of Finance, Faculty of Business and Economics
Lausanne and Swiss Finance Institute
Building Extranef 226
1015 Lausanne, Switzerland
Tel: +41 21 692 3676
Fax: +41 21 692 3435
Voip: +1 404 287 0755
- Is the
Cross-Section of Expected Bond Returns Influenced by Equity Return
Predictors?, (with Tarun
Nozawa, Avanidhar Subrahmanyam,
Tong), 2017, forthcoming Journal of Financial and Quantitative
- Buyers Versus
Sellers: Who Initiates Trades And When?, (with Tarun Chordia
Jegadeesh), October 2016, Journal of Financial and Quantitative
Analysis 51(5), 1467-1490.
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 65(2), 765-790.
- Cross-Section of Option Returns and
Volatility, (with Alessio
Saretto), November 2009, Journal of Financial Economics
- How Common are Common Return Factors
Across Nyse and Nasdaq?,
Pérignon and Christophe
Villa), December 2008, Journal of Financial Economics 90(3),
Selection and Termination of Investment Managers by Plan Sponsors,
Wahal), August 2008, Journal of Finance 63(4) 1805-1847.
- 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]
Impact of Trades on Daily Volatility, (with Doron
Avramov and Tarun
Chordia), Winter 2006, Review of Financial Studies 19(4),
- Liquidity and
Autocorrelations in Individual Stock Returns, (with Doron Avramov and
Tarun Chordia), October 2006, Journal of Finance 61(5),
- 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 Chowdhry),
Summer 2012, Journal of Applied
Corporate Finance 24(3), 94‒100.
Cross-Sectional Asset Pricing: A Survey, March 2012, Financial Markets and Portfolio
Management 26(1), 3‒38. (invited non-refereed
and the Post-Earnings-Announcement-Drift, (with Tarun Chordia, Gil Sadka, Ronnie Sadka, and Lakshmanan 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.
Option and the Cross-Section of Stock Returns,” (with Assaf Eisdorfer
and Alexei Zhdanov), September
- Cross-Sectional and Time-Series
Tests of Return Predictability: What is the Difference?, (with Narasimhan
Jegadeesh), May 2015.
- Cross-Sectional Asset Pricing with
Individual Stocks: Betas versus Characteristics, (with Tarun Chordia and Jay Shanken), January 2015.
- No Size Anomalies in U.S. Bank
Stock Returns, January 2014.
Anomaly and Shareholder Risk: International Evidence, (with Assaf Eisdorfer
and Alexei Zhdanov), December
Correlations, (with Tarun Chordia
Tong), April 2011.
- A Note on
“Predicting Returns with Financial Ratios,” (with Ivo Welch), 2003.
- The Long-Run Stock Performance
of Financially Distressed Firms: An Empirical Investigation, (with Matthias Kahl and Walter N. Torous), 2003.
of Stock Return Volatility from GARCH Models, 2000.
Last modified: June 9, 2017