Funding Liquidity and Market Liquidity in Government Bonds. with Prachi Deuskar, Journal of Banking and Finance (2021) v129.
Uncertainty Shocks, Aggregate Debt, and the Real Effects of Corporate Finance, October 2018. Critical Finance Review forthcoming.
Inflexibility and Stock Returns, with Dirk Hackbarth and Lifeng Gu Review of Financial Studies (2017) v31 n1.
What Drives Index Option Exposure? with Mo Liang and Yun Liu, 2017 Review of Finance (2017) forthcoming.
Rethinking Reversals. Journal of Financial Economics (2016) v120 n2.
Real Options and Risk Dynamics, with Dirk Hackbarth, (2015) Review of Economic Studies v82 n4.
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.
The Value of a Cure: An Asset Pricing Perspective,
with Viral Acharya, Suresh Sundaresan, and Steven Zhang September 2021.
Appendix.
The Private and Social Cost of Equity-Maximizing Debt Policy,
with Ping Liu and Chelsea Yiu
Commodity Dependence and Aggregate Risk, August 2011.