Papers by Date Published

2013

Time Series Momentum (with Yao Hua Ooi and Lasse Pedersen), Journal of Financial Economics, 2012, 104(2), pp. 228-50. (Return Series for TSMOM portfolio)

The Political Economy of Financial Regulation: Evidence from U.S. State Usury Laws in the 19th Century (with Efraim Benmelech), Journal of Finance, 2010, 65(3), pp. 1029-73.

Long-Run Stockholder Consumption Risk and Asset Returns (with Christopher J. Malloy and Annette Vissing-Jørgensen), Journal of Finance, 2009, 64(6), pp. 2427-79. (Consumption Series)
Catastrophic Risk and Credit Markets (with Mark J. Garmaise), Journal of Finance, 2009, 64(2), pp. 657-707.

Bank Mergers and Crime: The Real and Social Effects of Credit Market Competition (with Mark J. Garmaise) Journal of Finance, 2006, 61(2), pp. 495-538.

Do Liquidation Values Affect Financial Contracts? Evidence from Commercial Loan Contracts and Zoning Regulation (with Efraim Benmelech, Mark J. Garmaise), The Quarterly Journal of Economics, 2005, 120(3), pp. 1121.
Market Frictions, Price Delay, and the Cross-Section of Expected Returns (with Hou Kewei), Review of Financial Studies, 2005, 18(3), pp. 981. * Winner, Q-group research grant award.
Testing Agency Theory with Entrepreneur Effort and Wealth (with Marianne P. Bitler and Annette Vissing-Jørgensen), Journal of Finance, 2005, 60(Issue 2), pp. 539. * Recognized as Distinguished Paper for the 2005 Brattle Prize, awarded to the best corporate finance paper published in the Journal of Finance.

Predicting Stock Price Movements from Past Returns: The Role of Consistency and Tax-Loss Selling (with Mark Grinblatt) Journal of Financial Economics, 2004, 71(3), pp. 541-79.
Confronting Information Asymmetries: Evidence from Real Estate Markets (with Mark J. Garmaise), Review of Financial Studies, 2004, 17(2), pp. 405-37. * Winner, 2005 Barclays Global Investors (BGI) Michael Brennan Award for the best paper published in the Review of Financial Studies (second prize).

An Analysis of Covariance Risk and Pricing Anomalies, Review of Financial Studies, 2003, 16(2), pp. 417-57.
Informal Financial Networks: Theory and Evidence (with Mark J. Garmaise), Review of Financial Studies, 2003, 16(4), pp. 1007-40. * Winner, 2004 Barclays Global Investors (BGI) Michael Brennan Award for the best paper published in the Review of Financial Studies (first prize).

The Returns to Entrepreneurial Investment: A Private Equity Premium Puzzle? (with Annette Vissing-Jørgensen), American Economic Review, 2002, 92(4), pp. 745-78.

The Geography of Investment: Informed Trading and Asset Prices (with Joshua D. Coval), Journal of Political Economy, 2001, 109(4), pp. 811-41.
Mutual Fund Performance: An Empirical Decomposition into Stock-Picking Talent, Style, Transactions Costs, and Expenses: Discussion, Journal of Finance, 2000, 55(4, Papers and Proceedings of the Sixtieth Annual Meeting of the American Finance Association, Boston, Massachusetts, January 7-9, 2000), pp. 1695-703.
Do Industries Explain Momentum? (with Mark Grinblatt), Journal of Finance, 1999, 54(4, Papers and Proceedings, Fifty-Ninth Annual Meeting, American Finance Association, New York, New York, January 4-6, 1999), pp. 1249-90.
Home Bias at Home: Local Equity Preference in Domestic Portfolios (with Joshua D. Coval), Journal of Finance, 1999, 54(6), pp. 2045-73. * Winner, 2000 Smith-Breeden Prize for the best paper published in the Journal of Finance (first prize).
Asset Pricing and Fund Investment Anomalies, Ph.D Dissertation, University of California, Los Angeles, 1998.

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