Research Interests

International Finance, Risk Management, Financial Markets

Working Papers

• "Agency Conflicts and Corporate Payout Policies: A Global StudyLink opens in a new window," with P.R. Brown (Lancaster University, University of Western Australia, and University of New South Wales), J.C.Y. How (University of Auckland) and P. Verhoeven (University of Auckland)
• "The Financial Risks of Corporations in the Global EconomyLink opens in a new window," with G.W. BrownLink opens in a new window (University of North Carolina at Chapel Hill)
• "Informed Trading and Required Returns: The Influence of Public InformationLink opens in a new window" with F. Bardong (BlackRock), J. Black (University of Oklahoma) and P. YadavLink opens in a new window (University of Oklahoma)
• "The Effect of Corporate Break-ups on Information Asymmetry: A Market-microstructure AnalysisLink opens in a new window," with F. Bardong (BlackRock), M. Duan (University of Oklahoma) and P. YadavLink opens in a new window (University of Oklahoma)
• "Are Short-Sellers Different?Link opens in a new window," with F. Bardong (BlackRock), F. Chen (University of Oklahoma) and P. YadavLink opens in a new window (University of Oklahoma)

• "Making Money While You Sleep? Anomalies in International Day and Night ReturnsLink opens in a new window," with Kevin Aretz (Manchester University), Kewei Hou (Ohio State University) and Shaojun Zhang (Ohio State University)

• "Why does idiosyncratic risk increase with market risk?Link opens in a new window" with G.W. BrownLink opens in a new window (University of North Carolina at Chapel Hill) and R.M. Stulz Link opens in a new window(Ohio State University), NBER Working Paper 22492

• "Why has Idiosyncratic Risk been Historically Low in Recent Years?Link opens in a new window" with G.W. BrownLink opens in a new window (University of North Carolina at Chapel Hill) and R.M. StulzLink opens in a new window (Ohio State University), NBER Working Paper 24270
• "Why is there a secular decline in idiosyncratic risk in the 2000s?Link opens in a new window" with G.W. BrownLink opens in a new window (University of North Carolina at Chapel Hill) and R.M. StulzLink opens in a new window (Ohio State University)

• "Creative destruction, stock return volatility, and the number of listed firmsLink opens in a new window" with G.W. BrownLink opens in a new window (University of North Carolina at Chapel Hill) and R.M. StulzLink opens in a new window (Ohio State University), NBER Working Paper 32568.

• "Learning from Local AnalystsLink opens in a new window" with with V. ChhaochhariaLink opens in a new window (University of Miami), A. KumarLink opens in a new window (University of Miami), and H. Mo (University of Warwick), CEPR Working Paper 55534.

Work in Progress

• "Real-time Monitoring of International Bank Insolvency RiskLink opens in a new window," with E. AndreouLink opens in a new window (University of Cyprus) and E. GhyselsLink opens in a new window (University of North Carolina at Chapel Hill and CIRANO)
• "The Demand for Money, Adaptive Expectations, and Currency Movements," with Mark Grinblatt (UCLA Anderson and NBER) and Yan Xu (University of Hong Kong)