"Closing auctions: Nasdaq versus NYSE," 2022, with Yanbin Wu, Journal of Financial Economics 143, 1120–1139.
“What do fund flows reveal about asset pricing models and investor sophistication?” 2021, with Chandra Sekhar Mangipudi, Review of Financial Studies, 108-148.
“Empirical Tests of Asset Pricing Models with Individual Assets: Resolving the Errors-in-Variables Bias in Risk Premium Estimation,” 2019. with Joonki Noh, Kuntara Pukthuanthong, Richard Roll, and Junbo Wang. Journal of Financial Economics, 273-298,
“Cross-Sectional and Time-Series Tests of Return Predictability: What is the Difference?” 2018, with Amit Goyal, Review of Financial Studies, 1784-1824.
“Buyers Versus Sellers: Who Initiates Trades and When?” with Tarun Chordia and Amit Goyal, 2016, Journal of Financial and Quantitative Analysis, 1467-1490.
“Risk and Expected Returns of Private Equity Investments: Evidence Based on Market Prices,” with Roman Kräussl and Joshua Pollet, 2015, Review of Financial Studies, 3269-3302.
“Word Power: A New Approach for Content Analysis,” 2013, with Andrew Wu, Journal of Financial Economics, 712-729.
“Buy-Side Trades and Sell-Side Recommendations: Interactions and Information Content,” 2012, with Jeff Busse and Clifton Green, Journal of Financial Markets, 207–232.
“Momentum,” 2011, with Sheridan Titman, Annual Review of Financial Economics, 493-509 (Review article - Solicited).
“Do Analysts Herd? An Analysis of Recommendations and Market Reactions,” 2010, with Woojin Kim, Review of Financial Studies , 910-937.
“Gender and Job Performance: Evidence from Wall Street,” 2009, with Clifton Green and Kevin Tang, Financial Analysts Journal.
“Long-Run Performance Evaluation: Correlation and Heteroskedasticity-Consistent Tests,” with Jason Karceski, 2009, Journal of Empirical Finance, 101-111.
``Value of analyst recommendations: International evidence,’’ 2006, with Woojin Kim, Journal of Financial Markets 9, 274-309.
``Revenue Surprises and Stock Returns,’’ 2006, with Joshua Livnat, Journal of Accounting and Economics 41, 147-171 .
Post-earnings announcement drift: The role of revenue surprises, with Joshua Livnat, Financial Analysts Journal 62, 22-34.
“Earnings Quality and Stock Returns: Evidence from Accruals,” 2006, with Konan Chan, Louis Chan and Josef Lakonishok, Journal of Business 79, 1041-1082.
"World Markets for Raising New capital,’’ 2006, with Brian Henderson and Michael Weisbach, Journal of Financial Economics 82, 63-101.
“The Timing and Value of Forecast and Recommendation Revisions,” with Zoran Ivkovic, 2004, Journal of Financial Economics, 433-463
“Analyzing the Analysts: When do Recommendations Add Value?” with Joonghyuk Kim, Susan Krische and Charles Lee, 2004, Journal of Finance, 1083-1124. Listed as “one of the most cites papers in the field of Economics and Finance” by Thomson Scientific.
“The Accrual Effect on Future Earnings,” with Konan Chan and Theodore Sougiannis, 2004, Review of Quantitative Finance and Accounting, 97-121.
"Market-based evaluation for models to predict bond ratings," Konan Chan, 2004, Review of Pacific Basin Financial Markets and Policies 7, 153-172.
Discussion of ``Are Larger Treasury Issues More Liquid? Evidence from Bill Reopenings,’’ 2002, Journal of Money, Credit & Banking, 736-739.
“Cross-Sectional and Time-Series Determinants of Momentum Returns,” with Sheridan Titman, 2002, Review of Financial Studies, 143-157.
“Profitability of Momentum Strategies: An Evaluation of Alternative Explanations,” with Sheridan Titman, Journal of Finance, 2001, 699-720.
Reprinted in The Psychology of World Equity markets, 2005, Editor, Werner De Bondt, Edward Elgar Publishing, Massachusetts.
“The Value of Active Mutual Fund Management: An Examination of the Stockholdings and Trades of Fund Managers,”' with Hsiu-Lang Chen and Russ Wermers, Journal of Financial and Quantitative Analysis, 2000, pp. 343-368.
