Papers

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• "Non-Standard Errors" (Version 23-Nov-2021) 
  
  • Group project with 164 research teams
  • In aggregate, the teams consisted of 343 authors from 34 countries
  • List of authors and institutions for above manuscript
  • The "ASU team" consisted of myself and Ariel Lohr (PhD student on the market)
  • Paper is currently under review

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• "Asset Price Dynamics with Limited Attention" (Version 08-Dec-2020 with T. Hendershott, A. Menkveld, and R. Praz).
  • Accepted at Review of Financial Studies
  • Associated "Internet Appendix" for above paper.

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• "Common Factors, Information, and Holdings Dispersion" (with P. Fontaine and S. Jimenez-Garces) 2018, Review of Finance 22 (4), 1441-1467.
• “Liquidity Provision and Stock Return Predictability” (with T. Hendershott) 2014, Journal of Banking and Finance 14, 140-151.
•  “Investing in What You Know: The Case of Individual Investors and Local Stocks” (with N. Zhu) 2013, Journal of Investment Management 11 (1), 20-30.  Special Distinction Award, JOIM 2013.
•  “Risk and the Cross-Section of Stock Returns” (with R. Burlacu, S. Jimenez-Garces, and P. Fontaine) 2012, Journal of Financial Economics 105, 511-522.
•  “Trading Imbalances and the Law of One Price” (with C. Liu) 2011, Economics Letters 112, 132-134.
•  “Individual Investors and Local Bias” (with N. Zhu) 2010, Journal of Finance, 65(5) October, 1987-2011.
•  “Time-Variation in Liquidity: The Role of Market Maker Inventories and Revenues” (with C. Comerton-Forde, T. Hendershott, C. Jones, and P. Moulton) 2010, Journal of Finance, 65(1), 295-331.  FMA Best Paper Award in Market Microstructure.
•  “Trading Imbalances, Predictable Reversals, Cross-Stock Price Pressure” (with S. Andrade and C. Chang) 2008, Journal of Financial Economics, 88(2) May, 406-423.
• “Individual Investors and Gender Similarities in an Emerging Stock Market” (with L. Feng) 2008, Pacific Basin Finance Journal, 16 (1-2), 44-60.
• “Market Maker Inventories and Stock Prices” (with T. Hendershott) 2007, American Economic Review Papers and Proceedings, 97 (2), May, 210-214.
• “Firm-Specific Attributes and the Cross-Section of Momentum” (with J. Sagi) 2007, Journal of Financial Economics, 84 (2) May, 389-434.
• “Predictable Behavior, Profits, and Attention” (with G. Wu) 2007, Journal of Empirical Finance, 14 (5), December, 590-610.  Lead Article in Issue.
•  “Do Investor Sophistication and Trading Experience Eliminate Behavioral Biases in Financial Markets?” (with L. Feng) 2005, Review of Finance, September, 1-47.  Lead Article in Issue.  Winner of 2006 GSAM Quant Best Paper Prize for best paper in the Review of Finance.
•  "Correlated Trading and Location” (with L. Feng) 2004, Journal of Finance, LIX, 5, Oct., 2117-2144.  Nominated for Smith-Breeden Prize.
•  “Bailing-In” (with M. McBrady) 2004, Journal of Restructuring Finance, 1, 1, 49-78.  Inaugural Issue of Journal.  Global Finance Conference Best Paper Prize April 2001.
•  “The Portfolio Flows of International Investors”(with K. Froot and P. O'Connell) 2001, Journal of Financial Economics, 59, 151-193.  Lead Article in Issue.