Working Papers
"Characteristic-Based Benchmark Returns and Corporate Events," with Hendrik Bessembinder and Feng Zhang
"Voluntary Disclosure and Investor Sentiment," with Jing He and Marlene Plumlee
"Aggregate Funding Conditions, Cash, and the Cross-Section of Stock Returns," with Tyler K. Jensen
"Geographical Vibrancy and Firm Performance," with Alexei Ovtchinnikov
"Implications of Innovation Measurement," with Anne Marie Knott and Wenhao Yang
“The Mutual Fund Fee Puzzle," with Michael Halling and Wenhao Yang
“Performance for pay? The relation between CEO incentive compensation and future stock price performance,” with Huseyin Gulen and P. Raghavendra Rau.
“Return Differences between Trading and Non-trading Hours: Like Night and Day,” with Huseyin Gulen and Michael Cliff
“The Critical Role of Conditioning Information in Determining if Value is Really Riskier than Growth,” with Stefano Gubellini, Journal of Empirical Finance,18, 289–305, 2011
"Corporate Political Contributions and Stock Returns,” with Huseyin Gulen and Alexei Ovtchinnikov, The Journal of Finance, 65, 687-724, 2010
“Asset Growth and the Cross-Section of Stock Returns” with Huseyin Gulen and Michael Schil, The Journal of Finance, 63, 1609-1651, 2008. Finalist for the 2008 Smith Breeden Prize.
“The Asset Growth Effect in Stock Returns,” with Huseyin Gulen and Michael Schill, Journal of Investment Management, 1-15, 2009
“The Other January Effect,” with John McConnell and Alexei Ovtchinnikov, The Journal of Financial Economics, 82, 315-341, 2006. Second place in the 2006 Fama/DFA best paper award for Capital Markets and Asset Pricing in The Journal of Financial Economics.
“What’s the Best Way to Trade Using the January Barometer?,” with John McConnell and Alexei Ovtchinnikov, forthcoming, Journal of Investment Management
"Is Time-Series Based Predictability Evident in Real-time?” with Huseyin Gulen, Journal of Business, vol. 79, no. 3, 1263-1292, 2006.
“Changing names with style: Mutual fund name changes and their effects on fund flows,” with Huseyin Gulen and P. Raghavendra Rau, The Journal of Finance, Volume 60, 2825-2858, 2005.
“Managerial actions in response to a market downturn: Corporate name changes during the dot.com decline,” with P. Raghavendra Rau, Ajay Patel, Igor Osobov, and Ajay Khorana, Journal of Corporate Finance, 11, 319-335, 2005.
“On the Predictability of Stock Returns in Real Time," with Bill Marcum and Roberto Gutierrez Jr, The Journal of Business, vol. 78, no. 2, 469-499, 2005.
“Market States and Momentum,” with Roberto Gutierrez Jr. and Allaudeen Hameed, The Journal of Finance, Volume 59, 1345-1365, 2004.
“Value versus Glamour,” with Jennifer Conrad and Gautam Kaul, The Journal of Finance, Volume58, 1969-1995, 2003.
“Evidence of Predictability in the Cross-Section of Bank Stock Returns,” with Gary Patterson and William Jackson, Journal of Banking and Finance, Volume27, 817-850, 2003.
"A Rose.com by Any Other Name," coauthored with Orlin Dimitrov and P. Raghavendra Rau, The Journal of Finance, Volume56, 2371-2388, 2001. Winner of the best paper award at the European Finance Association Meetings, London, 2000.
"The Dotcom Premium: Rational Valuation or Irrational Exuberance?,” (with P. Raghavendra Rau) in Venture Capital Contracting and the Valuation of High Technology Firms, edited by J. McCahery and L. D. R. Renneboog, Oxford University Press, 2003.“Asymmetric Information and the Predictability of Real Estate Returns,” coauthored with David Downs and Gary Patterson, The Journal of Real Estate Finance and Economics, Volume 20, Issue 2, 2000.
“Filter Rules Based on Price and Volume in Individual Security Overreaction,”The Review of Financial Studies, Volume 12, Number 4, 901-935, 1999.
“Real Estate Securities and a Filter-based, Short-term Trading Strategy,” coauthored with David Downs and Gary Patterson, The Journal of Real Estate Research, Volume 18, Number 2, 1999.
Selected popular press coverage of my research papers
