Implied Volatility Changes and Corporate Bond Returns, (with Jie Cao, Xiao Xiao, and Xintong Zhan) March 2021, forthcoming Management Science.
Anomalies and False Rejections, (with Tarun Chordia and Alessio Saretto) May 2020, Review of Financial Studies 33(5), 2134‒2179.
Equity Misvaluation and Default Options, (with Assaf Eisdorfer and Alexei Zhdanov), April 2019, Journal of Finance 72(4), 845‒898.
Cross-Sectional and Time-Series Tests of Return Predictability: What is the Difference?, (with Narasimhan Jegadeesh), May 2018, Review of Financial Studies 31(5), 1784‒1824.
Are Capital Market Anomalies Common to Equity and Corporate Bond Markets? An Empirical Investigation, (with Tarun Chordia, Yoshio Nozawa, Avanidhar Subrahmanyam, and Qing Tong), August 2017, Journal of Financial and Quantitative Analysis 52(4), 1301‒1342.
Buyers Versus Sellers: Who Initiates Trades And When?, (with Tarun Chordia and Narasimhan Jegadeesh), October 2016, Journal of Financial and Quantitative Analysis 51(5), 1467‒1490.
Is Momentum an Echo?, (with Sunil Wahal), December 2015, Journal of Financial and Quantitative Analysis 50(6), 1237‒1267.
Investing in a Global World, (with Jeff Busse and Sunil Wahal), April 2014, Review of Finance 18(2), 561‒590. [Spängler IQAM Best Paper in Investments Prize at the Review of Finance]
Performance Persistence in Institutional Investment Management, (with Jeff Busse and Sunil Wahal), April 2010, Journal of Finance 65(2), 765‒790.
Cross-Section of Option Returns and Volatility, (with Alessio Saretto), November 2009, Journal of Financial Economics 94(2), 310‒326.
How Common are Common Return Factors Across Nyse and Nasdaq?, (with Christophe Pérignon and Christophe Villa), December 2008, Journal of Financial Economics 90(3), 252‒271.
The Selection and Termination of Investment Managers by Plan Sponsors, (with Sunil Wahal), August 2008, Journal of Finance 63(4) 1805‒1847.
A Comprehensive Look at the Empirical Performance of Equity Premium Prediction (with Ivo Welch), July 2008, Review of Financial Studies 21(4) 1455‒1508. [Michael Brennan Award for Best Paper at the Review of Financial Studies]
The Impact of Trades on Daily Volatility, (with Doron Avramov and Tarun Chordia), Winter 2006, Review of Financial Studies 19(4), 1241‒1277.
Liquidity and Autocorrelations in Individual Stock Returns, (with Doron Avramov and Tarun Chordia), October 2006, Journal of Finance 61(5), 2365‒2394.
A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability, (with Michael W. Brandt, Pedro Santa-Clara, and Jonathan R. Stroud), Fall 2005, Review of Financial Studies 18(3), 831‒873.
Demographics, Stock Market Flows, and Stock Returns, March 2004, Journal of Financial and Quantitative Analysis 39(1), 115‒142.
Idiosyncratic Risk Matters!, (with Pedro Santa-Clara), June 2003, Journal of Finance 58(3), 975‒1007.
Predicting the Equity Premium with Dividend Ratios, (with Ivo Welch), May 2003, Management Science 49(5), 639‒654.