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Articles
1. "A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets" (w/ Jeremy C. Stein;, Harvard University) Journal of Finance, December 1999.
2. "Trading and Returns under Periodic Market Closures" (w/ Jiang Wang, MIT) Journal of Finance, February 2000.
3. "Bad News Travels Slowly: Size, Analyst Coverage and the Profitability of Momentum Strategies" (w/ Terence Lim, Goldman Sachs and Jeremy C. Stein, Harvard University) Journal of Finance, February 2000.
4. "A Model of Returns and Trading in Futures Markets" Journal of Finance, April 2000.
5. "Security Analysts' Career Concerns and Herding of Earnings Forecasts" (w/ Jeffrey Kubik, Syracuse University and Amit Solomon, DJ Greene) Rand Journal of Economics, Spring 2000.
6. "Forecasting Crashes: Trading Volume, Past Returns and Conditional Skewness in Stock Prices" (w/ Joseph Chen, USC and Jeremy C. Stein, Harvard University) Journal of Financial Economics, September 2001.
7. "Strategic Trading and Learning about Liquidity" (w/ Sven Rady, University of Munich)
Journal of Financial Markets, November 2002.
8. "Breadth of Ownership and Stock Returns" (w/ Joseph Chen, USC, Jeremy Stein, Harvard University)
Journal of Financial Economics, November 2002.
9. "Analyzing the Analysts: Career Concerns and Biased Earnings Forecasts" (w/ Jeffrey Kubik, Syracuse University)
Journal of Finance, February 2003.
10. "Differences of Opinion, Short-Sales Constraints and Market Crashes" (w/ Jeremy C. Stein, Harvard University)
Review of Financial Studies, Summer 2003. (Previously circulated as "Differences of Opinion, Rational Arbitrage and Market Crashes")
11. "Social Interaction and Stock Market Participation" (w/ Jeffrey Kubik, Syracuse University and Jeremy Stein, Harvard University)
Journal of Finance, February 2004.
12. "Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization"
(w/ Joseph Chen, USC, Ming Huang, Stanford University, and Jeffrey D. Kubik, Syracuse University)
American Economic Review, December 2004
13. "Talking up Liquidity: Insider Trading and Investor Relations" (w/ Ming Huang, Stanford University)
Journal of Financial Intermediation, January 2005.
14. "Thy Neighbor's Portfolio: Word-of-Mouth Effects in the Holdings and Trades of Money Managers" (w/ Jeremy C. Stein, Harvard University and Jeffrey D. Kubik, Syracuse University)
Journal of Finance, December 2005.
15. "Asset Float and Speculative Bubbles" (w/ Jose Scheinkman and Wei Xiong, Princeton University)
Journal of Finance, June 2006.
16. "Do Industries Lead Stock Markets?" (w/ Walter Torous, UCLA and Ross Valkanov, UCSD)
Journal of Financial Economics, February 2007.
17. "Simple Forecasts and Paradigm Shifts" (w/ Jeremy Stein, Harvard University and Jialin Yu, Columbia University)
Journal of Finance, June 2007.
18. "Disagreement and the Stock Market" (w/ Jeremy Stein, Harvard University)
Journal of Economic Perspectives, Spring.
19. "Firms as Buyers of Last Resort" (w/ Jialin Yu, Columbia University and Jiang Wang, MIT)
Journal of Financial Economics, April 2008.
20. "Advisors and Asset Prices: A Model of the Origins of Bubbles" (w/ Jose Scheinkman and Wei Xiong Princeton University)
Journal of Financial Economics, August 2008.
21. "The Only Game in Town: Stock-Price Consequences of Local Bias" (w/ Jeffrey Kubik, Syracuse University and Jeremy Stein, Harvard University)
Journal of Financial Economics, October 2008.
22. "The Price of Sin: The Effects of Social Norms on Markets" (w/ Marcin Kacperczyk, NYU)
Journal of Financial Economics, July 2009.
23. "Gone Fishin': Seasonality in Trading Activity and Asset Prices" (w/ Jialin Yu, Columbia University)
Journal of Financial Markets, November 2009.
24. "Competition and Bias" (w/ Marcin Kacperczyk, NYU)
forthcoming Quarterly Journal of Economics.
25. "Red and Blue Investing: Values and Finance" (w/ Leonard Kostovetsky, Rochester)
forthcoming Journal of Financial Economics.
26. "Do Arbitrageurs Amplify Economic Shocks?" (w/ Tal Fishman, Princeton University and Jeffrey Kubik, Syracuse University)
(REVISED! First Draft: August 2006, This Draft: June 2011) forthcoming Journal of Financial Economics.
Supplemental Appendix: "Internet Appendix for Arbs Amplify"
Price overshooting of good earnings news as short-sellers are forced to cut their positions. A first systematic study of potentially destabilizing arbitrage.
27. "Outsourcing Mutual Fund Management: Firm Boundaries, Incentives and Performance" (w/ Joseph Chen, USC and Jeffrey Kubik, Syracuse University)
(REVISED! First Draft: November 2004, This Draft: May 2011) forthcoming in Journal of Finance.
Supplemental Appendix: "Internet Appendix for Outsourcing"
Outsourced funds underperform in-house funds because firm boundaries make it more difficult for a family to extract output from an outsourced relationship.
