PUBLICATIONS

1. “Balancing External vs. Internal Validity: An Application of Causal Forest in Finance,” with Candace E. Jens and Beau Page

Management Science, 2024, forthcoming

2. “Extracting Extrapolative Beliefs from Market Prices: An Augmented Present-Value Approach,” 2024, with Stefano Cassella, Te-Feng Chen, and Yan Liu. 

Journal of Financial Economics, 2024, forthcoming.

3. “Credit Cycles, Expectations, and Corporate Investment,” with Mihai Ion, Candace Jens, and Stefano Rossi, Review of Financial Studies, 2024, forthcoming.

4. “Intangible Capital in Factor Models,” with Dongmei Li, Ryan Peters, and Morad Zekhnini, Management Science, 2024, forthcoming

5. “The Use of Asset Growth in Empirical Asset Pricing Models,” with Michael Cooper and Mihai Ion, Journal of Financial Economics, 151, 2024

6. “The Selective Enforcement of Government Regulation: Battleground States, State Regulators, and the EPA,” with Brett Myers.

Journal of Law and Economics, 2024, 67 (1), 225-263

7. “Contrarians, Extrapolators, and Stock Market Momentum and Reversal,” with Adem Atmaz, Stefano Cassella, and Fangcheng Ruan, Management Science, 70, 5627-6482, 2024

8. “Horizon Bias and the Term Structure of Equity Returns,” with Stefano Cassella, Benjamin Golez, and Peter Kelly, Review of Financial Studies, 36, 1253-1288, 2023

9. “Comparing Ambiguous Urns with Different Sizes,” with Emel Filiz-Ozbay, Yusufcan Masatlioglu, and Emre Ozbay, Journal of Economic Theory, 2022

10. “Extrapolation Bias and the Predictability of Stock Returns by Price-Scaled Variables,” with Stefano Cassella, Review of Financial Studies, 31,4345-4397, 2018   (Winner of the Jack Treynor Prize – Q Group, 2016)

11. “Does Policy Uncertainty Affect Mergers and Acquisitions?” with Alice Bonaime and Mihai Ion, Journal of Financial Economics, 531-558, 2018

12. “Option Repricing, Corporate Governance, and the Effect of Shareholder Empowerment,” with William O’Brien, Journal of Financial Economics, 125, 839-415, 2017

13. “Policy Uncertainty and Corporate Investment,” with Mihai Ion, Review of Financial Studies, 29 (3). 523-564, 2016

Lead Article and Editor’s Choice Article

14. “Do stock prices undervalue investment in advertising?” with Yun Kyung Oh, Jung Min Kim, and William Robinson, Marketing Letters, 27 (4), 611-626, 2016

Lead Article

15. “Value versus growth: Time-varying expected stock returns,” with Yuhang Xing and Lu Zhang, Financial Management, 40 (2), 381-407, 2011

16. “Corporate Political Contributions and Stock Returns,” with Michael Cooper and Alexei  Ovtchinnikov, Journal of Finance, 65, 687-724, 2010

(Third Prize in the Q-Group’s 2007 Rodger F. Murray Prize Competition.  Best paper award Midwest Finance Association, 2009)

17. “The Asset Growth Effect in Stock Returns,” with Michael Cooper and Michael Schill, Journal of Investment Management, 8, 65-79, 2010

18. “Asset Growth and the Cross-Section of Stock Returns,” with Michael Cooper and Michael Schill, Journal of Finance 63, 1609-1652, 2008

(Finalist for the 2008 Smith Breeden Prize)

19. “Good stewards, cheap talkers, or family men? The impact of mutual fund closures on fund managers, flows, fees, and performance,” with Arturo Bris, P. Raghavendra Rau, and Padma Kadiyala, Review of Financial Studies, 953-982, 2007

(Winner of the Q Group Grant, 2003)

20. “Is Time Series Predictability Evident in Real Time?” with Michael Cooper, Journal of Business Volume 79, 1263-1292, 2006

21. “Changing Names with Style: Mutual Fund Name Changes and Their Effects on Fund Flows” with Michael Cooper and P. Raghavendra Rau, Journal of Finance, 60, 2825-2858, 2005

22. “Informed Trading in Stock and Option Markets” with Sugato Chakravarty and Stewart Mayhew, Journal of Finance, 5, 1235-1257, 2004

(Winner of the Q Group Grant, 2001)

23. “Stock Index Futures Trading and Volatility in International Equity Markets” with Stewart Mayhew, Journal of Futures Markets v20 (August 2000): 661-685.

24. “The Dynamics of International Stock Index Returns” with Stewart Mayhew, Research in Banking and Finance v1 (2000): 219-230.

WORKING PAPERS

• "Decoding Expectation Formation from Realized Stock Prices: An Eye-Tracking Study," 2024, with Chan Lim

Under review

• “Credit Market Driven Acquisitions,” 2024, with Candace Jens and Stefano Rossi.

o   (Winner of “Best Paper in Finance” Award, FMARC Conference, 2024)

Under review

• "What Does ChatGPT Make of Historical Stock Returns? Extrapolation and Miscalibration in LLM Stock Return Forecasts," 2024, 

with Shuaiyu Chen, Clifton Green, and Dexin Zhou.

• “Extrapolation Bias and Short-Horizon Return Predictability,” 2024, with Michael Woeppel.

• “Motivated Beliefs in Macroeconomic Expectations,” 2024, with Stefano Cassella, Benjamin Golez, and Peter Kelly. 

• “Extrapolators at the Gate: Market-wide Misvaluation and the Value Premium,” 2023, with Stefano Cassella, Zhaojing Chen, and Ralitsa Petkova

• “Expanding Horizons: The Effect of Information Access on Geographically Biased Investing,” 2020, with Logan Emery

• “Belief-based Equity Market Sentiment,” 2019, with Stefano Cassella.

• “Absolute Strength: Exploring Momentum in Stock Returns,” 2018, with Ralitsa Petkova

• “Big (Patent) Short: Hedge Funds and Unannounced Litigations,” 2018, with Tolga Caskurlu and Veronika Pool

• “Performance for Pay? The Relation Between CEO Incentive Compensation and Future Stock Price Performance,” 2018, with Michael Cooper and Raghu Rau

• “Daily stock market swings and investor reaction to firm-specific news,” with Byoung-Hyoun Hwang

• “CEO Option Sensitivity to Dividend Yield and its Impact on Corporate Dividend Policy,” 2018 with Jin Xu

• “Return Differences between Trading and Non-trading Hours: Like Night and Day,” with Michael Cliff and Michael Cooper.  Best paper award at the 2008 UC-Davis/Financial Management Conference on Financial Markets Research

• “Learning About Out-of-Sample Predictability and its Impact on Real-time Investment Decisions”

• "Investing in Size and Book-to-Market Portfolios Using Information About the Macroeconomy: Some New Trading Rules" with Michael Cooper and Maria Vassalou