An overview of my work, by topic, is here.




Real Options and Risk Dynamics, with Dirk Hackbarth, 2015 Review of Economic Studies forthcoming.

On the Systematic Volatility of Unpriced Earnings, with Jaehoon Lee. Journal of Financial Economics (2014) v114, n1.

Inequality Risk Premia, Journal of Monetary Economics (2012) v59, n6.

Endogenous Leverage and Expected Stock Returns, with Tatiana Chebonenko, Xiangyie Xie Spencer, Igor Cunha, and Fabricio d'Almeida, Finance Research Letters (2011) v8 n3

Market Liquidity and Flow Driven Risk, with Prachi Deuskar, Review of Financial Studies (2011) v24, n3.

More Insiders, More Insider Trading: Evidence from Private Equity Buyouts, with Viral Acharya, Journal of Financial Economics (2010) v98, n3.

Liquid Capital and Market Liquidity, Economic Journal (2009) v119, n540.

Volume, Liquidity, and Liquidity Risk, Journal of Financial Economics (2008) v87, n2.

Optimal Learning and New Technology Bubbles, Journal of Monetary Economics (2007) v54, n8.

Insider Trading in Credit Derivatives, with Viral Acharya, Journal of Financial Economics (2007) v84, n1.

Dynamic Liquidity in Endowment Economies, Journal of Financial Economics (2006) v80, n3.

Unifying Underreaction Anomalies, with Andrew Jackson, Journal of Business (2006) v79, n1.

Forecast Dispersion and the Cross-Section of Expected Returns, Journal of Finance (2004) v59, n5.

Rational Momentum Effects, Journal of Finance (2002) v57, n2.

Volatility, Momentum and Time-Varying Skewness in Foreign Exchange Returns, Journal of Business and Economic Statistics (2002) v20, n3.

Return Dynamics when Persistence is Unobservable, Mathematical Finance (2001) v11, n4.



Working papers:

Reversals Reconsidered, January 2015.

What Drives Index Option Exposure?, with Mo Liang and Yun Liu, August 2014.

Commodity Dependence and Aggregate Risk, August 2011.