Research

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

“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

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.

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