|
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, forthcoming. Technical Appendix
"Time-Varying Liquidity Risk and the Cross Section of Stock Returns" (with Akiko Watanabe) Review of Financial Studies, forthcoming.
"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. Technical Appendix. [2] "Equity Issuance and Expected Returns: Theory and New Evidence," 2007 (with Matthew Spiegel). [3] "Investor Expectations, Business Conditions, and the Pricing of Beta-Instability Risk," 2007 (with William N. Goetzmann and Akiko Watanabe). [4] " 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 . [5] "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 . [6] “Liquidity and Conditional Heteroskedasticity in Stock Returns,” 2005 (with Akiko Watanabe). [7] “Value Risk in International Equity Markets,” 2005, with Akiko Watanabe. |
|
| Last modified 6/1/2008 |
||