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1. Good times or bad times? Investors' uncertainty and stock returns

Review of Financial Studies, 2009, 22, 4377-4422.

Awarded 2004 Western Finance Association SQA Award

Awarded Best Paper Prize in Investments by Financial Management Association

2. The High volume premium: Cross-country evidence, with Ron Kaniel and Laura Starks

Journal of Financial Economics, 2012, 103, 255-279.


3. Do foreigners facilitate information transmission in emerging markets?, with Kee-Hong Bae, Hongping Tan, and Tony Wirjanto

Journal of Financial Economics, 2012, 105, 209-227 forthcoming.



Working Papers

1.    Know Thy Neighbor: Industry clusters, information spillovers and market efficiency, with Joseph Engelberg and Sean Wang, 2013.

2.    Information, competition, and investment sensitivity to peer stock prices, with Michael Rebello, 2013.

3.    Informed trading, return synchronicity and equilibrium asset pricing, 2007.

4.    Cross-section of liquidity dynamics: Evidence from around the world, 2007

5.    Foreign market cash-flow exposure: A multi-country, firm-level study, with Robert Connolly and David Ravenscraft