Professor of Finance, Chairperson
Seidner Family Faculty Fellow
Boston College, Carroll School of Management
560c Fulton Hall
140 Commonwealth Ave.
Chestnut Hill, MA 02467
Phone: (617) 552-0899 Fax: (617) 552-0431
Liquidity factors 1983-2012
What do measures of real-time corporate sales tell us about earnings management, surprises and post-announcement drift? (with Ken Froot, Namho Kang, and Gideon Ozik), Journal of Financial Economics, forthcoming.
Horizon pricing (with Avraham Kamara, Robert A. Korajczyk, and Xiaoxia Lou), Journal of Financial and Quantitative Analysis, forthcoming.
Invisible Costs and Profitability (with Xiaoxia Lou), Portfolio Construction, Measurement, and Efficiency: Essays in Honor of Jack Treynor, Springer 2016.
Skin in the game versus skimming the game: Governance, share restrictions, and insider flow (with Gideon Ozik), Journal of Financial and Quantitative Analysis 50, December
Do hedge funds reduce idiosyncratic risk? (with Namho Kang and Peter Kondor), Journal of Financial and Quantitative Analysis 49, August 2014, 843–877.
Asset class liquidity risk, Bankers, Markets & Investors 128, January-February 2014, 19-29.
Big data and information edge (with Gideon Ozik), Hedge Funds Review, December 2013/January 2014, 32-34.
Media coverage and hedge-fund returns (with Gideon Ozik), Financial Analysts Journal 69, May/June 2013, 57-75.
Hedge-fund performance and liquidity risk, Journal of Investment Management 10, April 2012, 60-72.
Liquidity risk and accounting information, Journal of Accounting and Economics 52, November 2011, 144-152.
Liquidity level or liquidity risk? Evidence from the financial crisis (with Xiaoxia Lou), Financial Analysts Journal 67, May/June 2011, 51-62.
Are you trading predictably? (with Steven L. Heston, Robert A. Korajczyk, and Lewis D. Thorson), Financial Analysts Journal 67, March/April 2011, 36-44.
Seasonality in the cross-section of stock returns: The international evidence (with Steven L. Heston), Journal of Financial and Quantitative Analysis 45, October 2010, 1133-1160.
Liquidity risk and the cross-section of hedge-fund returns, Journal of Financial Economics 98, October 2010, 54-71.
Intraday patterns in the cross-section of stock returns (with Steven L. Heston and Robert A. Korajczyk), Journal of Finance 65, August 2010, 1369-1407.
Has the US stock market become more vulnerable over time? (with Avraham Kamara and Xiaoxia Lou), Financial Analysts Journal 66, January/February 2010, 41-52.
Mispricing and costly arbitrage (with Anna Scherbina), Journal of Investment Management 8, 2010, 87-99.
Aggregate earnings and asset prices (with Ray Ball and Gil Sadka), Journal of Accounting Research 47, 2009, 1097-1133.
Predictability and the earnings-returns relation (with Gil Sadka), Journal of Financial Economics 94, 2009, 87-106.
Liquidity and the post-earnings-announcement drift (with Tarun Chordia, Amit Goyal, Gil Sadka, and Lakshmanan Shivakumar), