncertainty of Trading Rules in Currency Markets: An Application of
Nonparametric Bootstrapping
Journal of Multinational Financial Management (2002), 12, pp. 107-133.
PDF version
 


Views: Use and Abuse
With Arun Muralidhar.
Journal of Asset Management (2001), 2, pp. 47-55.
PDF version
 


Decomposing and Understanding Risk
With Arun Muralidhar and Kemal Asad-Syed.
In Arun Muralidhar ed., Innovations in Pension Fund Management (2002), Chapter 8, pp. 163-182.
PDF version