Papers
Publications
The Benefit of Voluntary Costly Disclosure of Redundant Information, Journal of Economic Theory, 2023, 214:105743 (with Snehal Banerjee, Bradyn Breon- Drish, and Ilan Kremer)
Lead Article
Machine-Learning the Skill of Mutual Fund Managers, Journal of Financial Economics, 2023, 150(1), 94-138 (with Zihan Lin, Markus Pelger, and Stijn Van Nieuwerburgh)
Editor’s choice for the issue
Harvard Law School Forum of Corporate Governance and Financial Regulation Column, 31 October 2023
NBER Digest, 2022, 5 (May 2)
Contracting in Peer Networks, Journal of Finance, 2023, 78(5), 2725-2778 (with Peter DeMarzo)
o Best paper prize, 2016 Utah Winter Finance Conference
Filing Speed, Information Leakage, and Price Formation, Review of Accounting Studies, 2023, 28(3), 1618-1656 (with Jeffrey L. Callen and Dan Segal)
The Real Side of the High-Volume Return Premium, Management Science, 2022, 68(2), 1426-1449 (with Doron Israeli and Suhas A. Sridharan)
Impact of Managerial Commitment on Risk Taking with Dynamic Fund Flows , Management Science, 2019, 65(7), 3174-3195 (with Stathis Tompaidis and Ti Zhou)
Are Mutual Fund Managers Paid for Investment Skill?, Review of Financial Studies , 2018, 31(2), 715-772 (with Markus Ibert, Stijn Van Nieuwerburgh and Roine Vestman)
o Vox Column, 08 September 2017
o Harvard Law School Forum of Corporate Governance and Financial Regulation Column, 02 October 2017
WSJ Category Kings - the impact of media attention on consumer and mutual fund investment decisions, Journal of Financial Economics, 2017, 123 (2), 337-356 (with Robert Parham)
o Vox Column, 06 March 2016
Are Retail Traders Compensated for Providing Liquidity?, Journal of Financial Economics, 2016, 120, 146-168 (with Jean-Noël Barrot and David Sraer)
o Eurofidai best paper award, 2016
Asset Return Predictability in a Heterogeneous Agent Equilibrium Model, Quarterly Journal of Finance , 2015, 5 (2), (with David Chapman, Murray Carlson and Hong Yan)
The Delegated Lucas-Tree, Review of Financial Studies, 2013, 26 (4), 929-984 (with Péter Kondor)
Why Do Institutional Investors Chase Return Trends?, Journal of Financial Intermediation, 2012, 21(4), 694-721 (with Aydogan Alti and Uzi Yoeli)
Individual Investor Trading and Return Patterns around Earnings Announcements, Journal of Finance, 2012, 67, 639-680(with Shuming Liu, Gideon Saar and Sheridan Titman)
The High Volume Return Premium: Cross-Country Evidence, Journal of Financial Economics, 2012,103, 255-279 (with Arzu Ozoguz and Laura Starks)
o 2003 FMA European Meeting Best Paper Award
Equilibrium Prices in the presence of Delegated Portfolio Management, Journal of Financial Economics, 2011, 101, 264-269 (with Domenico Cuoco)
Mutual Fund Portfolio Choice in the Presence of Dynamic Flows, Mathematical Finance, 2010, 20 (2), 187-227 (with Julien Hugonnier)
Price drift as an outcome of differences in higher order beliefs , Review of Financial Studies, 2009, 22, 3707-3734 (with Snehal Banerjee and Ilan Kremer)
Individual Investor Trading and Stock Returns, Journal of Finance, 2008, 63 (1), 273-310 (with Gideon Saar and Sheridan Titman)
o Finalist for 2008 Smith Breeden Prize for best paper published by the Journal of Finance
o Glucksman Institute Research Prize Second Place Award for best Stern School of Business research papers in finance, 2004
Technological Innovation and Real Investment Booms and Busts, Journal of Financial Economics, 2007, 85(3), 735-754 (with Peter DeMarzo and Ilan Kremer)
Efficient Computation of Hedging Parameters for Discretely Exercisable Options, Operations Research, 2008, 56(4), 811-826 (with Stathis Tompaidis and Alex Zemlianov)
o Lead Article
Relative Wealth Concerns and Financial Bubbles, Review of Financial Studies, 2008, 21(1), 19-50 (with Peter DeMarzo and Ilan Kremer)
Tax Management Strategies with Multiple Risky Assets, Journal of Financial Economics, 2006, 80(2), 243-291(with Michael Gallmeyer and Stathis Tompaidis)
o Lead Article
So What Orders Do Informed Traders Use?, Journal of Business, 2006,79(4), 1867-1913 (with Hong Liu)
o Geewax, Terker Company First Prize as best paper published in Wharton's Rodney L. White Center working paper series, 1998
Diversification as a Public Good: Community Effects in Portfolio Choice, Journal of Finance, 2004, 59(4), 1677-1715 (with Peter DeMarzo and Ilan Kremer)
o Nominated for 2004 Smith Breeden Prize as best paper published by the Journal of Finance
o Featured in the Washington Post
Leaning for the Tape: Evidence of Gaming Behavior In Equity Mutual Mutual Funds, Journal of Finance, 2002, 57(2), 661-693 (with Mark Carhart, David Musto and Adam Reed).
o Nominated for 2002 Smith Breeden Prize as best paper published by the Journal of Finance
o Featured in the Wall Street Journal, New York Times, Washington Post, and others
The High-Volume Return Premium, Journal of Finance, 2001, 56(3), 877-920 (with Simon Gervais and Dan Mingelgrin)
Competitive Optimal Online Leasing, Algorithmica, 1999, 25 (1), 116-140 (with R. El-Yaniv and N. Linial)
Working Papers and Work in Progress
Market Power in the Securities Lending Market, working paper, 2022 (with Shuaiyu Chen, and Christian Opp)
Best paper award in Corporate Finance and Financial Intermediation, 2023 Annual Northern Finance Association Meeting
Best paper award, 2023 Annual Conference in Financial Economics Research
Hiding Behind the Window Blinds: Strategic Trading under Portfolio Partial Disclosure, working paper, 2022 (Jennifer (Jie) Li, Donghui Shi, and Qi Zhang)
Asset pricing best paper award, 2022 China Financial Research Conference
Firm Characteristics and Stock Price Levels: A Long-Term Discount Rate Perspective , working paper, 2021 (with Yixin Chen)
Unmasking Mutual Fund Derivative Use, under revision for resubmission to the Review of Financial Studies, 2022 (with Pingle Wang)
o Vox Column, 15 March 2023
Intermediated Asymmetric Information, Compensation and Career Prospects, under revision for resubmission to the American Economic Review, 2020 (with Dmitry Orlov)
Advertising and Mutual Funds: From Families to Individual Funds, permanent working paper, 2009 (with Steven Gallaher and Laura Starks)
TWC best paper award, 2010 China International Conference in Finance