“Long-Term Performance of Seasoned Equity Offerings: Benchmark Errors and Biases in Expectations,” Financial Management, 2000, pp. 5-30.
“Estimating Prepayment Models: A New Non-Parametric Approach,” (with Xiongwei Ju), Journal of Fixed Income, 2000 (June), pp. 50-67.
Discussion of “Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation,” by Lo, A., H. Mamaysky and J. Wang, Journal of Finance , 2000, 1765-1700.
“The Profitability of Momentum Strategies,” with Louis Chan and Josef Lakonishok, Financial Analysts Journal, 1999, Vol. 5, pp. 88-90.
“An Analysis of Bidding in JGB Auctions,” with Yasushi Hamao, Journal of Finance, 1998, pp. 755-772.
“Abstract of the Behavior of Interest Rates Implied by the Term Structure of Eurodollar Futures,” with George Pennacchi, Contemporary Finance Digest 1 (2), pp.71-72.
“The Behavior of Interest Rates Implied by the Term Structure of Eurodollar Futures,” with George Pennacchi, Journal of Money, Credit, and Banking, 28 (3), 1996, pp. 426-446.
“Relative Pricing of Eurodollar Futures and Forward Contracts,” with Mark Grinblatt, Journal of Finance, 1996, pp. 1499-1522.
“Momentum Strategies,” with Louis Chan and Josef Lakonishok, Journal of Finance, 1996, pp.1681-1713.
Reprinted in The Psychology of Investing, 1999, Editors Lawrence E. Lifson and Richard A. Geist, John Wiley and Sons, New York.
“Short Horizon Return Reversals and the Bid-Ask Spread,” with Sheridan Titman, Journal of Financial Intermediation, 1995, pp. 116-132.
“Evaluating the Performance of Value Versus Glamour Stocks: The Impact of Selection Bias,” with Louis Chan and Josef Lakonishok, Journal of Financial Economics, 38 (3), 1995, pp. 269-296.
“Overreaction, Delayed Reaction and Contrarian Profits,” with Sheridan Titman, Review of Financial Studies, 8 (4), 1995, pp. 973-993.
“Pre-Tender Offer Share Acquisition Strategy in Takeovers,” with Bhagwan Chowdhry, Journal of Financial and Quantitative Analysis, 1994, pp. 117-129.
“Liquidity Effects of the Introduction of the S&P 500 Futures Contracts on the Underlying Stocks,” with Avanidhar Subrahmanyam, Journal of Business, 1993, pp. 171-187.
“Returns to Buying Winners and Selling Losers: Implications for Market Efficiency,” with Sheridan Titman, Journal of Finance, 1993, pp. 65-91.
Reprinted in Capital Asset Pricing Models, Editor, Robert Korajczyk, Risk Books, London, U.K.
“An Empirical Analysis of IPO Returns and Subsequent Equity Offerings,” with Mark Weinstein and Ivo Welch, Journal of Financial Economics, 1993, pp. 131-151.
“Treasury Auction Bids and the Salomon Squeeze,” Journal of Finance, 1993, pp. 1403-1420.
Reprinted in Microstructure: The Organization of Trading and Short Term Price Behavior, Editor: Hans Stoll, 1998, Edward Elgar Publishers, Glos, U.K. This book is part of a series titled The International Library of Critical Writings in Financial economics, Series Editor: Richard Roll.
“Investment Analysis and the Adjustment of Stock Prices to Common Information,” with Michael Brennan and Bhaskaran Swaminathan, Review of Financial Studies, 1993, pp. 799-824.
Reprinted in Financial Markets and Corporate Finance: Selected Papers of Michael J. Brennan, Michael J. Brennan (ed.), 1999, Financial Economists of the Twentieth Century Series, Edward Edgar Publishing Series, Northampton, MA.
“Does Market Risk Really Explain the Size Effect?,” Journal of Financial and Quantitative Analysis, 1992, pp. 337-351.
" Seasonality in Stock Price Mean Reversion: Evidence from the U.S. and the U.K," Journal of Finance, 1991, 1427-1444.
“Evidence of Predictable Behavior of Security Returns,” Journal of Finance, 1990, pp. 881-898.
Reprinted in Market Efficiency, Vol. I, Ed. Andrew Lo, Edward Elgar Publishers, London. This book is intended to be a collection of influential papers in the area of market efficiency in the last fifty years.