Papers

Publications

• Contracting in Peer Networks, Journal of Finance, forthcoming (with Peter DeMarzo).

o Best paper prize, 2016 Utah Winter Finance Conference

• Filing Speed, Information Leakage, and Price Formation, Review of Accounting Studies, forthcoming (with Jeffrey L. Callen and Dan Segal)
• The Real Side of the High-Volume Return Premium, Management Science, 2022, 68(2), 1426-1449 (with Doron Israeli and Suhas A. Sridharan)
• Impact of Managerial Commitment on Risk Taking with Dynamic Fund Flows , Management Science,  2019, 65(7), 3174-3195 (with Stathis Tompaidis and Ti Zhou)
• Are Mutual Fund Managers Paid for Investment Skill?, Review of Financial Studies ,   2018, 31(2), 715-772 (with Markus Ibert, Stijn Van Nieuwerburgh and Roine Vestman)

o Vox Column, 08 September 2017

o Harvard Law School Forum of Corporate Governance and Financial Regulation Column, 02 October 2017

• WSJ Category Kings - the impact of media attention on consumer and mutual  fund investment decisions, Journal of Financial Economics,  2017, 123 (2), 337-356 (with Robert Parham)

o Vox Column, 06 March 2016

• Are Retail Traders Compensated for Providing Liquidity?, Journal of Financial Economics, 2016, 120, 146-168 (with Jean-Noël Barrot and David Sraer)

o Eurofidai best paper award, 2016

• Asset Return Predictability in a Heterogeneous Agent Equilibrium Model, Quarterly Journal of Finance , 2015, 5 (2), (with David Chapman, Murray Carlson and Hong Yan)
• The Delegated Lucas-Tree, Review of Financial Studies, 2013, 26 (4), 929-984 (with Péter Kondor)
• Why Do Institutional Investors Chase Return Trends?, Journal of Financial Intermediation, 2012, 21(4), 694-721 (with Aydogan Alti and Uzi Yoeli)
• Individual Investor Trading and Return Patterns around Earnings Announcements, Journal of Finance, 2012, 67, 639-680(with Shuming Liu, Gideon Saar and Sheridan Titman)
• The High Volume Return Premium: Cross-Country Evidence, Journal of Financial Economics, 2012,103, 255-279 (with Arzu Ozoguz and Laura Starks)

o 2003 FMA European Meeting Best Paper Award

• Equilibrium Prices in the presence of Delegated Portfolio Management, Journal of Financial Economics, 2011, 101, 264-269 (with Domenico Cuoco)
• Mutual Fund Portfolio Choice in the Presence of Dynamic Flows, Mathematical Finance, 2010, 20 (2), 187-227 (with Julien Hugonnier)
• Price drift as an outcome of differences in higher order beliefs , Review of Financial Studies, 2009,  22, 3707-3734 (with Snehal Banerjee and Ilan Kremer)
• Individual Investor Trading and Stock Returns, Journal of Finance, 2008, 63 (1), 273-310 (with Gideon Saar and Sheridan Titman)

o Finalist for 2008 Smith Breeden Prize for best paper published by the Journal of Finance

o Glucksman Institute Research Prize Second Place Award for best Stern School of Business research papers in finance, 2004

• Technological Innovation and Real Investment Booms and Busts, Journal of Financial Economics, 2007, 85(3), 735-754 (with Peter DeMarzo and Ilan Kremer)
• Efficient Computation of Hedging Parameters for Discretely Exercisable Options, Operations Research, 2008, 56(4), 811-826 (with Stathis Tompaidis and Alex Zemlianov)

o Lead Article

• Relative Wealth Concerns and Financial Bubbles, Review of Financial Studies, 2008, 21(1), 19-50 (with Peter DeMarzo and Ilan Kremer)
• Tax Management Strategies with Multiple Risky Assets, Journal of Financial Economics, 2006, 80(2), 243-291(with Michael Gallmeyer and Stathis Tompaidis)

o Lead Article

• So What Orders Do Informed Traders Use?, Journal of Business, 2006,79(4), 1867-1913 (with Hong Liu)

o Geewax, Terker Company First Prize as best paper published in Wharton's Rodney L. White Center working paper series, 1998

• Diversification as a Public Good: Community Effects in Portfolio Choice, Journal of Finance, 2004, 59(4), 1677-1715 (with Peter DeMarzo and Ilan Kremer)

o Nominated for 2004 Smith Breeden Prize as best paper published by the Journal of Finance

o Featured in the Washington Post

• Leaning for the Tape: Evidence of Gaming Behavior In Equity Mutual Mutual Funds, Journal of Finance, 2002, 57(2), 661-693 (with Mark Carhart, David Musto and Adam Reed).

o Nominated for 2002 Smith Breeden Prize as best paper published by the Journal of Finance

o Featured in the Wall Street Journal, New York Times, Washington Post, and others

• The High-Volume Return Premium, Journal of Finance, 2001, 56(3), 877-920 (with Simon Gervais and Dan Mingelgrin)
• Competitive Optimal Online Leasing, Algorithmica, 1999, 25 (1), 116-140 (with R. El-Yaniv and N. Linial)

Working Papers and Work in Progress

• Market Power in the Securities Lending Market, working paper, 2022 (Shuaiyu Chen, and Christian Opp)
• Machine-Learning the Skill of Mutual Fund Managers, working paper, 2022 (Zihan Lin, Markus Pelger, and Stijn Van Nieuwerburgh)
• NBER Digest, 2022, 5 (May 2)
• Hiding Behind the Window Blinds: Strategic Trading under Portfolio Partial Disclosure, working paper, 2022 (Jennifer (Jie) Li, Donghui Shi, and Qi Zhang)
• Asset pricing best paper award, 2022 China Financial Research Conference
• Firm Characteristics and Stock Price Levels: A Long-Term Discount Rate Perspective , working paper, 2021 (with Yixin Chen)
• Unmasking Mutual Fund Derivative Use, working paper, 2020 (with Pingle Wang)
• Intermediated Asymmetric Information, Compensation and Career Prospects, under revision for resubmission to the American Economic Review, 2020 (with Dmitry Orlov)
• Advertising and Mutual Funds: From Families to Individual Funds, permanent working paper, 2009 (with Steven Gallaher and Laura Starks)
• TWC best paper award, 2010 China International Conference in Finance