Research
Research
I. Published or Accepted Papers:
"Liquidity Spillovers: Evidence from Two-Step Spinoffs," 2025, with Yakov Amihud and Avanidhar Subrahmanyam
Journal of Financial Markets, Forthcoming.
The Internet Appendix to the above paper is available here.
"Detecting Jumps amidst Prevalent Zero Returns : Evidence from U.S. Treasury Securities," 2023, with Seung-Oh Han and Jeayoung Park
Journal of Empirical Finance 70, 276-307.
"High-Frequency Measures of Informed Trading and Corporate Announcements," 2018, with M. Brennan and A. Subrahmanyam
Review of Financial Studies 31, 2326-2376.
The Internet Appendix to the above paper is available here.
Featured in the Harvard Law School Forum on Corporate Governance and Financial Regulation (Feb 13, 2018):
"Asymmetric Effects of Informed Trading on the Cost of Equity Capital," 2016, with M. Brennan and A. Subrahmanyam
Management Science 62, 2460-2480 (Lead Article).
The online Appendix to the above paper is available here.
"The Non-information Cost of Trading and its Relative Importance in Asset Pricing," 2016, with Kee H. Chung
Review of Asset Pricing Studies 6, 261-302.
"Options Market Makers' Hedging and Informed Trading: Theory and Evidence," 2015, with H. Lin and A. Mello.
Journal of Financial Markets 23, 2015, 26-58.
"An Analysis of the Amihud Illiquidity Premium," 2013, with M. Brennan and A. Subrahmanyam,
Review of Asset Pricing Studies 3, 2013, 133-176.
"Price Impact and Asset Pricing," 2014.
Journal of Financial Markets 19, 2014, 1-38 (Lead Article).
"Dynamic Factors and Asset Pricing," 2010, with Lawrence He and Bong-Soo Lee,
Journal of Financial and Quantitative Analysis 45, 2010, 707-737.
"Theory-Based Illiquidity and Asset Pricing," 2009, with Tarun Chordia and Avanidhar Subrahmanyam,
Review of Financial Studies 22, 2009, 3269-3668.
"The Cross-Section of Expected Trading Activity," 2007, with Tarun Chordia and Avanidhar Subrahmanyam,
Review of Financial Studies 20, 2007, 709-740.
"Order Flow Patterns around Seasoned Equity Offerings and their Implications for Stock Price Movements," 2005, with Avanidhar Subrahmanyam,
International Review of Finance 5, 2005, 75-111.
II. Working Papers:
"ESG Reputational Risk and Debt Risk Premia: Evidence from the Secondary Market for U.S. Corporate Bonds," 2024, with Jeayoung Park and Chunchi Wu
"Brand Innovation and Trading Activities in Financial Markets," 2023, with Seung-Oh Han, and Po-Hsuan Hsu
"Distance-Based Metrics and Asset Pricing," 2023, with Zhongzhi (Lawrence) He, Jun Tu, and Xi Wang
"Competitors' Innovation and Informed Trading: Evidence from Weekly Patent Announcements," 2022, with Zhenyu Gao and Po-Hsuan Hsu
III. Work in Progress: