Research Papers
- Stock Options as Lotteries (with Keith Vorkink)
This version: July 22, 2011
- Style-related Comovement:
Fundamentals or Labels?
2011, Journal of Finance, 66, 307-332.
Previously circulated under the title "Comovement Among Stocks with Similar Book-to-Market Ratios".
- Expected Idiosyncratic Skewness
2010, Review of Financial Studies, 23, 169-202 (with Todd Mitton and Keith Vorkink).
- Investor Flows and Stock Market Returns, 2009, Journal of Empirical Finance, 16, 87-100 (with Lu Zheng).
- How do Crises Spread? Evidence from Accessible and Inaccessible Stock Indices,
2006, Journal of Finance, 61, 957-1003 (with Kathy Yuan and Tomomi Kumagai).
- A Comparison of Partially Adaptive and Reweighted Least Squares Estimation,
2003, Econometric Reviews, 22, 115-134 (with James McDonald and Whitney Newey).
- Evaluating Forecasts of Correlation Using Option Pricing,
1998, Journal of Derivatives, 6, 18-38 (with Michael Gibson).
- Pitfalls in Tests for Changing Correlations
(with Michael Gibson and Mico Loretan)