"Endogenous Liquidity in Credit Derivatives," with Jiaping Qiu, Journal of Financial Economics 103(3), 611-631 (2012) "Pricing Credit Default Swaps with Option-Implied Volatility," with Charles Cao and Zhaodong Zhong, Financial Analysts Journal 67(4), 67-76 (2011)
"The Information Content of Option-Implied Volatility for Credit Default Swap Valuation,” with Charles Cao and Zhaodong Zhong, Journal of Financial Markets 13(3), 321-343 (2010)
"The Market for Corporate Control and the Cost of Debt,” with Jiaping Qiu, Journal of Financial Economics 93(3), 505-524 (2009)
"Risk and Return in Fixed Income Arbitrage: Nickels in Front of a Steamroller?” with Jefferson Duarte and Francis Longstaff, Review of Financial Studies 20(3), 769-811 (2007)
"Correlated Defaults in Intensity-Based Models,” Mathematical Finance 17(2), 155-173 (2007)
"How Profitable Is Capital Structure Arbitrage?” Financial Analysts Journal 62(5), 47-62 (2006)
"Introduction to Special Issue on Capital Structure Arbitrage,” Banque & Marchés 80, 5-6 (2006)
"Accounting Transparency and the Term Structure of Credit Spreads,” Journal of Financial Economics 75(1), 53-84 (2005)
"Default Risk and Diversification: Theory and Empirical Implications,” with Robert Jarrow and David Lando, Mathematical Finance 15(1), 1-26 (2005)
"Default Correlation in Reduced-Form Models,” Journal of Investment Management 3(4), 33-42 (2005)
"Is Investor Misreaction Economically Significant? Evidence from Short- and Long-Term S&P 500 Index Options,” with Charles Cao and Haitao Li, Journal of Futures Markets 25(8), 717-752 (2005)
"Modeling Expected Return on Defaultable Bonds,” Journal of Fixed Income 12(2), 69-81 (2002)
"Counterparty Risk and the Pricing of Defaultable Securities,” with Robert Jarrow, Journal of Finance 56(5), 1765-1799 (2001)
"Interest Rate, Currency and Equity Derivatives Valuation Using the Potential Approach,” with Naosuke Nakamura, International Review of Finance 1(4), 269-294 (2000)
"What Is the Value of Knowing Uninformed Trades?” Economics Letters 64(1), 87-98 (1999)
|