Advance Refundings of Municipal Bonds (with Andrew Ang, Richard C. Green and Francis Longstaff) Forthcoming Journal of Finance
The Information Content of the Sentiment Index (with Steve Sibley, Yanchu Wang and Xiaoyan Zhang) Journal of Banking and Finance 2016, 62,164-179
Death and Jackpot: Why do individual Investors Hold Overpriced Stocks? (with Jennifer Conrad and Nishad Kapadia), 2014 Journal of Financial Economics, 113,3,455-475.
Value versus Growth: Time-varying Expected Stock Returns (with Huseyin Gulen and Lu Zhang), 2011, Financial Management , 40 (2), 381-407.
Build America Bonds, (with Andrew Ang and Vineer Bhansali) 2010, Journal of Fixed Income, 20, 1, 67-73.
Taxes on Tax-Exempt Bonds (with Andrew Ang and Vineer Bhansali) 2010, Journal of Finance, 65, 2, 565-601.
What Does Individual Option Volatility Smirk Tell Us About Future Equity Returns? (with Xiaoyan Zhang and Rui Zhao) 2010, Journal of Financial and Quantitative Analysis, vol. 45, issue 03, pages 641-662.
Risk, Uncertainty, and Asset Prices, (with Geert Bekaert and Eric Engstrom) 2009, Journal of Financial Economics, 91, 59-82.
An Intraday Analysis of the Relative Informational Efficiency of Stocks and Bonds, (with Chris Downing and Shane Underwood) 2009, Journal of Financial and Quantitative Analysis, 44, 1081-1102.
High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence, (with Andrew Ang, Robert Hodrick and Xiaoyan Zhang) 2009, Journal of Financial Economics, 91, 1, 1-23.
Interpreting the Value Effect Through the Q-theory: An Empirical Investigation previously circulated under the title Firm Investment and Expected Equity Returns 2008, Review of Financial Studies, 21, 4, 1767-1795.
Default Risk and
Equity Returns, (with Maria Vassalou) Journal of Finance,
2004, LIX(2): 831-868.
The Cross-Section of Volatility and Expected Returns, (with Andrew Ang, Robert Hodrick and Xiaoyan Zhang) 2006, Journal of Finance 51,1, 259-299.
Sector Investment Growth Rates and the Cross-Section of Equity Returns, (with Qing Li and Maria Vassalou) 2006, Journal of Business 79, 3, 1637-1665.
Downside Risk, (with Andrew Ang and Joe Chen) 2006, Review of Financial Studies, 19, 1191-1239.
Uncovered Interest Rate Parity and the Term Structure, (with Geert Bekaert and Min Wei) 2007, Journal of International Money and Finance , 26, 1038-1069.
Strategic Risk Shifting and the Idiosyncratic Volatility Puzzle: An Empirical Investigation with Zhiyao Chen, Ilya Strebulaev and Xiaoyan Zhang.
Anticipating Uncertainty: Straddles Around Earnings Announcements (with Xiaoyan Zhang)
Permanent Working papers
Equity Returns Following Changes in Default Risk: New Insights into the Informational Content of Credit Ratings, (with Maria Vassalou)
Is Liquidity Priced in Corporate Bond Market? (with Chris Downing and Shane Underwood)