28. "What Futures Market Interest Tell Us About the Macroeconomy and Asset Prices?" (w/ Motohiro Yogo, Wharton)
(REVISED! First Draft: September 2008, This Draft: March 2010. This draft contains our earlier work on commodities.) forthcoming in Journal of Financial Economics.
Changes in futures market open interest highly pro-cyclical and an unexpected and remarkable predictor of prices in commodity, currency, bond and stock markets against all known benchmarks.
Book Chapters and Comments
29. "Discusion Comments of Momentum and Stock Return Autocorrelation" (w/ Joseph Chen, USC)
Review of Financial Studies, March 2002
30. "Transparency: Analysts' Career Concerns and Biased Forecasts,"
MBA in A Box, May 2004.
31. "Behavioral Finance: An Introduction to Special Issue of EFMJ,"
European Financial Management Journal, June 2007.
Working Papers
32. "Do Hedge Funds Profit from Mutual Fund Distress?" (w/ Joseph Chen, USC, Samuel Hanson, HBS, and Jeremy C. Stein, Harvard University)
(First Draft: September 2007, This Draft: April 2008)
33. "Stochastic Convenience Yield, Optimal Hedging and the Term Structure of Open Interest and Futures Prices"
(July 2001)
34. "Ordering and Revenue in Art Auctions" (w/ Jeffrey Kubik, Syracuse, Ilan Kremer, Stanford, Jianping Mei, NYU, Michael Moses, NYU)
(First Draft: June 2008, This Draft: April 2009)
35. "Yesterday's Heroes: Compensation and Creative Risk-Taking" (w/ Ing-Haw Cheng University of Michigan and Jose Scheinkman, Princeton University)
(First Draft: July 2009, This Draft: June 2010)
Bear Stearns, Lehman, Merrill Lynch are outliers in terms of payouts to executives normalized by market capitalization and took the most risks. Institutional investors loved them.
36. "An Epidemiological Approach to Opinion and Price-Volume Dynamics" (w/ Dong Hong, Singapore Management University and Andrei Ungureanu, Princeton University)
(First Draft: March 2010)
The canonical network model of virus transmission embedded in a standard asset pricing and trading framework generates new insights on price momentum and earnings announcement drift.
37. "Speculating on Home Improvements" (w/ Hyun-Soo Choi, Princeton University and Jose Scheinkman, Princeton University)
(NEW! First Draft: September 2010)
Homeowners over-invest in home improvements because of speculative motive.
38. "Financial Constraints on Corporate Goodness" (w/ Jeffrey D. Kubik, Syracuse University and Jose Scheinkman, Princeton University)
(NEW! First Draft: January 2011)
We solve the endogeneity problem that has plagued the corporate social responsibility literature: do firms do well by doing good or are they good because they do well?
39. "Quiet Bubbles" (w/ David Sraer, Princeton University)
(NEW! First Draft: January 2011, This Draft: June 2011)
Credit payoffs are less sensitive to disagreement about underlying asset value than equity since its upside is capped. Hence credit bubbles are quieter than equity bubbles---high price but lower price volatility and share turnover.
40. "Rules and Regression Discontinuities in Asset Markets" (w/ Yen-cheng Chang, Shanghai Advanced Institute for Finance)
(NEW! First Draft: June 2011)
Stock 1001 of Russell stock market indices has discontinuously higher institutional ownership, price, short interest ratio, liquidity, covariance with the market but not price volatility compared to Stock 1000. See Figure 1!
41. "When Some Investors Head for the Exit" (w/ Wenxi Jiang, Yale University)
(NEW! First Draft: November 2011)
The exit rate of stocks among both equity and hedge funds is tied to binding short-sales constraints and forecasts low risk-adjusted expected returns.
42. "Trading for Status" (w/ Wenxi Jiang, Yale University and Bin Zhao, Shanghai Advanced Institute for Finance)
(NEW! First Draft: November 2011)
A novel experimental design from China to identify the effect of status preferences on asset pricing and trading: status leads to excessive trading of and high prices for local stocks as investors adjust their portfolios to catch up with the Wangs.
43. "Do Managers Do Good With Other Peoples' Money?" (w/ Ing-Haw Cheng, University of Michigan and Kelly Shue, University of Chicago)
(NEW! First Draft: November 2011)
Two quasi-experiments supporting agency hypothesis: (1) 2003 Dividend Tax Cut led to bigger drop in goodness scores for low compared to high insider ownership firms; (2) firms in which governance proposals just passed the 50% cut-off had slower growth of goodness scores compared to firms in which they just failed.
44. "Speculative Betas" (w/ David Sraer, Princeton University)
(NEW! First Draft: December 2011)
The CAPM holds when aggregate uncertainty or disagreement as measured by security analysts’ earnings forecast dispersion is low. But the Security Market Line is initially increasing and then decreasing with beta when disagreement is high. High beta assets are more sensitive to aggregate disagreement than low beta ones and be over-priced due to divergent opinions and costly-short selling.
45. "Do Security Analysts Discipline Credit Rating Agencies?" (w/ Kingsley Fong, UNSW, Marcin Kacperczyk, NYU, Jeffrey D. Kubik, Syracuse University)
(NEW! First Draft: December 2011)
Security analysts discipline credit rating agencies. Stocks with more coverage have lower credit ratings. Causality established using randomization associated with a decrease in analyst coverage due to mergers of brokerage houses. |
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发表于 2012-5-10 14:08:24
发表于 2012-5-10 14:10:52
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