@other{https://resolver.caltech.edu/CaltechAUTHORS:20220415-223243515, title = "Competition Shocks, rival reactions and return comovement", url = "https://resolver.caltech.edu/CaltechAUTHORS:20220415-223243515", id = "record", doi = "10.7907/1m0m-4291" } @other{https://resolver.caltech.edu/CaltechAUTHORS:20220415-220320274, title = "The (Un)intended Consequences of M\&A Regulatory Enforcements", url = "https://resolver.caltech.edu/CaltechAUTHORS:20220415-220320274", id = "record", doi = "10.7907/tjfh-3220" } @other{https://resolver.caltech.edu/CaltechAUTHORS:20220415-224757554, title = "The Shrinkage Adjusted Sharpe Ratio: An Improved Method for Mutual Fund Selection", url = "https://resolver.caltech.edu/CaltechAUTHORS:20220415-224757554", id = "record", doi = "10.7907/dp22-zz84" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20220310-752445000, title = "How Do Shocks Arise and Spread Across Stock Markets? A Microstructure Perspective", journal = "Management Science", url = "https://resolver.caltech.edu/CaltechAUTHORS:20220310-752445000", id = "record", issn = "0025-1909", doi = "10.1287/mnsc.2021.3979", volume = "68" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20220113-731921500, title = "The Efficient Frontier: A Note on the Curious Difference between Variance and Standard Deviation", journal = "Journal of Portfolio Management", url = "https://resolver.caltech.edu/CaltechAUTHORS:20220113-731921500", id = "record", issn = "0095-4918", doi = "10.3905/jpm.2021.1.300", volume = "48" } @other{https://resolver.caltech.edu/CaltechAUTHORS:20210701-232908304, title = "The Efficient Frontier: A Note on the Curious Difference Between Variance and Standard Deviation", url = "https://resolver.caltech.edu/CaltechAUTHORS:20210701-232908304", id = "record", doi = "10.7907/pr100-49531" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190822-092831429, title = "Tick size, price grids and market performance: Stable matches as a model of market dynamics and equilibrium", journal = "Games and Economic Behavior", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190822-092831429", id = "record", issn = "0899-8256", doi = "10.1016/j.geb.2019.08.004", volume = "118" } @other{https://resolver.caltech.edu/CaltechAUTHORS:20191023-145648029, title = "Tick Size, Price Grids and Market Performance: Stable Matches as a Model of Market Dynamics and Equilibrium", url = "https://resolver.caltech.edu/CaltechAUTHORS:20191023-145648029", id = "record", doi = "10.7907/as1az-qd784" } @other{https://resolver.caltech.edu/CaltechAUTHORS:20191018-115420925, title = "Changing Expected Returns Can Induce Spurious Serial Correlation", url = "https://resolver.caltech.edu/CaltechAUTHORS:20191018-115420925", id = "record", doi = "10.7907/1077w-2jx02" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190214-123253711, title = "Empirical Tests of Asset Pricing Models with Individual Assets: Resolving the Errors-in-Variables Bias in Risk Premium Estimation", journal = "Journal of Financial Economics", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190214-123253711", id = "record", issn = "0304-405X", doi = "10.1016/j.jfineco.2019.02.010", volume = "133" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190620-093004868, title = "A Protocol for Factor Identification", journal = "Review of Financial Studies", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190620-093004868", id = "record", issn = "0893-9454", doi = "10.1093/rfs/hhy093", volume = "32" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190107-082540840, title = "Improved method for detecting acquirer fixed effects", journal = "Journal of Empirical Finance", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190107-082540840", id = "record", issn = "0927-5398", doi = "10.1016/j.jempfin.2018.12.003", volume = "50" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20180822-105611868, title = "Empirical Evidence of Overbidding in M\&A Contests", journal = "Journal of Financial and Quantitative Analysis", url = "https://resolver.caltech.edu/CaltechAUTHORS:20180822-105611868", id = "record", issn = "0022-1090", doi = "10.1017/S0022109018000273", volume = "53" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20180516-155907699, title = "Mimicking Portfolios", journal = "Journal of Portfolio Management", url = "https://resolver.caltech.edu/CaltechAUTHORS:20180516-155907699", id = "record", issn = "0095-4918", doi = "10.3905/jpm.2018.44.5.021", volume = "44" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20180321-105712130, title = "Full-Stock-Payment Marginalization in Merger and Acquisition Transactions", journal = "Management Science", url = "https://resolver.caltech.edu/CaltechAUTHORS:20180321-105712130", id = "record", issn = "0025-1909", doi = "10.1287/mnsc.2016.2635", volume = "64" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20180321-085712120, title = "Generalized Performance Measures: Optimal Overweighing of Fees Relative to Sample Returns", journal = "Journal of Portfolio Management", url = "https://resolver.caltech.edu/CaltechAUTHORS:20180321-085712120", id = "record", issn = "0095-4918", doi = "10.3905/jpm.2018.44.3.066", volume = "44" } @other{https://resolver.caltech.edu/CaltechAUTHORS:20171128-144249809, title = "A Protocol for Factor Identification", url = "https://resolver.caltech.edu/CaltechAUTHORS:20171128-144249809", id = "record", doi = "10.7907/124y0-gvg05" } @other{https://resolver.caltech.edu/CaltechAUTHORS:20171103-131935396, title = "Generalized Portfolio Performance Measures: Optimal Overweighting of Fees Relative to Sample Returns", url = "https://resolver.caltech.edu/CaltechAUTHORS:20171103-131935396", id = "record", doi = "10.7907/dg7d0-3g027" } @other{https://resolver.caltech.edu/CaltechAUTHORS:20170726-112029656, title = "Can Housing Risk be Diversified? A Cautionary Test from the Housing Boom and Bust", url = "https://resolver.caltech.edu/CaltechAUTHORS:20170726-112029656", id = "record", doi = "10.7907/mva5a-pt004" } @other{https://resolver.caltech.edu/CaltechAUTHORS:20170726-105902733, title = "Seeking Alpha? It's a Bad Guideline for Portfolio Optimization", url = "https://resolver.caltech.edu/CaltechAUTHORS:20170726-105902733", id = "record", doi = "10.7907/96363-0k862" } @other{https://resolver.caltech.edu/CaltechAUTHORS:20170726-084800488, title = "Full Stock Payment Marginalization in M\&A Transactions", url = "https://resolver.caltech.edu/CaltechAUTHORS:20170726-084800488", id = "record", doi = "10.7907/n6h0d-41t82" } @other{https://resolver.caltech.edu/CaltechAUTHORS:20170726-114922004, title = "Resolving the Errors-in-Variables Bias in Risk Premium Estimation", url = "https://resolver.caltech.edu/CaltechAUTHORS:20170726-114922004", id = "record", doi = "10.7907/p4161-89e21" } @other{https://resolver.caltech.edu/CaltechAUTHORS:20170726-142038067, title = "The Hubris Hypothesis: Empirical Evidence", url = "https://resolver.caltech.edu/CaltechAUTHORS:20170726-142038067", id = "record", doi = "10.7907/3mbyx-mv752" } @other{https://resolver.caltech.edu/CaltechAUTHORS:20170726-114925483, title = "The Propagation of Shocks Across International Equity Markets: A Microstructure Perspective", url = "https://resolver.caltech.edu/CaltechAUTHORS:20170726-114925483", id = "record", doi = "10.7907/emqdm-bfm65" } @other{https://resolver.caltech.edu/CaltechAUTHORS:20170726-082321868, title = "Improved Methods for Detecting Acquirer Skills", url = "https://resolver.caltech.edu/CaltechAUTHORS:20170726-082321868", id = "record", doi = "10.7907/ktv09-kht25" } @other{https://resolver.caltech.edu/CaltechAUTHORS:20170726-110645423, title = "An Agnostic and Practically Useful Estimator of the Stochastic Discount Factor", url = "https://resolver.caltech.edu/CaltechAUTHORS:20170726-110645423", id = "record", doi = "10.7907/b7hye-e5g06" } @other{https://resolver.caltech.edu/CaltechAUTHORS:20170707-101356502, title = "Empirical Evidence of Overbidding in M\&A Contests", url = "https://resolver.caltech.edu/CaltechAUTHORS:20170707-101356502", id = "record", doi = "10.7907/t9c90-47y20" } @other{https://resolver.caltech.edu/CaltechAUTHORS:20170707-102156656, title = "Nowhere to Run, Nowhere to Hide: Asset Diversification in a Flat World", url = "https://resolver.caltech.edu/CaltechAUTHORS:20170707-102156656", id = "record", doi = "10.7907/5e9f8-dp598" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20171208-134855781, title = "Seeking alpha? It's a bad guideline for portfolio optimization", journal = "Journal of Portfolio Management", url = "https://resolver.caltech.edu/CaltechAUTHORS:20171208-134855781", id = "record", issn = "0095-4918", doi = "10.3905/jpm.2016.42.5.107", volume = "42" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20160512-090418124, title = "CEO Narcissism and the Takeover Process: From Private Initiation to Deal Completion", journal = "Journal of Financial and Quantitative Analysis", url = "https://resolver.caltech.edu/CaltechAUTHORS:20160512-090418124", id = "record", issn = "0022-1090", doi = "10.1017/S0022109016000065", volume = "51" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190426-145910290, title = "A Comparative Anatomy of Residential REITs and Private Real Estate Markets: Returns, Risks and Distributional Characteristics", journal = "Real Estate Economics", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190426-145910290", id = "record", issn = "1080-8620", doi = "10.1111/1540-6229.12059", volume = "43" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20150409-145316594, title = "Can Housing Risk Be Diversified? A Cautionary Tale from the Housing Boom and Bust", journal = "Review of Financial Studies", url = "https://resolver.caltech.edu/CaltechAUTHORS:20150409-145316594", id = "record", issn = "0893-9454", doi = "10.1093/rfs/hhu085", volume = "28" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20150306-143946514, title = "How Stable Are Corporate Capital Structures?", journal = "Journal of Finance", url = "https://resolver.caltech.edu/CaltechAUTHORS:20150306-143946514", id = "record", issn = "0022-1082", doi = "10.1111/jofi.12163", volume = "70" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190426-145910190, title = "Trading activity in the equity market and its contingent claims: An empirical investigation", journal = "Journal of Empirical Finance", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190426-145910190", id = "record", issn = "0927-5398", doi = "10.1016/j.jempfin.2014.05.007", volume = "28" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190502-135903175, title = "Volatility, Correlation, and Diversification in a Multi-Factor World", journal = "Journal of Portfolio Management", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190502-135903175", id = "record", issn = "0095-4918", doi = "10.3905/jpm.2013.39.2.011", volume = "39" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190426-145910052, title = "Development and freedom as risk management", journal = "Finance Research Letters", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190426-145910052", id = "record", issn = "1544-6123", doi = "10.1016/j.frl.2013.07.001", volume = "10" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190430-114941824, title = "Learning from repetitive acquisitions: Evidence from the time between deals", journal = "Journal of Financial Economics", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190430-114941824", id = "record", issn = "0304-405X", doi = "10.1016/j.jfineco.2012.10.010", volume = "108" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190430-072342194, title = "MicroHoo: Deal failure, industry rivalry, and sources of overbidding", journal = "Journal of Corporate Finance", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190430-072342194", id = "record", issn = "0929-1199", doi = "10.1016/j.jcorpfin.2012.09.006", volume = "19" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190501-154250093, title = "Recent trends in trading activity and market quality", journal = "Journal of Financial Economics", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190501-154250093", id = "record", issn = "0304-405X", doi = "10.1016/j.jfineco.2011.03.008", volume = "101" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190426-145910554, title = "Gold and the Dollar (and the Euro, Pound, and Yen)", journal = "Journal of Banking and Finance", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190426-145910554", id = "record", issn = "0378-4266", doi = "10.1016/j.jbankfin.2011.01.014", volume = "35" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190426-145910463, title = {"The Possible Misdiagnosis of a Crisis": Author Response}, journal = "Financial Analysts Journal", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190426-145910463", id = "record", issn = "0015-198X", doi = "10.2469/faj.v67.n3.10", volume = "67" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190426-145910383, title = "Possible Misdiagnosis of a Crisis", journal = "Financial Analysts Journal", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190426-145910383", id = "record", issn = "0015-198X", doi = "10.2469/faj.v67.n2.3", volume = "67" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190501-083835069, title = "Serial acquirer bidding: An empirical test of the learning hypothesis", journal = "Journal of Corporate Finance", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190501-083835069", id = "record", issn = "0929-1199", doi = "10.1016/j.jcorpfin.2010.07.002", volume = "17" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190502-160315019, title = "Negotiations under the threat of an auction", journal = "Journal of Financial Economics", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190502-160315019", id = "record", issn = "0304-405X", doi = "10.1016/j.jfineco.2010.06.002", volume = "98" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190426-145910826, title = "Liquidity skewness", journal = "Journal of Banking and Finance", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190426-145910826", id = "record", issn = "0378-4266", doi = "10.1016/j.jbankfin.2010.04.012", volume = "34" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190506-161021699, title = "The Market Portfolio May Be Mean/Variance Efficient After All: The Market Portfolio", journal = "Review of Financial Studies", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190506-161021699", id = "record", issn = "0893-9454", doi = "10.1093/rfs/hhp119", volume = "23" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190502-140828653, title = "O/S: The relative trading activity in options and stock", journal = "Journal of Financial Economics", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190502-140828653", id = "record", issn = "0304-405X", doi = "10.1016/j.jfineco.2009.11.004", volume = "96" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190501-111606029, title = "Options trading activity and firm valuation", journal = "Journal of Financial Economics", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190501-111606029", id = "record", issn = "0304-405X", doi = "10.1016/j.jfineco.2009.02.002", volume = "94" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190502-140153393, title = "Learning, hubris and corporate serial acquisitions", journal = "Journal of Corporate Finance", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190502-140153393", id = "record", issn = "0929-1199", doi = "10.1016/j.jcorpfin.2009.01.006", volume = "15" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190503-083946043, title = "Global market integration: An alternative measure and its application", journal = "Journal of Financial Economics", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190503-083946043", id = "record", issn = "0304-405X", doi = "10.1016/j.jfineco.2008.12.004", volume = "94" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190430-103517828, title = "Liquidity and market efficiency", journal = "Journal of Financial Economics", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190430-103517828", id = "record", issn = "0304-405X", doi = "10.1016/j.jfineco.2007.03.005", volume = "87" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190503-125448764, title = "How employee stock options and executive equity ownership affect long-term IPO operating performance", journal = "Journal of Corporate Finance", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190503-125448764", id = "record", issn = "0929-1199", doi = "10.1016/j.jcorpfin.2007.02.003", volume = "13" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190503-130118576, title = "Liquidity and the Law of One Price: The Case of the Futures‐Cash Basis", journal = "Journal of Finance", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190503-130118576", id = "record", issn = "0022-1082", doi = "10.1111/j.1540-6261.2007.01273.x", volume = "62" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190506-160356840, title = "Is European M\&A Regulation Protectionist?", journal = "Economic Journal", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190506-160356840", id = "record", issn = "0013-0133", doi = "10.1111/j.1468-0297.2007.02068.x", volume = "117" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190502-143835293, title = "Investor Reaction to Inter-corporate Business Contracting: Evidence and Explanation", journal = "Economic Notes", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190502-143835293", id = "record", issn = "0391-5026", doi = "10.1111/j.1468-0300.2006.00166.x", volume = "35" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190426-145910737, title = "Taxes and dividend clientele: Evidence from trading and ownership structure", journal = "Journal of Banking and Finance", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190426-145910737", id = "record", issn = "0378-4266", doi = "10.1016/j.jbankfin.2005.03.009", volume = "30" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190503-084316160, title = "Evidence on the speed of convergence to market efficiency", journal = "Journal of Financial Economics", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190503-084316160", id = "record", issn = "0304-405X", doi = "10.1016/j.jfineco.2004.06.004", volume = "76" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190506-154424918, title = "Extracting Inflation from Stock Returns to Test Purchasing Power Parity", journal = "American Economic Review", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190506-154424918", id = "record", issn = "0002-8282", doi = "10.1257/0002828053828554", volume = "95" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190426-145910644, title = "A Delegated-Agent Asset-Pricing Model", journal = "Financial Analysts Journal", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190426-145910644", id = "record", issn = "0015-198X", doi = "10.2469/faj.v61.n1.2684", volume = "61" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190506-153059185, title = "Market Response to European Regulation of Business Combinations", journal = "Journal of Financial and Quantitative Analysis", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190506-153059185", id = "record", issn = "0022-1090", doi = "10.1017/S0022109000003197", volume = "39" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190506-134646444, title = "Order Imbalances and Market Efficiency: Evidence from the Taiwan Stock Exchange", journal = "Journal of Financial and Quantitative Analysis", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190506-134646444", id = "record", issn = "0022-1090", doi = "10.1017/S0022109000003094", volume = "39" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190506-104550337, title = "Empirical TIPS", journal = "Financial Analysts Journal", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190506-104550337", id = "record", issn = "0015-198X", doi = "10.2469/faj.v60.n1.2591", volume = "60" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190503-080156029, title = "Political Freedom, Economic Liberty, and Prosperity", journal = "Journal of Democracy", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190503-080156029", id = "record", issn = "1086-3214", volume = "14" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190501-105036203, title = "Benefits to Homeowners from Mortgage Portfolios Retained by Fannie Mae and Freddie Mac", journal = "Journal of Financial Services Research", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190501-105036203", id = "record", issn = "0920-8550", doi = "10.1023/A:1022156110484", volume = "23" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190426-145911539, title = "Remembering Mert", journal = "Pacific-Basin Finance Journal", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190426-145911539", id = "record", issn = "0927-538X", doi = "10.1016/s0927-538x(02)00062-8", volume = "10" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190501-103504927, title = "Order imbalance, liquidity, and market returns", journal = "Journal of Financial Economics", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190501-103504927", id = "record", issn = "0304-405X", doi = "10.1016/S0304-405X(02)00136-8", volume = "65" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190426-145911451, title = "Rational infinitely lived asset prices must be non-stationary", journal = "Journal of Banking and Finance", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190426-145911451", id = "record", issn = "0378-4266", doi = "10.1016/s0378-4266(02)00207-8", volume = "26" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190426-145911964, title = "East Asia and Europe during the 1997 Asian collapse: a clinical study of a financial crisis", journal = "Journal of Financial Markets", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190426-145911964", id = "record", issn = "1386-4181", doi = "10.1016/s1386-4181(01)00022-2", volume = "5" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190502-141143200, title = "Subordinated exchange rate models: evidence for heavy tailed distributions and long-range dependence", journal = "Mathematical and Computer Modelling", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190502-141143200", id = "record", issn = "0895-7177", doi = "10.1016/S0895-7177(01)00113-3", volume = "34" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190502-161117822, title = "Market Liquidity and Trading Activity", journal = "Journal of Finance", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190502-161117822", id = "record", issn = "0022-1082", doi = "10.1111/0022-1082.00335", volume = "56" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190426-145911365, title = "Co-Movements in Bid-Ask Spreads and Market Depth", journal = "Financial Analysts Journal", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190426-145911365", id = "record", issn = "0015-198X", doi = "10.2469/faj.v56.n5.2386", volume = "56" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190501-105813141, title = "An explanation of the forward premium 'puzzle'", journal = "European Financial Management", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190501-105813141", id = "record", issn = "1354-7798", doi = "10.1111/1468-036X.00117", volume = "6" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190502-140445478, title = "Commonality in liquidity", journal = "Journal of Financial Economics", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190502-140445478", id = "record", issn = "0304-405X", doi = "10.1016/S0304-405X(99)00057-4", volume = "56" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190426-145911277, title = "Learning from others, reacting, and market quality", journal = "Journal of Financial Markets", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190426-145911277", id = "record", issn = "1386-4181", doi = "10.1016/s1386-4181(98)00011-1", volume = "2" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190426-145911188, title = "An empirical survey of Indonesian equities 1985–1992", journal = "Pacific-Basin Finance Journal", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190426-145911188", id = "record", issn = "0927-538X", doi = "10.1016/0927-538x(95)00009-a", volume = "3" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190506-162135861, title = "On the Cross-sectional Relation between Expected Returns and Betas", journal = "Journal of Finance", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190506-162135861", id = "record", issn = "0022-1082", doi = "10.1111/j.1540-6261.1994.tb04422.x", volume = "49" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190506-161615328, title = "Industrial Structure and the Comparative Behavior of International Stock Market Indices", journal = "Journal of Finance", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190506-161615328", id = "record", issn = "0022-1082", doi = "10.1111/j.1540-6261.1992.tb03977.x", volume = "47" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190426-145911102, title = "Price volatility, international market links, and their implications for regulatory policies", journal = "Journal of Financial Services Research", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190426-145911102", id = "record", issn = "0920-8550", doi = "10.1007/bf00122803", volume = "3" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190426-145910927, title = "R^2", journal = "Journal of Finance", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190426-145910927", id = "record", issn = "0022-1082", volume = "43" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190426-145911014, title = "Adjustable Rate Mortgages: Valuation", journal = "Journal of Real Estate Finance and Economics", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190426-145911014", id = "record", issn = "0895-5638", doi = "10.1007/bf00152571", volume = "1" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190430-084744475, title = "Stock return variances: The arrival of information and the reaction of traders", journal = "Journal of Financial Economics", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190430-084744475", id = "record", issn = "0304-405X", doi = "10.1016/0304-405X(86)90004-8", volume = "17" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190502-111547387, title = "A note on the geometry of Shanken's CSR T\_2 test for mean/variance efficiency", journal = "Journal of Financial Economics", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190502-111547387", id = "record", issn = "0304-405X", doi = "10.1016/0304-405X(85)90003-0", volume = "14" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190501-112416217, title = "Orange Juice and Weather", journal = "American Economic Review", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190501-112416217", id = "record", issn = "0002-8282", volume = "74" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190501-103050384, title = "A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market", journal = "Journal of Finance", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190501-103050384", id = "record", issn = "0022-1082", doi = "10.1111/j.1540-6261.1984.tb03897.x", volume = "39" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190426-145912058, title = "A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory: A Reply", journal = "Journal of Finance", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190426-145912058", id = "record", issn = "0022-1082", doi = "10.1111/j.1540-6261.1984.tb02313.x", volume = "39" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190507-082705503, title = "On Valuing American Call Options with the Black‐Scholes European Formula", journal = "Journal of Finance", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190507-082705503", id = "record", issn = "0022-1082", doi = "10.1111/j.1540-6261.1984.tb02319.x", volume = "39" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190501-095527862, title = "On computing mean returns and the small firm premium", journal = "Journal of Financial Economics", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190501-095527862", id = "record", issn = "0304-405X", doi = "10.1016/0304-405X(83)90055-7", volume = "12" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190507-081911028, title = {Over‐the‐Counter Option Market Dividend Protection and "Biases" in the Black‐Scholes Model: A Note}, journal = "Journal of Finance", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190507-081911028", id = "record", issn = "0022-1082", doi = "10.1111/j.1540-6261.1983.tb02295.x", volume = "38" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190501-111951381, title = "The Fiscal and Monetary Linkage between Stock Returns and Inflation", journal = "Journal of Finance", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190501-111951381", id = "record", issn = "0022-1082", doi = "10.1111/j.1540-6261.1983.tb03623.x", volume = "38" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190507-075933961, title = "A Possible Explanation of the Small Firm Effect", journal = "Journal of Finance", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190507-075933961", id = "record", issn = "0022-1082", doi = "10.1111/j.1540-6261.1981.tb04890.x", volume = "36" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190507-075335032, title = "An Empirical Investigation of the Arbitrage Pricing Theory", journal = "Journal of Finance", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190507-075335032", id = "record", issn = "0022-1082", doi = "10.1111/j.1540-6261.1980.tb02197.x", volume = "35" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190507-074907427, title = "Orthogonal Portfolios", journal = "Journal of Financial and Quantitative Analysis", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190507-074907427", id = "record", issn = "0022-1090", doi = "10.2307/2330169", volume = "15" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190430-080846265, title = "A reply to Mayers and Rice (1979)", journal = "Journal of Financial Economics", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190430-080846265", id = "record", issn = "0304-405X", doi = "10.1016/0304-405X(79)90006-0", volume = "7" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190430-084340399, title = "On some parity conditions encountered frequently in international economics", journal = "Journal of Macroeconomics", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190430-084340399", id = "record", issn = "0164-0704", doi = "10.1016/0164-0704(79)90002-8", volume = "1" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190506-142755778, title = "Ambiguity when Performance is Measured by the Securities Market Line", journal = "Journal of Finance", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190506-142755778", id = "record", issn = "0022-1082", doi = "10.1111/j.1540-6261.1978.tb02047.x", volume = "33" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190430-085620852, title = "Comments on qualitative results for investment proportions", journal = "Journal of Financial Economics", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190430-085620852", id = "record", issn = "0304-405X", doi = "10.1016/0304-405X(77)90023-X", volume = "5" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190430-084058956, title = "An analytic valuation formula for unprotected American call options on stocks with known dividends", journal = "Journal of Financial Economics", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190430-084058956", id = "record", issn = "0304-405X", doi = "10.1016/0304-405X(77)90021-6", volume = "5" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190430-085208870, title = "A pure foreign exchange asset pricing model", journal = "Journal of International Economics", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190430-085208870", id = "record", issn = "0022-1996", doi = "10.1016/0022-1996(77)90029-0", volume = "7" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190430-083759090, title = "A critique of the asset pricing theory's tests. Part I: On past and potential testability of the theory", journal = "Journal of Financial Economics", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190430-083759090", id = "record", issn = "0304-405X", doi = "10.1016/0304-405X(77)90009-5", volume = "4" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190430-090659101, title = "An empirical study of risk under fixed and flexible exchange", journal = "Carnegie-Rochester Conference Series on Public Policy", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190430-090659101", id = "record", issn = "0167-2231", doi = "10.1016/0167-2231(77)90011-2", volume = "5" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190426-145912366, title = "Measuring Nonstationarity in the Stochastic Process of Asset Returns", journal = "Journal of Financial and Quantitative Analysis", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190426-145912366", id = "record", issn = "0022-1090", doi = "10.2307/2330619", volume = "10" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190502-160721151, title = {Evidence on the "Growth-Optimum" Model}, journal = "Journal of Finance", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190502-160721151", id = "record", issn = "0022-1082", doi = "10.1111/j.1540-6261.1973.tb01378.x", volume = "28" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190426-160907197, title = "Interest Rates and Price Expectations During the Civil War", journal = "Journal of Economic History", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190426-160907197", id = "record", issn = "0022-0507", doi = "10.1017/s0022050700067218", volume = "32" } @article{https://resolver.caltech.edu/CaltechAUTHORS:20190501-152328265, title = "Investment Diversification and Bond Maturity", journal = "Journal of Finance", url = "https://resolver.caltech.edu/CaltechAUTHORS:20190501-152328265", id = "record", issn = "0022-1082", doi = "10.2307/2325740", volume = "26" }