|MIT Sloan School of Management|
Liquidity and Market Crashes, with J. Huang, Review of Financial Studies, forthcoming, 2010.
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.
Implications of an Intertemporal Capiral Asset Pricing
Model, with A.W. Lo, Journal of Finance 61,
Portfolio Policies: A Duality Approach, with M. Haugh and
L. Kogan, Operations Research 54 (No. 3), 405-418,
The Price Impact
and Survival of Irrational Traders, with L. Kogan, S.A.
Ross and M. Westerfield, Journal of Finance 61,
Asset Prices and
Trading Volume Under Fixed Transactions Costs, with A.W. Lo
and H. Mamaysky, Journal of Political Economy 112
(No. 5), 1054-1090, 2004.
Volume-Return Relations of Individual Stocks, with G. Llorente, R. Michaely, G. Saar, Review of Financial
Studies 15, 1005-1047, 2002.
Technical Analysis: Computational Algorithms, Statistical
Inference, and Empirical Implementation, with A.W. Lo and
H. Mamaysky, Journal of Finance 55, 1705- 1770, 2000.
Trading and Returns
Under Periodic Market Closures, with H. Hong, Journal
of Finance 55, 297-354, 2000.
Definitions, Data Analysis, and Implications of Portfolio
Theory, with A.W. Lo, Review of Financial Studies 13, 257-300, 2000.
Security Prices and Informational Efficiency, with J.
Huang, Macroeconomic Dynamics 1, 169-205, 1997.
The Term Sturcture
of Interest Rates In A Pure Exchange Economy With
Heterogeneous Investors, Journal of Financial Economics 41, 75-110, 1996.
Information and Dynamic Behavior of Stock Trading Volume, with H. He, Review of Financial Studies 8, 919-972,
Pricing Formulas When Asset Returns Are Predictable, with A.W. Lo, Journal of Finance 50, 87-130, 1995.
A Model of
Competitive Stock Trading Volume, Journal of Political
Economy 102, 127-167, 1994.
Trading Volume and
Serial Correlation in Stock Returns, with J. Campbell and
S. Grossman, Quarterly Journal of Economics 108,
A Model of Intertemporal Asset Prices Under Asymmetric Information, Review of Economic Studies 60, 249-282, 1993.