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Main Interests: Behavioral Finance, Empirical Asset Pricing, Corporate Finance, Computational Economics.

Download my papers from SSRN

 

 

PUBLICATIONS

1.     What is in a Name? Mutual Fund Flows When Managers Have Foreign-Sounding Names (with Alexandra Niessen-Ruenzi and Oliver Spalt).

v Review of Financial Studies, Conditionally Accepted.

2.     Political Values, Culture, and Corporate Litigation (with Irena Hutton and Danling Jiang).

v Management Science, Forthcoming

3.     Weather-Induced Mood, Institutional Investors, and Stock Returns (with William N. Goetzmann, Dasol Kim, and Qin Wang).

v Review of Financial Studies, Forthcoming.

4.     Local Business Cycles and Local Liquidity (with Gennaro Bernile, George Korniotis, and Qin Wang).

v Journal of Financial and Quantitative Analysis, Forthcoming.

5.     Gambling and Comovement (with Jeremy Page and Oliver Spalt).

v Journal of Financial and Quantitative Analysis, Forthcoming.

6.     Corporate Policies of Republican Managers (with Irena Hutton and Danling Jiang).

v Journal of Financial and Quantitative Analysis, Forthcoming.

7.     Deviations From Norms and Informed Trading (with Jeremy Page).

v Journal of Financial and Quantitative Analysis, 49 (4).

8.     Income Hedging and Portfolio Decisions (with Yosef Bonaparte and George Korniotis).

v Journal of Financial Economics, 113 (2), 300-324.

9.     Information Acquisition and Confirmation Bias in Virtual Communities: Evidence from Stock Message Boards (with Bin Gu, Prabhudev Konana, JaeHong Park, and Raj Raghunathan).

v Information Systems Research, 24 (4), 1050-1067.

10.  Investor Sentiment and Return Comovements: Evidence From Stock Splits and Headquarters Changes (with Jeremy Page and Oliver Spalt)

v Review of Finance, 17 (3), 921-953.

11.  Political Activism, Information Costs, and Stock Market Participation (with Yosef Bonaparte).

v Journal of Financial Economics, 107 (3), 760-786.

12.  State-Level Business Cycles and Local Return Predictability (with George Korniotis)

v Journal of Finance, 68 (3), 1037-1096.

13.  Speculative Trading and Asset Prices (with Bing Han)

v Journal of Financial and Quantitative Analysis, 48 (2), 377-404.

14.  Do Portfolio Distortions Reflect Superior Information or Psychological Biases? (with George Korniotis)

v Journal of Financial and Quantitative Analysis, 48 (1), 1-45. Lead Article.

15.  Local Investors and Corporate Governance (with Vidhi Chhaochharia and Alexandra Niessen).

v Journal of Accounting and Economics, 54 (1), 42-67.

16.  Religious Beliefs, Gambling Attitudes, and Financial Market Outcomes (with Jeremy Page and Oliver Spalt)

v Journal of Financial Economics, 102 (3), 671-708.

17.  Behavioral Biases of Mutual Fund Investors (with Warren Bailey and David T. Ng)

v Journal of Financial Economics, 102 (1), 1-27. Lead article.

18.  Do Behavioral Biases Adversely Affect the Macro-Economy? (with George Korniotis)

v Review of Financial Studies, 24 (5), 1513-1559.

19.  Do Older Investors Make Better Investment Decisions? (with George Korniotis)

v Review of Economics and Statistics, 93 (1), 244-265, 2011.

v Wall Street Journal (Feb 13, 2010). New York Times (Dec 4, 2005).

20.  Self-Selection and the Forecasting Abilities of Female Equity Analysts

v Journal of Accounting Research, 48 (2), 393-435, 2010.

21.  Idiosyncratic Volatility Puzzle: Time Trend or Speculative Episodes? (with Michael Brandt, Alon Brav, and John Graham)

v Review of Financial Studies, 23 (2), 863-899, 2010.

22.  Hard-To-Value Stocks, Behavioral Biases, and Informed Trading

v Journal of Financial and Quantitative Analysis, 44 (6), 1375-1401, 2009. 

23.  Dynamic Style Preferences of Individual Investors and Stock Returns

v Journal of Financial and Quantitative Analysis, 44 (3), 607-640, 2009. 

24.  Who Gambles in the Stock Market?

v Journal of Finance, 64 (4), 1889-1933, 2009.

25.  Equity Portfolio Diversification (with William N. Goetzmann)

v Review of Finance, 12 (3), 433-463, 2008.  Lead article. 

26.  How Do Decision Frames Influence the Stock Investment Choices of Individual Investors? (with Sonya Lim)

v Management Science, 54 (6), 1052-1064, 2008.

27.  Foreign Investments of U.S. Individual Investors: Causes and Consequences (with Warren Bailey and David T. Ng)

v Management Science, 54 (3), 443-459, 2008.

28.  Do the Diversification Choices of Individual Investors Influence Stock Returns?

v Journal of Financial Markets, 10 (4), 362-390, 2007.

29.  Retail Investor Sentiment and Return Comovements, (with Charles M.C. Lee)

v Journal of Finance, 61 (5), 2451-2486, 2006.

