of Finance, Faculty of Business and Economics
University of Lausanne
and Swiss Finance Institute
1015 Lausanne, Switzerland
Tel: +41 21 692 3676
Fax: +41 21 692 3435
404 287 0755
- Cross-Sectional and Time-Series
Tests of Return Predictability: What is the Difference?, (with Narasimhan Jegadeesh),
October 2017, forthcoming Review of
- Are Capital
Market Anomalies Common to Equity and Corporate Bond Markets? An Empirical
Investigation, (with Tarun Chordia, Yoshio Nozawa, Avanidhar Subrahmanyam,
Tong), August 2017, Journal of Financial and Quantitative Analysis
- Buyers Versus Sellers:
Who Initiates Trades And When?, (with Tarun
Chordia and Narasimhan Jegadeesh),
October 2016, Journal of Financial and Quantitative Analysis
Is Momentum an
Echo?, (with Sunil
Wahal), December 2015, Journal of Financial and Quantitative Analysis 50(6), 1237-1267.
in a Global World, (with Jeff Busse and Sunil Wahal), April 2014, Review of Finance 18(2), 561-590. [Spängler
IQAM Best Paper in Investments Prize at the Review of Finance]
- Performance Persistence in Institutional
Investment Management, (with Jeff Busse and Sunil Wahal), April 2010, Journal of Finance
- Cross-Section of Option Returns and
Volatility, (with Alessio Saretto),
November 2009, Journal of Financial Economics 94(2), 310-326.
- How Common are
Common Return Factors Across Nyse and Nasdaq?, (with Christophe Pérignon and Christophe
Villa), December 2008, Journal of Financial Economics 90(3),
- The Selection and Termination of Investment
Managers by Plan Sponsors, (with Sunil Wahal), August 2008, Journal of Finance
- A Comprehensive Look at the Empirical
Performance of Equity Premium Prediction (with Ivo Welch), July 2008, Review
of Financial Studies 21(4) 1455-1508. [Michael Brennan Award for Best
Paper at the Review of Financial Studies]
- The Impact of Trades on Daily Volatility,
(with Doron Avramov and Tarun
Chordia), Winter 2006, Review of
Financial Studies 19(4), 1241-1277.
- Liquidity and
Autocorrelations in Individual Stock Returns, (with Doron
Avramov and Tarun
Chordia), October 2006, Journal of Finance 61(5), 2365-2394.
- A Simulation Approach to
Dynamic Portfolio Choice with an Application to Learning About Return
Predictability, (with Michael W. Brandt, Pedro Santa-Clara,
and Jonathan R.
Stroud), Fall 2005, Review of Financial Studies 18(3),
- Demographics, Stock Market Flows, and
Stock Returns, March 2004, Journal of Financial and Quantitative
Analysis 39(1), 115-142.
- Idiosyncratic Risk Matters!,
Santa-Clara), June 2003, Journal of Finance 58(3), 975-1007.
- Predicting the Equity Premium with
Dividend Ratios, (with Ivo Welch), May 2003, Management Science
- Bad Habits and Good
Practices, (with Antti
Ilmanen and David Kabiller),
2015, Journal of Portfolio
Management 41(4), 97‒107.
- Asset Allocation and Bad Habits,
(with Andrew Ang
and Antti Ilmanen), Fall 2014, Rotman International Journal of Pension
Management 7(2), 16‒27.
- Assessing Project Risk, (with Antonio Bernardo and Bhagwan
2012, Journal of Applied Corporate
Finance 24(3), 94‒100.
- Empirical Cross-Sectional Asset Pricing: A
Survey, March 2012, Financial
Markets and Portfolio Management 26(1), 3‒38.
(invited non-refereed article)
- Liquidity and the
Post-Earnings-Announcement-Drift, (with Tarun
Chordia, Gil Sadka, Ronnie Sadka,
Shivakumar), July/August 2009, Financial
Analyst Journal 65(4), 18-32.
- Growth Options, Beta, and the Cost of
Capital, (with Antonio
Bernardo and Bhagwan Chowdhry), Summer 2007, Financial Management 36(2), 5-17.
- Understanding the Financial
Crisis in Asia, (with Bhagwan Chowdhry),
May 2000, Pacific-Basin Finance Journal 8(2), 135-152.
Permanent Working Papers
modified: October 16, 2017