Working Papers

Research Interests

International Finance, Risk Management, Financial Markets

Working Papers

• "Agency Conflicts and Corporate Payout Policies: A Global Study," 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 Economy," with G.W. Brown (University of North Carolina at Chapel Hill)
• "Informed Trading, Information Asymmetry and Pricing of Information Risk: Empirical Evidence from the NYSE," with F. Bardong (BlackRock), J. Black (University of Oklahoma) and P. Yadav (University of Oklahoma)
• "The Effect of Corporate Break-ups on Information Asymmetry: A Market-microstructure Analysis," with F. Bardong (BlackRock), M. Duan (University of Oklahoma) and P. Yadav (University of Oklahoma)
• "Are Short-Sellers Different?," with F. Bardong (BlackRock), F. Chen (University of Oklahoma) and P. Yadav (University of Oklahoma)

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

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

• "Why has Idiosyncratic Risk been Historically Low in Recent Years?" with G.W. Brown (University of North Carolina at Chapel Hill) and R.M. Stulz (Ohio State University), NBER Working Paper 24270
• "Currency Anomalies," with L. Djuranovik (University of Warwick) and A. Garratt (University of Warwick), CEPR Working Paper 15653
• "Why is there a secular decline in idiosyncratic risk in the 2000s?" with G.W. Brown (University of North Carolina at Chapel Hill) and R.M. Stulz (Ohio State University)
• "Book-to-Market, Mispricing, and the Cross-Section of Corporate Bond Returns," with M. Grinblatt (UCLA Anderson) and Y. Nozawa (University of Toronto), NBER Working Paper 27655

Work in Progress

• "Real-time Monitoring of International Bank Insolvency Risk," with E. Andreou (University of Cyprus) and E. Ghysels (University of North Carolina at Chapel Hill and CIRANO)