Please see my Google scholar page for an up-to-date list of my work. Below are PDF versions of some of my papers.

Published and forthcoming articles

  • “Firm Characteristics and Informed Trading: Implications for Asset Pricing,” with Hadiye Aslan, David Easley, and Maureen O’Hara, forthcoming in the Journal of Empirical Finance

  • “Factoring Information into Returns”, with David Easley and Maureen O’Hara, 2010, Journal of Financial and Quantitative Analysis 45, no. 2, 293-309

  • Probability of informed trading”, 2010, Encyclopedia of Quantitative Finance, R. Cont (ed.), John Wiley & Sons Ltd, Chichester, UK, 1428-1430

  • “Small trades and the cross-section of stock returns”, 2008, Review of Financial Studies 21, no. 3, 1123–1151. PDF

  • "A Trade-based Analysis of Momentum", 2006, Review of Financial Studies 19, no. 2, 457–491. PDF

  •  “Stock and Bond Market Interaction: Does Momentum Spill Over?” with William Gebhardt and Bhaskaran Swaminathan, 2004, Journal of Financial Economics 75, no. 3, 651–690. PDF

  • "The Cross-Section of Expected Corporate Bond Returns: Betas or Characteristics?" with William Gebhardt and Bhaskaran Swaminathan, 2005, Journal of Financial Economics 75, no. 1, 85–114. PDF

  • "Is Information Risk a Determinant of Asset Returns?" with David Easley and Maureen O'Hara, 2002, Journal of Finance 57, no. 5, 2185-2221. This article received the Journal of Finance Smith Breeden Distinguished Paper Prize for 2002. PDF

Current working papers

  • A comparison of Barber, Odean, and Zhu (2006) and Hvidkjaer (2006), with Brad M. Barber, Terrance Odean and Ning Zhu, UC-Berkeley, UC-Davis and University of Maryland, 2006. PDF

  • "Trading Structure and Trade Data at the Copenhagen Stock Exchange", Department of Finance WP D 96-5, Aarhus School of Business, 1996.