30.  Do Dividend Clienteles Exist? Evidence on Dividend Preferences of Retail Investors (with John Graham)

v Journal of Finance, 61 (3), 1305-1336, 2006.

31.  Variations on the Theme of Scarf's Counter-Example (with Martin Shubik)

v Computational Economics, 24 (1), 1-19, 2004.  Lead article.

32.  A Computational Analysis of Core Convergence in a Multiple Equilibria Economy (with Martin Shubik)

v Games and Economic Behavior, 42, 253-266, 2003.

33.  The Dow Theory: William Peter Hamilton's Track Record Re-Considered (with William N. Goetzmann and Stephen J. Brown)

v Journal of Finance, 53 (4), 1311-1333, 1998.   

Books and Book Chapters

34.  Psychology-Based Trading Strategies, Oxford University Press, 2013, Forthcoming.

35.  Cognitive Abilities and Financial Decisions (with George Korniotis), Behavioral Finance (edited by H. Kent Baker and John Nofsinger), Chapter 30, John Wiley and Sons, 2010.
 

WORKING PAPERS

Revise and Resubmit

36.  Political Contributions and Analyst Behavior (with Danling Jiang and Kelvin Law). May 2014.

v Second round at the Review of Accounting Studies.

37.  Political Climate, Optimism, and Investment Decisions (with Yosef Bonaparte and Jeremy Page). May 2014.

v AFA 2012, 2011 Queens Behavioral Finance Conference.

v New York Times (January 31, 2010). 

v Second round at the Journal of Financial Markets.

38.  Why the Going-Concern Anomaly: Gambling in the Market? (with Asad Kausar and Richard J. Taffler).

v  Third round at the Journal of Accounting and Economics.

39.  Online Search and Return Comovement (with Ashish Agarwal, Alvin Leung, and Prabhudev Konana).

v Third round at the Management Science.

40.  Analysts, Macroeconomic News, and the Benefit of In-House Economists (with Artur Hugon and An-Ping Lin).

v Second round at the Accounting Review.

41.  Home Away From Home: Economic Relevance and Local Investors (with Gennaro Bernile and Johan Sulaeman).

v Third round at the Review of Financial Studies.

42.  Political Sentiment and Predictable Returns (with Jawad Addoum).

v Second round at the Review of Financial Studies.

43.  Stature, Obesity, and Portfolio Choice (with George Korniotis and Jawad Addoum).

v Third round at the Management Science.

Reject and Resubmit

44.  Income Risk, Dynamic Style Preferences, and Return Predictability (with George Korniotis and Jawad Addoum). August 2014.

Papers Under Initial Submission

45.  Geographic Diffusion of Information and Stock Returns (with Jawad Addoum and Kelvin Law). July 2014. AFA 2015.

46.  Assessing Hedge Fund Performance When Fund Returns are Skewed (with Andrea Heuson and Mark Hutchinson). July 2014.

47.  Are Institutional Investors Truly Skilled or Merely Opportunistic? (with Gennaro Bernile, Johan Sulaeman, and Qin Wang). July 2014.

48.  Investor Sophistication and Asset Prices (with George Korniotis and Jeremy Page). May 2014.

49.  Under-reaction to Political Information and Price Momentum (with Jawad Addoum, Da Ke, and Stefanos Delikouras). April 2014. AFA 2015.

50.  Bankruptcy Sells Stocks… But Who’s Buying (and Why)? (with Luis Coelho, Kose John, and Richard Taffler). April 2014.

Other Working Papers and Work-in-Progress

51.  Geography of Firms and Propagation of Local Economic Shocks (with Gennaro Bernile, and George Korniotis). July 2014.

52.  Contagious Negative Sentiment and Corporate Policies: Evidence from Local Bankruptcy Filings (with Jawad Addoum and Nhan Le). February 2014.

53.  Social Risk and Portfolio Choice (with Yosef Bonaparte). March 2013.

54.  Prozac for Depressed States? Effect of Mood on Local Economic Recessions (with Vidhi Chhaochharia and George Korniotis). December 2012.

v WSJ Economic Blog, Miami Herald, NPR, Psychology Today (Sept/Oct 2011).

55.  Leveling the Playing Field: Regulation and Disappearing Local Bias (with Gennaro Bernile and Johan Sulaeman). October 2012.

v China International Conference 2012, EFA 2012.

56.  Under-Estimating Female CEOs (with Justin Wolfers). 

v 2008 Conference on Empirical Legal Studies, NBER Law and Economics Summer Institute 2008, ALEA 2008, UT Economics of Business and Law Symposium 2008. Under major revision.  

OTHER RELATED WORK

1.     Aspnes, James, David F. Fischer, Michael J. Fischer, Ming Y. Kao and Alok Kumar, Towards Understanding the Predictability of Stock Markets From the Perspective of Computational Complexity, Proceedings of the 12th Annual ACM-SIAM Symposium on Discrete Algorithms, pp. 745-754, January 2001.  SODA version  Full version

2.     Kumar, Alok and Victor E. McGee, 1996, FEVA (Feature Vector Analysis): Explicitly Looking for Structure and Forecastability in Time Series Data, Economic and Financial Computing, Winter 1996, pp. 165-189.  

 

 

 

 

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Last Updated: 10/21/2014.

 

 

 

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