My research interests include asset pricing and market microstructure, both theoretical and empirical. You can see statistics about my research papers at my SSRN author home page .
Home Publications

"Strategic Disclosure and Stock Returns: Theory and Evidence from U.S. Cross-listing," (with Shingo Goto and Yan Xu), Review of Financial Studies, 2009, 22 (4), 1585-1620. Technical Appendix

  • 2007 FMA Best Paper Award in Financial Institutions

"Time-Varying Liquidity Risk and the Cross Section of Stock Returns" (with Akiko Watanabe), Review of Financial Studies, 2008, 21 (6), 2449-2486.

  • First place, 2006 Turnaround Management Association Paper Competition

"Price Volatility and Investor Behavior in an Overlapping-Generations Model with Information Asymmetry," Journal of Finance, February 2008, 63(1), 229-272. Technical Appendix

 

Working Papers

[1] " A Model of Stochastic Liquidity," 2008. Invited for fourth-round review, Review of Financial Studies. Technical Appendix.

[2] "Dynamic Corporate Capital Stocks: Cross-sectional and Inter-temporal Stock Return Patterns," 2009 (with Jacob Sagi and Matthew Spiegel, formerly titled "Equity Issuance and Expected Returns: Theory and New Evidence").

[3] "Investor Expectations, Business Conditions, and the Pricing of Beta-Instability Risk," 2008 (with William N. Goetzmann and Akiko Watanabe).

[4] "Product Market Competition and Equity Returns," 2009 (with Evgeny Lyandres). Coming soon!

[5] " Price Impact Costs and the Limit of Arbitrage," 2005, Yale ICF Working Paper No. 00-66 (with Zhiwu Chen and Werner Stanzl). Statistics available on SSRN .

[6] "Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows," 2005, NBER #9470, Yale ICF Working Paper No. 02-09 (with Stephen J. Brown, William N. Goetzmann, Takato Hiraki, and Noriyoshi Shiraishi). Statistics available on SSRN .

[7]  “Liquidity and Conditional Heteroskedasticity in Stock Returns,” 2005 (with Akiko Watanabe).

[8]  “Value Risk in International Equity Markets,” 2005, with Akiko Watanabe.


Last modified

6/16/2009