MIT Sloan School of Management

 

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Selected Publications 

   Liquidity and Market Crashes, with J. Huang, Review of Financial Studies, forthcoming,     2010.
    [download pdf]

   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.
     [download pdf]

   Trading Volume: Implications of an Intertemporal Capiral Asset Pricing Model, with A.W.      Lo, Journal of Finance 61, 2805-2840, 2006.
     [download pdf]

   Evaluating Portfolio Policies: A Duality Approach, with M. Haugh and L. Kogan,     Operations Research 54 (No. 3), 405-418, 2006.
     [download pdf]

   The Price Impact and Survival of Irrational Traders, with L. Kogan, S.A. Ross and M.      Westerfield, Journal of Finance 61, 195-229, 2006.
     [download pdf]

   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.
     [download pdf]

   Dynamic Volume-Return Relations of Individual Stocks, with G. Llorente, R. Michaely, G.      Saar, Review of Financial Studies 15, 1005-1047, 2002.
     [download pdf]

   Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and      Empirical Implementation, with A.W. Lo and H. Mamaysky, Journal of Finance 55, 1705-      1770, 2000.
     [download pdf]

   Trading and Returns Under Periodic Market Closures, with H. Hong, Journal of Finance      55, 297-354, 2000.
     [download pdf]

   Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory, with A.W.      Lo, Review of Financial Studies 13, 257-300, 2000.
     [download pdf]

   Market Structure, Security Prices and Informational Efficiency, with J. Huang,     Macroeconomic Dynamics 1, 169-205, 1997.
    [download pdf]

   The Term Sturcture of Interest Rates In A Pure Exchange Economy With Heterogeneous      Investors, Journal of Financial Economics 41, 75-110, 1996.
     [download pdf]

   Differential Information and Dynamic Behavior of Stock Trading Volume, with H. He,     Review of Financial Studies 8, 919-972, 1995.
    [download pdf]

   Implementing Option Pricing Formulas When Asset Returns Are Predictable, with A.W. Lo,     Journal of Finance 50, 87-130, 1995.
    [download pdf]

   A Model of Competitive Stock Trading Volume, Journal of Political Economy 102, 127-167,     1994.
    [download pdf]

   Trading Volume and Serial Correlation in Stock Returns, with J. Campbell and S.     Grossman, Quarterly Journal of Economics 108, 905-940, 1993.
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   A Model of Intertemporal Asset Prices Under Asymmetric Information, Review of Economic     Studies 60, 249-282, 1993.
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