PUBLICATIONS

“Shackling Short Sellers: The 2008 Shorting Ban” (with Ekkehart Boehmer and Charles Jones), accepted by Review of Financial Studies.

This paper won Best Paper Award at16th Mitsui Finance Symposium, University of Michigan.

“Aggregate Idiosyncratic Volatility” (with Geert Bekaert and Robert Hodrick), Forthcoming at Journal of Financial and Quantitative Analysis.

“Empirical Evaluation of Pricing Models: Arbitrage and Pricing Errors on Contingent Claims” (with Zhenyu Wang), Forthcoming at Journal of Empirical Finance.

“Investing In Talents: Manager Characteristics and Hedge Fund Performances” (with Haitao Li and Rui Zhao), Journal of Financial and Quantitative Analysis, 2011, 46, 59 – 82.

“What Does Individual Option Volatility Smirk Tell Us About Future Equity Returns?” (with Yuhang Xing and Rui Zhao), Journal of Financial and Quantitative Analysis, 2010, 45, 641-662.

“Evaluating Asset Pricing Models Using the Second Hansen-Jagannathan Distance” (with Haitao Li and Yuewu Xu), Journal of Financial Economics, 2010, 97, 279-301.

“International Stock Return Comovements” (with Geert Bekaert and Robert Hodrick), Journal of Finance, 2009, 64, 2591-2626.

“High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence” (with Andrew Ang, Robert Hodrick, and Yuhang Xing), Journal of Financial Economics, 2009, 91, 1-23.

“Which Shorts Are Informed?” (with Ekkehart Boehmer and Charles Jones), Journal of Finance, lead article, 2008, 63, 491-527. This paper won BSI Gamma Foundation Award.

“The Cross-Section of Volatility and Expected Returns” (with Andrew Ang, Robert Hodrick, and Yuhang Xing), Journal of Finance, 2006, 61, 259-299.

“Specification Tests of International Asset Pricing Models”, Journal of International Money and Finance, 2006, 25, 275-307.

“Evaluating the Specification Errors of Asset Pricing Models” (with Robert Hodrick), Journal of Financial Economics, 2001, 62, 327-376.

WORKING PAPERS

“Unshackling Short Sellers: The Repeal Of The Uptick Rule” (with Ekkehart Boehmer and Charles Jones)

“Is Sentiment Sentimental?” (with Steve Sibley and Yuhang Xing)