Recent Working Papers:
- Tail Risk in Momentum Strategy
Returns
- with Ravi Jagannathan and Soohun Kim
- Working Paper (revised, February, 2019)
- Monetary Policy and Reaching for Income
- with Lorenzo Garlappi and Kairong Xiao.
- Working Paper (revised December, 2018)
- Overconfidence, Information Diffusion, and
Mispricing Persistence
- with Alex Klos and Simon Rottke
- Working Paper (revised, December, 2018)
- The Cross Section of Risk and Return
- with Lira Mota, Simon Rottke, and Tano Santos.
- Working Paper (revised October, 2018)
- Applying
Asset Pricing Theory to Calibrate the Price of Climate
Risk
- with Robert B. Litterman and Gernot Wagner.
- Working Paper (revised October, 2018)
- Dynamic Asset
Allocation with Predictable Returns and Transaction Costs
- with Pierre Collin-Dufresne, Ciamac
C. Moallemi, and Mehmet Saglam.
- Working Paper (revised, June 15, 2015)
- Liquidity
and Return Reversals
- with Pierre Collin-Dufresne
- Working Paper (revised May 28, 2015)
Publications:
- Liquidity Regimes and Optimal Dynamic Asset Allocation
- with Pierre Collin-Dufresne and Mehmet Saglam.
- forthcoming, Journal of Financial
Economics, February 2019.
- The
Carry Trade: Risks and Drawdowns
- with Robert Hodrick and Zhongjin Lu.
- Critical
Finance Review, 6(2), September 2017, 211-262.
- Momentum Crashes
- with Tobias Moskowitz.
- Journal of Financial
Economics, 122(2), November 2016, pp. 221-247.
- Overconfidence, Arbitrage, and
Equilibrium Asset Pricing
- with David Hirshleifer and Avanidhar Subrahmanyam
- Journal
of Finance, 56(3), June 2001, p. 921-965.
- Explaining the Cross-Section of
Stock Returns in Japan: Factors or Characteristics?
- with Sheridan Titman and K.C. John Wei
- Journal
of Finance, 55(2), April 2001, p. 743-766.
- Winner of the best paper award for the 2000 NTU
International Conference on Finance in Taipei, Taiwan
- Investor Psychology and Security
Market Under- and Over-reactions
- with David Hirshleifer and Avanidhar
Subrahmanyam
-
Journal of Finance, 53(5), December 1998, pp. 1839-1886.
- Winner of the 1999 Smith-Breeden Prize for the best paper in the Journal of Finance.
- AAII Award for Best Paper on Investments at the 1997 Western Finance Association Meetings
- Best Paper Award for the 1998 NTU International Conference on Finance in Taipei, Taiwan
- Reprinted in International Library of Critical Writings in Financial Economics., Richard Roll, editor. Edward Elgar.
- Reprinted in Advances in Behavioral Finance, Volume II.,
Richard H. Thaler, editor. Princeton University Press.
- Measuring Mutual Fund Performance
with Characteristic Based Benchmarks
- with Mark Grinblatt,
Sheridan Titman and Russ Wermers
- Journal
of Finance, 52(3), July 1997, pp. 1035-1058.
- Evidence on the Characteristics
of Cross-Sectional Variation in Stock Returns
- with Sheridan Titman
- Journal of
Finance, 52(1), March 1997, pp. 1-33.
- Winner of the 1997 Smith-Breeden Prize for the best paper in
the Journal of Finance.
- Reprinted in Asset Pricing and Portfolio Performance,
Robert A. Korajczyk, editor. Risk Books: London, 1999.
- Reprinted in International Library of
Critical Writings in Financial Economics., Richard Roll,
editor. Edward Elgar.
- Reprinted in Advances in Behavioral Finance, Volume II.,
Richard H. Thaler, editor. Princeton University Press.
- Investment Under Asymmetric
Information
- with Sheridan Titman
- Finance,
Handbooks in Operations Research and Management Science, Volume 9
edited by R. Jarrow, V. Maksimovic, and W. Ziemba. Amsterdam: North
Holland, 1995.
Published Discussions:
Older Working Papers:
- Sorting Out `Sorting out
Sorts'
- with Sheridan Titman
- Working Paper (revised February, 1999)
- Consumption-Based Modeling of
Long-Horizon Returns
- with David Marshall
- Working Paper (revised May, 1998)
- Common Stock Returns and the
Business Cycle
- with Walter Torous
- Working Paper (revised June, 1995)
