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"It's no coincidence that man's best friend doesn't talk." (Unknown)
What's New?
The paper titled "Financially constrained stock returns" (with Dmitry Livdan and Horacio Sapriza) is now forthcoming at Journal of Finance.
Invited lecture on "Understanding anomalies: Is
much of what
we call alpha actually beta?" at Sanford C. Bernstein Conference on
Controversies in Quantitative Finance and Asset Management, New York City, March
2008 [pdf]
Research Interests
Asset pricing, applied theoretical and empirical, in connection with corporate
finance, macroeconomics, and capital markets research in accounting
Dissertation
Essays on the cross section
of returns, May 2002, The Wharton School, University of Pennsylvania
[pdf]
Working Papers [Also see my SSRN page that contains earlier drafts of the papers]
Costly external equity: Implications for asset pricing anomalies (with Dongmei Li and Erica X. N. Li ), last revised in June 2008 [manuscript pdf] [slides pdf]
Anomalies (with Erica X. N. Li and Dmitry Livdan, supersedes NBER working paper #11322 titled "Anomalies" and NBER working paper #12014 titled "Optimal market timing") presented at NBER-AP, NBER-SI, and Utah-WFC, last revised in May 2008 [runner-up of the Best Paper Award at the 2005 Utah Winter Finance Conference] [manuscript pdf]
Understanding the accrual anomaly (with Jin Ginger Wu and X. Frank Zhang, supersedes NBER working paper #13525 titled "The accrual anomaly: Exploring the optimal investment hypothesis"), last revised in May 2008 [manuscript pdf]
Neoclassical factors (with Long Chen), presented at UBC PH&N Finance Conference and Barclays Global Investors, to be presented at FIRS 2008 and AFA 2009, last revised in March 2008 [revision of NBER working paper #13282] [manuscript pdf] [slides pdf]
Investment-based expected stock returns (with Laura Xiaolei Liu and Toni M. Whited, supersedes NBER working paper #11323 titled "Regularities"), presented at SED, UBC PH&N Finance Conference, and AFA, last revised in September 2007 [manuscript, under revision] [slides pdf] Value versus growth: Cyclical variations in expected returns (with Huseyin Gulen and Yuhang Xing), presented at AFA, last revised in August 2004 [manuscript pdf]
Forthcoming Articles
Financially constrained stock returns (with Dmitry Livdan and Horacio Sapriza), 2008, forthcoming, Journal of Finance [pdf] Momentum profits, factor pricing, and macroeconomic risk (with Laura Xiaolei Liu, supersedes "Momentum profits and macroeconomic risk" and "Economic fundamentals, risk, and momentum profits"), 2007, forthcoming, Review of Financial Studies [data for macroeconomic factors and momentum portfolios] [pdf] The new issues puzzle: Testing the investment-based explanation (with Evgeny Lyandres and Le Sun, supersedes "Investment-based underperformance following seasoned equity offerings"), 2007, forthcoming, Review of Financial Studies [runner-up of the Barclays Global Investors Award for the Best Conference Paper at the 2005 European Finance Association Annual Meetings] [pdf] [slides pdf] Is the value spread a useful predictor of returns? (with Naiping Liu), 2007, forthcoming, Journal of Financial Markets [pdf]
Publications [All articles are the sole copyright of the respective publishers. Materials are provided for educational use only] Expected returns, yield spreads, and asset pricing tests (with Murillo Campello and Long Chen), 2008, Review of Financial Studies 21 (3), 1297-1338 [pdf] [data for expected equity and bond risk premiums by credit ratings] The expected value premium (with Long Chen and Ralitsa Petkova), 2008, Journal of Financial Economics 87 (2), 269-280 [pdf]
Asset pricing implications of firms’ financing constraints (with Joao F. Gomes and Amir Yaron), 2006, Review of Financial Studies 19 (4), 1321-1356 [pdf]
