Published Papers:
- Dealer Intermediation and Price Behavior in the Aftermarket for New Bond Issues
Journal of Financial Economics 86, 2007; 643-682.
(With: Richard Green, Norman Schurhoff)
- Financial Intermediation in Opaque Markets
Review of Financial Studies 20, 2007; 275-314.
(With: Richard Green, Norman Schurhoff)
- Arbitrage-Free Bond Pricing with Dynamic Macroeconomic Models
Federal Reserve Bank of St. Louis Review, 2007.
(With: Stanley Zin, Michael Gallmeyer, Francisco Palomino)
- Estimating the Gains from Trade in Limit Order Markets
Journal of Finance, 2006.
(With: Robert Miller, Patrik Sandas, Joshua Slive)
- Financial Intermediation and the Costs of Trading in an Opaque Market
Review of Financial Studies, Forthcoming.
(With: Rick Green, Norman Schurhoff)
- Taylor Rules, McCallum Rules and the Term Structure of Interest Rates
Journal of Monetary Economics, Summer 2005.
(With: Michael Gallmeyer, Stanley Zin)
- Empirical Analysis of Limit Order Markets
Review of Economic Studies, October 2004.
(With: Robert Miller, P. Sandas)
- The Personal-Tax Advantages of Equity
Journal of Financial Economics 67, 2003; 175-216.
(With: Richard Green)
- Managerial Discretion and Defensive Measures
Journal of Finance.
(With: Ron Giammarino, Robert Heinkel)
- An Examination of Uncovered Interest Parity in Segmented Commodity Markets
Journal of
Finance.
(With: R. Uppal)
- When Will Mean-Variance Efficient Portfolios be Well-Diversified?
Journal of Finance 47, 1992; 1785-1810.
(With: Richard Green)
Working Papers:
- Bond Pricing, Habits, and a Simple Policy Rule
July, 2009.
(With: Michael Gallmeyer, Francisco Palomino, Stanley Zin)
- Is Investor Rationality Time Varying? Evidence from the Mutual Fund Industry
July, 2009.
(With: Vincent Glode, Marcin Kacperczyk, Shimon Kogan)
- Financial leverage and the leverage effect: A market and firm analysis
August, 2007.
(With: A Cevdet Aydemir, Michael Gallmeyer)
- Demand Discovery and Asset Pricing
July, 2006.
(With: Michael Gallmeyer, Duane Seppi)
- Liquidity Discovery and Asset Pricing
January, 2004.
(With: Michael Gallmeyer, Duane Seppi)
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