curriculum vitae

 

Please click here for a full vita

Academic Appointments

  1. Stephen M. Ross School of Business, University of Michigan

  2. Associate Professor, 2009-Present

  3. Assistant Professor, 2003-2009

  4. Kelley School of Business, Indiana University

  5. Assistant Professor, 1999-2003


education

  1. University of North Carolina, Chapel Hill, NC

  2. Ph.D. in Finance, 2000

  3. University of Illinois, Champaign-Urbana, IL

  4. B.S. in Finance with High Honors, 1991


research

  1. Published Papers

  2. •Ex Ante Skewness and Expected Stock Returns, January 2012, with Jennifer Conrad and Eric Ghysels, forthcoming, Journal of Finance.

  3. •Basis Assets, with Dong-Hyun Ahn and Jennifer Conrad, Review of Financial Studies, December 2009, 22 (12) 5133-5174.

  4. •Cointegration and Consumption Risks in Asset Returns, with Ravi Bansal and Dana Kiku, Review of Financial Studies, March 2009, 22 (3) 1343-1375.

  5. •The Timing of Financing Decisions:  An Examination of the Correlation in Financing Waves, with Amy Dittmar, Journal of Financial Economics, October, 2008, 90 (2), 59-83.

  6. •The Pricing Impacts of Sovereign Bonds, with Kathy Yuan, Review of Financial Studies, September 2008, 21 (5) 1983-2014.

  7. •Consumption, Dividends, and the Cross-Section of Equity Returns, with Ravi Bansal and Christian Lundblad, Journal of Finance, August 2005, 60 (4), 1639-1672.

  8. •Purebred or Hybrid?  Reproducting the Volatility in Term Structure Dynamics, with Dong-Hyun Ahn, A. Ronald Gallant, and Bin Gao, Journal of Econometrics, September-October 2003, 116 (1-2), 147-180.

  9. •Risk Adjustment and Trading Strategies, with Dong-Hyun Ahn and Jennifer Conrad, Review of Financial Studies, Summer 2003, 16 (2) 459-485.

  10. •Quadratic Term Structure Models:  Theory and Evidence, with Dong-Hyun Ahn and A. Ronald Gallant, Review of Financial Studies, Spring 2002, 15 (1), 243-288.

  11. •Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross-Section of Equity Returns, Journal of Finance, 57 (1), 369-403.


  13. Working Papers

  14. •Cross-Market and Cross-Firm Effects in Implied Default Probabilities and Recovery Values, December, 2011, with Jennifer Conrad and Allaudeen Hameed

  15. •Investment Euler Equations and the Cross-Section of Equity Returns, April, 2011, with Stefanos Delikouras

  16. •Long Run Labor Income Risk, November, 2010, with Francisco Palomino


honors and awards

  1. Best Paper Award, China International Confrerence in Finance, 2009

  2. Sanford R. Robertson Assistant Professorship, 2008-2009

  3. Smith-Breeden Award Nominee for best paper in the Journal of Finance, 2005

  4. NTT Research Fellowship, University of Michigan Business School, 2004-2005

  5. Peterson Faculty Research Fellow, Kelley School of Business, Indiana University, 2002-2003