Publication:

"Taxes on Tax-Exempt Bonds" (with Andrew Ang and Vineer Bhansali) forthcoming, Journal of Finance

"Risk, Uncertainty, and Asset Prices," (with Geert Bekaert and Eric Engstrom) forthcoming Journal of Financial Economics

"An Intraday Analysis of the Relative Informational Efficiency of Stocks and Bonds," (with Chris Downing and Shane Underwood) forthcoming Journal of Financial and Quantitative Analysis

“High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence,” (with Andrew Ang, Robert Hodrick and Xiaoyan Zhang) forthcoming Journal of Financial Economics

“Interpreting the Value Effect Through the Q-theory: An Empirical Investigation ” previously circulated under the title  "Firm Investment and Expected Equity Returns"

forthcoming Review of Financial Studies

“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.

Working papers

“Equity Returns Following Changes in Default Risk: New Insights into the Informational Content of Credit Ratings,” (with Maria Vassalou)

"Value versus growth: Time-varying expected stock returns" (with Huseyin Gulen and Lu Zhang)

“Is Liquidity Priced in Corporate Bond Market?” (with Chris Downing and Shane Underwood)