TSX Venture Exchange Professor of Finance

Publications

• "Capital Utilization, Market Power, and the Pricing of Investment Shocks", 2017, with Zhongzhi Song, Journal of Financial Economics, Forthcoming 

• "Ambiguity and the Corporation: Group Disagreement and Underinvestment", 2017, with Ron Giammarino and Ali Lazrak, Journal of Financial Economics, Vol. 125, No. 3, pp. 417-433  

• "Can Investment Shocks Explain the Cross-Section of Equity Returns?", 2016, with Zhongzhi Song, Management Science, Forthcoming 

• "Heterogeneous Innovation, Firm Creation and Destruction, and Asset Prices," with Jan Bena and Patrick Gruning. Review of Asset Pricing Studies, Vol. 6, No. 1, 2016, pp. 46-87. 

• "Keynes Meets Markowitz: The Trade-off Between Familiarity and Diversification," with Phelim Boyle, Raman Uppal and Tan Wang. Management Science, Vol. 58, No. 2, 2012, pp. 253-272. 

• "Taylor Series Approximations to Expected Utility and Optimal Portfolio Choice," with Georgios Skoulakis. Mathematics and Financial Economics, Vol. 5, No. 2, 2011, pp. 121-156

• "Financial Distress and the Cross-Section of Equity Returns," with Hong Yan. Journal of Finance, Vol. LXVI, No. 3, June 2011. Winner of the 2010 Crowell Memorial Prize (second prize), Panagora Asset Management. Internet Appendix

• "Solving Consumption and Portfolio Choice Problems: The State Variable Decomposition Method," with Georgios Skoulakis. Review of Financial Studies, Vol. 23, 2010, pp. 3346-3400.

• "Asset Allocation and Portfolio Performance: Evidence from University Endowment Funds," with Keith C. Brown and Cristian-Ioan Tiu. Journal of Financial Markets, Vol. 13, 2010, pp. 268-294.

• "A Generalized Approach to Portfolio Optimization: Improving Performance By Constraining Portfolio Norms,'' with Victor DeMiguel, Javier Nogales and Raman Uppal. Management Science, Vol. 55, No. 5,  May 2009, pp. 798-812. Appendix.

• "Numerical Solutions to Dynamic Portfolio Problems: The Case for Value Function Iteration Using Polynomial Approximations", with Georgios Skoulakis. Computational Economics, Vol. 33, Issue 2, 2009, pp. 193-207.

• "Optimal versus Naive Diversification: How Inefficient Is the 1/N Portfolio Strategy?," with Victor DeMiguel and Raman Uppal. The Review of Financial Studies, Vol. 22, No. 5,  May 2009, pp. 1915--1953. Best Paper Award at the 2005 seminars of INQUIRE-UK. Robustness Check Appendix, Data

• "Default Risk, Shareholder Advantage and Stock Returns," with Tao Shu and Hong Yan. The Review of Financial Studies, Vol. 21, No. 6,  November 2008, pp. 2743-2778.

• "Public Sector Science and the `Strategy of the Commons'," with Ajay K. Agrawal.  Economics of Innovation and New Technology, Vol. 16, No. 7, October 2007, pp. 517-539.

• "Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach," with Raman Uppal and Tan Wang. The Review of Financial Studies, Vol. 20, No. 1, January 2007, pp. 41-81.Best Paper Award at the 2003 seminars of INQUIRE-UK.

• "Are Stocks Desirable in Tax-Deferred Accounts?," with Jennifer Huang, Journal of Public Economics, Vol. 90, No. 12,  December 2006, pp. 2257-2283.

• "Risk Premia and Preemption in R&D Ventures," Journal of Financial and Quantitative Analysis, Vol. 39, No.4, December 2004, pp. 843-872. 

• "Public Sector Science and the `Strategy of the Commons'," (Abridged), with Ajay K. Agrawal. Best Paper Proceedings, Academy of Management, Business Policy and Strategy Division,  2002. 

• "Equilibrium with Endogenous Technological Changes: Theory and Applications," Decisions in Economics and Finance, Vol. 19, No. 1-2, March 1996.

• "Linear Operators and Coherent Probabilities," with Gabriele Gurioli. Conference Proceedings of the XIX A.M.A.S.E.S. Meeting, (1995).

  
  

Working Papers

• "Exposure to Investment Shocks: a New Approach Based on Investment Data", 2017, with Zhongzhi Song, Coming soon.
• "The Carry Trade and Uncovered Interest Parity when Markets are Incomplete", 2017, with Jack Favilukis 
• "Dynamic Consumption and Portfolio Choice under Model and Parameter Uncertainty: Learning about Return Predictability, 2017, with Georgios Skoulakis and Chunyu Yang,  Coming soon. 
• "Corporate Innovation and Returns," 2013, with Jan Bena