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CV
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Research Area
Empirical Asset Pricing, Liquidity,
Institutional Investment Behavior, Learning
Publications
 | Electricity Forward Prices: A High Frequency Empirical Analysis,
with Francis Longstaff, 2004. Journal of Finance 59,1743-1776.
full paper (pdf) |
| Estimation and Test of A Simple Model of Inter-temporal Capital
Asset Pricing, with Michael Brennan and Yihong Xia, 2004.
Journal of Finance 59, 1877-1900. full paper (pdf)
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Working Papers
| Institutional Equity Flows, Liquidity Risk and Asset Pricing, 2005.
full paper (pdf) |
| Institutional Equity Investment, Asymmetric Information,
and Credit Spreads, with Gaiyan Zhang, 2006.
full paper (pdf) |
| Asset Pricing and Mispricing, with Michael Brennan, 2006.
full paper (pdf) |
Work in Progress
| Broker's Investment and Cross-sectional Stock Returns |
| Systematic Risk in Co-movement in Institutional Ownership
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