Selected Refereed Research Articles

• "Credit default swaps around the world," with J. Conrad, J. Lee, and M.G. Subrahmanyam, Review of Financial Studies, forthcoming.
• "Real Effects of Climate Policy: Financial Constraints and Spillovers," with K. Hou and S. Kim, Journal of Financial Economics, Vol. 143 (2), February 2022, 668-696.
• “Machine Learning for Active Portfolio Management,” with J. Branke, G. De Rossi, and M. Motahari, Journal of Financial Data Science, Vol. 3 (3), Summer 2021, 9-30.
• "Navigating the Factor Zoo Around the World: An Institutional Investor Perspective," with H. Lohre, P. Pope, and A. Ranganathan, Journal of Business Economics, Vol. 91, April 2021, 655-703.

• "Global Market Inefficiencies", with M. Grinblatt, Journal of Financial Economics, Vol. 139 (1), January 2021, 234-259.

• "Corporate Hedging and Speculation with Derivatives," Journal of Corporate Finance, Vol. 57, August 2019, 9-34.
• "Agnostic Fundamental Analysis Works", with M. Grinblatt, Journal of Financial Economics, Vol. 128 (1), April 2018, 125-147.
• "In Good Times and in Bad: Defined Benefit Pensions and Corporate Financial Policy," Journal of Corporate Finance, Vol. 48, February 2018, 331-351.
• "Corporate Post-Retirement Benefit Plans and Real Investment," Management Science, Vol. 63 (2), February 2017, pp. 355–383.
• "Corporate Post-Retirement Benefit Plans and Leverage", Review of Finance, Vol. 20 (2), March 2016, 575-629.
• "How Important are Foreign Ownership Linkages for International Stock Returns?," with J.M. Griffin, T.-H. Lim and D.T.-C. Ng, Review of Financial Studies, Vol. 28 (11), November 2015, 3036-3072.
• "How Important is Financial Risk?," with G.W. Brown and W. Waller, Journal of Financial and Quantitative Analysis, Vol. 50 (4), August 2015, 801-824.
• "European Financial Market Dependence: An Industry Analysis," with J. Wang, Journal of Banking and Finance, Vol. 59, July 2015, 146-163.
• "Why Are U.S. Stocks More Volatile?," with G.W. Brown and R.M. Stulz, Journal of Finance, Vol. 67 (4), August 2012, 1329-1370.
• "Crossing the Lines: The Relation between Exchange Rate Exposure and Stock Returns in Emerging and Developed Markets," with G.M. Bodnar, Journal of International Money and Finance, Vol. 31, June 2012, 766-792.
• "The Effects of Derivatives on Firm Risk and Value," with G.W. Brown and J.S. Conrad, Journal of Financial and Quantitative Analysis, Vol. 46 (4), August 2011, 967-999.
• "Resolving the Exposure Puzzle: The Many Facets of Exchange Rate Exposure," with G.W. Brown and B. Minton, Journal of Financial Economics, Vol. 95 (2), February 2010, 148-173.
• "International Evidence on Financial Derivatives Usage," with G.W. Brown and F.R. Fehle, Financial Management, Vol. 38 (1), Spring 2009, 185-206.
• "Estimating Systemic Risk in the International Financial System," with G.W. Brown and J.E. Hund, Journal of Financial Economics, Vol. 86 (3), December 2007, 835-869.
• "Macroeconomic Risks and Characteristic-Based Factor Models," with K. Aretz and P.F. Pope, Journal of Banking and Finance, Vol. 34 (6), June 2010, 1383-1399.
• "The Impact of the Introduction of the Euro on Foreign Exchange Rate Risk Exposures," with G.A. Karolyi, Journal of Empirical Finance, Vol. 13 (4-5), October 2006, , 519-549.

Other research papers

 

Monographs

• "Artificial Intelligence in Asset Management," with J. Branke and M. Motahari, CFAI Research Foundation, August 2020.