My research interests include asset pricing and market microstructure, both theoretical and empirical. You can see statistics about my research papers at my SSRN author home page .
Home Working Papers

[1] "Rational Trend Followers and Contrarians in Excessively Volatile, Correlated Markets ," Yale ICF Working Paper No. 02-12 . ( Abstract  )

Presented at the Blaise Pascal International Conference on Financial Modeling (July 2003), the AFA 2003 and APFA/PACAP/FMA 2002 Meetings.
Statistics available on SSRN .

[2] " A Model of Stochastic Liquidity " ( Abstract )

Scheduled for presentation at the EFA 2003 Meeting.
Presented at the WFA 2003 Meeting.
Statistics available on SSRN .

[3] " Price Impact Costs and the Limit of Arbitrage ," Yale ICF Working Paper No. 00-66, with Zhiwu Chen and Werner Stanzl. ( Abstract  )
Presented at the WFA 2002, EFA 2002, and APFA/PACAP/FMA 2002 Meetings.
Presentations by coauthors: The RFS Conference on Investments in Imperfect Capital Markets (April 2002).
Statistics available on SSRN .

[4] "Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows ," Yale ICF Working Paper No. 02-09, with Stephen J. Brown, William N. Goetzmann, Takato Hiraki, and Noriyoshi Shiraishi. ( Abstract  )
Presented at the EFA 2002 Meeting.
Presentations by coauthors: The AFA 2003 Meeting, the Wharton Conference on Distribution and Pricing of Delegated Portfolio Management (May 2002), the APFA/PACAP/FMA 2002 Meeting, and invited seminars.
Statistics available on SSRN .












   
   
   
 Last modified 6/2/2003.