Last Update: Apr 2013 |
What drives asset return in both short-term (liquidity shock, investor sentiment, limited attention, etc.) and long-term (cashflow and discount rate news) Publications: “A Closer Look at the Short-Term Return Reversal” (with Qianqiu Liu and Ernst Schaumburg), accepted at Management Science “What Drives Stock Price Movement” (with Long Chen and Xinlei Zhao), Review of Financial Studies, Vol 26, 841-876 (2013), lead article “Dividend Smoothing and Predictability” (with Long Chen and Richard Priestley), Management Science, Vol 58, 1834-1855 (2012) “CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence” (with Re-Jin Guo and Ravi Jagannathan), Journal of Financial Economics, Vol 103, 204-220 (2012) “In Search of Attention” (with Joey Engelberg and Pengjie Gao), Journal of Finance, Vol 66, 1461-1499 (2011), lead article "The Disparity between Long-term and Short-term Forecasted Earnings Growth" (with Mitch Warachka), Journal of Financial Economics, Vol 100, 424-442 (2011) "Impatient Trading, Liquidity Provision, and Stock Selection by Mutual Funds"(with Pengjie Gao and Ravi Jagannathan), Review of Financial Studies, Vol 24, 675-720 (2011) "Clientele Change, Liquidity shock, and the Return on Financially Distressed Stocks" (with Pengjie Gao), Journal of Financial and Quantitative Analysis, Vol 45, No. 1, 27-48 (2010) “Cashflow Risk, Systematic Earnings Revisions, and the
Cross-Section of Stock Returns” (with Mitch Warachka), Journal of Financial Economics, Vol 94, 448-468 (2009) Working Papers: “The Sum of All FEARS: Investor Sentiment and Asset Prices” (with Joey Engelberg and Pengjie Gao), Second round at Review of Financial Studies “Exchange Traded Funds and Asset Return Correlations” (with Sophie Shive), to be presented at the 2013 China International Conference in Finance and 2014 AFA annual meetings “What Moves Aggregate Investment?” (with Long Chen and Borja Larrain) “In Search of Fundamentals” (with Joey Engelberg and Pengjie Gao) “Building Castles in the Air: Evidence from Industry IPO Waves” (with Ravi Jagannathan and Jianfeng Shen) Old Working Papers: “The Pricing of Volatility Risk across Asset Classes” (with Ernst Schaumburg) Course Taught @ Mendoza: Fixed Income Securities--- FIN 40660 / FIN 70650 Teaching Materials: “Convertible Bonds of Countrywide Financial Corporation” (with Ravi Jagannathan), Harvard Business School Case, Prod # KEL323-PDF-ENG Teaching Notes Prepared for FINC 460 (MBA Investment), Kellogg School of Management
|