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Recent Publications and Working Papers
Liquidity of Corporate Bonds, with J. Bao and J. Pan, 2008.
[download pdf]
Asset Pricing and the Credit Market, with F. Longstaff, 2008.
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Market Liquidity, Asset Prices and Welfare, with J. Huang,
2008.
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Asset Prices Under
Short-Sale Constraints, with Y. Bai and E. Chang, 2006.
[download pdf]
Optimal Trading
Policy and Demand/Supply Dynamics, with A. Obizhaeva,
2005.
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Liquidity and Market Crashes, with J. Huang, Review of Financial Studies, forthcoming, 2008.
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Firms as Buyers of
Last Resort: Financing Constraints, Stock Returns and
Liquidity, with H. Hong and J.L. Yu, Journal of
Financial Economics, forthcoming, 2007.
[download pdf]