Is value riskier than growth? (with Ralitsa Petkova), 2005, Journal of Financial Economics 78 (1), 187-202 [pdf] [discussion by Bodie, Kane, and Marcus (2008, 7e, Investments) pdf] [data for aggregate conditioning variables] The value premium, 2005, Journal of Finance 60 (1), 67-103 [pdf] [slides pdf] [discussion by Bodie, Kane, and Marcus (2008, 7e, Investments) pdf] [Matlab and Fortran 90 programs] [First Prize, Smith-Breeden Awards for 2005 from American Finance Association and Journal of Finance] Equilibrium stock return dynamics under alternative rules of learning about hidden states (with Michael W. Brandt and Qi Zeng), 2004, Journal of Economic Dynamics and Control 28 (10), 1925-1954, lead article [pdf] Asset prices and business cycles with costly external finance (with Joao F. Gomes and Amir Yaron), 2003, Review of Economic Dynamics 6 (4), 767-788 [pdf] Equilibrium cross section of returns (with Joao F. Gomes and Leonid Kogan), 2003, Journal of Political Economy 111 (4), 693-732, lead article [pdf, erratum pdf] [Matlab programs]
Recent Professional Presentations
Discussion on "Can investor heterogeneity be useful in explaining the cross-section of average stock returns in emerging markets?" (by Jung, Lee, and Park) at the China International Conference in Finance, July 2008 [pdf]
Discussion on "Why do aggressive payout policies reduce fund discounts: Is it signaling, agency costs, or dividend preferences? (by Wang and Nanda) at the Financial Intermediation Research Society Conference on Banking, Corporate Finance, and Intermediation, June 2008 [pdf]
Discussion on "Limited arbitrage between equity and credit markets" (by Kapadia and Pu) at the 5th Annual Academic Conference at the Caesarea Center for Capital Markets and Risk Management, Herzliya, Israel, May 2008 (the pdf contains additional slides not presented at the conference because of time constraints) [pdf]
Discussion on "Financial distress and the cross section of equity returns" (by Garlappi and Yan) at the AFA meetings in New Orleans, January 2008 [pdf]
Discussion on "Levered returns" (by Gomes and Schmid) at the Duke-UNC Asset Pricing Conference, December 2007 (the pdf contains additional slides not presented at the conference because of time constraints) [pdf]
Discussion on "Asset pricing in a production economy with Chew-Dekel preferences" (by Campanale, Castro, and Clementi) at the NBER Asset Pricing Meeting, November 2007 [pdf]
Discussion on "Two Trees" (by Cochrane, Longstaff, and Santa-Clara) at the Michigan Asset Pricing Reading Group, September 2007 [pdf]
Discussion on "In search of distress risk" (by Campbell, Hilscher, and Szilagyi) at the Federal Reserve Board Conference on Credit Risk and Credit Derivatives, March 2007 [pdf]
Discussion on "Market reactions to tangible and intangible information" (by Daniel and Titman) at the Michigan Asset Pricing Reading Group, October 2006 [pdf]
Discussion on "Technological revolutions and stock prices" (by Pastor and Veronesi) at UBC Summer Finance Conference, July 2006 [pdf]
Discussion on "Technological growth, asset pricing, and consumption risk" (by Panageas and Yu) at WFA meetings, June 2006 [pdf]
Guest lecture on "The rational expectations approach to the cross section of returns," Ph.D. Program, Department of Economics, University of Minnesota, February 2006 [pdf] Discussion on "International asset pricing: Evidence from market implied costs of capital" (by Lee, Ng, and Swaminathan) at WFA meetings, June 2005 [pdf] Discussion on "Asset prices under habit formation and reference-dependent preferences" (by Yogo) at Simulation Based and Finite Sample Inference in Finance II, April 2005 [pdf] Discussion on "Simple forecasts and paradigm shifts" (by Hong and Stein) at AFA meetings, January 2005 [pdf] Discussion on "Corporate investment and asset price dynamics: Implications for SEO event studies and long run performance" (by Carlson, Fisher, and Giammarino) at NBER Asset Pricing Meeting, November 2004 [pdf] Discussion on "Consumption, dividends, and the cross-section of equity returns" (by Bansal, Dittmar, and Lundblad) at WFA meetings, June 2002 [pdf]
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