Published
Papers
1.
“Asymmetric Volatility and
Risk in Equity Markets,” 2000, (with Geert Bekaert), Review of Financial Studies,
13, 1-42.
2.
“The Determinants of
Asymmetric Volatility,” 2001, Review of Financial Studies,
14, 837-859.
3.
“An Analysis of Risk
Measures,” 2002, (with Zhijie Xiao), Journal
of Risk, 4 (4), 53-75.
4.
“A Generalized Partially
Linear Model of Asymmetric Volatility,” 2002, (with Zhijie Xiao), Journal
of Empirical Finance, 9, 287-319.
5.
“Time-Varying Informed and
Uninformed Trading Activities,” 2005, (with Qin Lei), Journal of Financial Markets,
8, 153-181.
6.
“Stock Market
Manipulations,” 2006, (with Rajesh Aggarwal), Journal of Business, 79 (4),
1915-1953. -- First place winner of the best paper award
– 2004 China International Conference in Finance ( Shanghai
), July 8-10, 2004
.
7.
“How Important Is
Intertemporal Risk for Asset Allocation?,” 2006 (with Bruno Gerard), Journal of Business,
79 (4), 2203-2241.
8.
“Financial Constraints Risk,”
2006, (with Toni Whited), Review of Financial Studies, 19, 531-559.
9.
“An Analysis of Risk for
Defaultable Bond Portfolios,” 2007, (with Hongtao
Guo and Zhijie Xiao), Journal
of Risk Finance,
8, 166-185.
10. “Predictable Behavior, Profits, and
Attention” 2007,
(with Mark Seasholes), Journal of Empirical Finance, 14, 590–610.
11. “Does Asymmetric Information Drive
Capital Structure Decisions?” 2009, (with Sreedhar Bharath and Paolo Pasquariello), Review of
Financial Studies, 22,
3211-3243.
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