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Accepted and Forthcoming Papers
Published Papers
- The Timing of Financing Decisions: An Examination of the Correlation in Financing Waves, 2008, Journal of Financial Economics 90, 59-83, with Amy Dittmar.
- Do Sovereign Bonds Benefit Corporate Bonds in Emerging Markets? 2008, Review of Financial Studies 21, 1983-2014, with Kathy Yuan.
- Consumption, Dividends, and the Cross-Section of Equity Returns, Journal of Finance, August 2005, 60 (4), 1639-1672, with Ravi Bansal and Christian Lundblad. Nominated for the Smith-Breeden Award.
- Purebred or Hybrid? Reproducing the Volatility in Term Structure Dynamics, Journal of Econometrics, 2003, 116, 147-180, with Dong-Hyun Ahn, A. Ronald Gallant, and Bin Gao.
- Risk Adjustment and Trading Strategies, Review of Financial Studies, Summer 2003 16 (2), 459-485, with Dong-Hyun Ahn and Jennifer Conrad.
- Nonlinear Pricing Kernels, Kurtosis Preference, and the Cross-Section of Asset Returns, Journal of Finance, February 2002, 57 (1), 369-403.
- Quadratic Term Structure Models: Theory and Evidence, Review of Financial Studies, Spring 2002, 15 (1), 243-288, with Dong-Hyun Ahn and A. Ronald Gallant.
Working Papers
- Skewness and the Bubble, July 2008, with Jennifer Conrad and Eric Ghysels
- Cash Flows or Expectations? An Examination of the Source of Momentum Profits, September, 2007, with Christian Lundblad and Noah Stoffman
- Stock Repurchase Waves: An Examination of the Trends in Corporate Payout Policy, February 2004, with Amy Dittmar
- Interpreting Risk Premia Across Size, Value, and Industry Portfolios, February 2003, with Ravi Bansal and Christian Lundblad.
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