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
404 287 0755
- Equity Misvaluation and Default Options, (with Assaf Eisdorfer and Alexei
Zhdanov), April 2019, Journal of
Finance 72(4), 845‒898.
- Cross-Sectional and
Time-Series Tests of Return Predictability: What is the Difference?,
(with Narasimhan Jegadeesh),
May 2018, Review of Financial
Studies 31(5), 1784‒1824.
- Are Capital
Market Anomalies Common to Equity and Corporate Bond Markets? An Empirical
Investigation, (with Tarun Chordia, Yoshio Nozawa, Avanidhar Subrahmanyam, and Qing Tong), August 2017, Journal
of Financial and Quantitative Analysis 52(4), 1301-1342.
- 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), 252-271.
Selection and Termination of Investment Managers by Plan Sponsors,
(with Sunil 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), 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!,
(with Pedro Santa-Clara), June 2003, Journal of Finance 58(3),
- Predicting the Equity Premium with
Dividend Ratios, (with Ivo Welch), May 2003, Management Science
Anomaly and Shareholder Risk: International Evidence, (with Assaf Eisdorfer and Alexei
Zhdanov), Fall 2018, Financial Management 47(3), 553‒581.
- 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.
- Cross-Sectional Asset Pricing with
Individual Stocks: Betas versus Characteristics, (with Tarun Chordia and Jay Shanken),
- No Size Anomalies in U.S. Bank
Stock Returns, July 2017.
Correlations, (with Tarun Chordia and Qing
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),
of Stock Return Volatility from GARCH Models, 2000.
Last modified: June 2019