Publications & Working Papers

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Publications

“Unique Symptoms of Japanese Stagnation: An Equity Market Perspective” (with Yasushi Hamao and Jianping Mei),  Journal of Money, Credit, and Banking, forthcoming  (graph)

 “What Determines Chinese Stock Returns?” (with Fenghua Wang), Financial Analyst Journal, Vol. 60, No.6 (2005), pp 65-77

“Small Levels of Predictability and Large Economic Gains,” Journal of Empirical Finance, Vol. 11, No. 2 (2004), pp 247-275

“Investigating the Behavior of Idiosyncratic Volatility” (with Burton G. Malkiel), Journal of Business, Vol. 76, No. 4 (2003), pp 613-644*

“Identifying the Factor Structure of Equity Returns” (with Larry J. Merville and Suzanne Hayes-Yelken), Journal of Portfolio Management, Vol. 27, No. 4, (2001), pp.51-62

“Biases in Using Jensen's Alpha,” in C. F. Lee (edt), Advances in Investment Analysis and Portfolio Management, Vol. 8 (2001), Amsterdam: Elsevier Science, pp. 161-182

“Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk” (with John Campbell, Martin Lettau, and Burton G. Malkiel), Journal of Finance, Vol. 56 (2001), pp. 1-46

“Risk and Return Revisited” (with Burton G. Malkiel), Journal of Portfolio Management,  V23, No.3, (1997), pp.9-14

“A Comparison of Semi-parametric and Partially Adaptive Estimators of the Censored  Regression Model with Possibly Skewed and Leptokurtic Error Distributions” (with James  B. McDonald), Economics Letters, V51 (1996), pp.153-159

“A Generalization of the Beta Distribution with Applications” (with James B. McDonald),  Journal of Econometrics, Vol. 66 (1995), pp.133-152

“Effort and the Cycle: A Short Summary” (with Harald Uhlig), Proceedings of the Society  for Economic and Dynamic Control, (1995)

“A Comparison of Generalized ARIMA Models” (with James B. McDonald), Economics Letters, Vol. 45 (1994), pp.155-160

“New Estimates for the Censored Regression Model with Possibly Skewed and Leptokurtic Error Distributions” (with James B. McDonald), Proceedings of the American Statistics  Association, (1994)

“An Empirical Investigation of Size of the Likelihood Ratio Test Statistics” (with J. B.  McDonald), Communication in Statistics: Simulation and Computation, Vol. 21, No.3,  (1992), pp.879-892
 

Working Papers

“What Predicts Stock Returns?—the Role of Expected versus Unexpected Predictors,” (with Nina Baranchuk) Working Paper, SOM, The University of Texas at Dallas, November 2007

“On the Persistence of Capital Structure—Reinterpreting What We Know,” (with Nina Baranchuk) Working Paper, SOM, The University of Texas at Dallas, November 2007  

“Extracting Factors with Maximum Explanatory Power,” Working Paper, School of Management, The University of Texas at Dallas, February 2007

“Unique Factors,” (with Yiyu Shen) Working Paper, SOM, The University of Texas at Dallas, March 2006

 “The Persistence and Predictability of Closed-End Fund Discounts,” (with Burton G. Malkiel) Working Paper, SOM, The University of Texas at Dallas, August 2005

 “Understanding the Closed-end Fund Puzzle from  the Chinese Experience” (with Gonmeng Chen and Oliver Rui), Working Paper, School of Management, The University of Texas at Dallas, April 2004

“When Will Investors Herd?--Evidence from the Chinese Stock Markets” (with Gonmeng Chen and Oliver Rui), Working Paper, School of Management, The University of Texas at Dallas, November 2003

 “Diversification in the Chinese Stock Market,” Working Paper, School of Management, The University of Texas at Dallas, August 2003

 “Idiosyncratic Risk and Security Returns,” (with Burton G. Malkiel) Working Paper, SOM, The University of Texas at Dallas, December 2002

“The Changing Factor Structure of Equity Returns” (with Larry J. Merville), Working Paper, School of Management, The University of Texas at Dallas, September 2002

“Investigating Underperformance by Equity Mutual Fund Portfolios” (with Ted Day and Yi Wang), Working Paper, School of Management, The University of Texas at Dallas, May 2001

“Understanding the Role of Incomplete and Asymmetric Information in A Multi-Asset Market,” Working Paper,  SOM, The University of Texas at Dallas, July 1999

“Understanding Closed-End Fund Puzzles—A Stochastic Turnover Perspective,” Working Paper, SOM, The University of Texas at Dallas, August 1999

“A Unified Framework for Sensitivity Analysis of the General Mean Variance Model” (with Gong-Meng Chen and Zhi-Ping Chen), Working Paper, SOM, The University of Texas at Dallas, 2001

“The Structure of Stock Market Volatility” (with Burton G. Malkiel), Working Paper, Financial Research Center, Princeton University, No. 154, 1999 (Tables, Graphs)

“Intertemporal Asset Pricing with Flexible Labor Income,” Working Paper, Princeton University, September 1996

“A Model for the Pricing of Closed-End Funds,” Working Paper, Financial Research Center, Princeton University, No. 155, 1995

“Effort and the Cycle: Cyclical Implications of Efficiency Wages” (with Harald Uhlig), Working Paper, Center for Economic Research, Tilburg University, December 1995

“Another Look at the Variance Decomposition of Stock Returns,” Working Paper, Princeton University, September 1994


* This paper is an extension of the working paper entitled "The Structure of Stock Market Volatility".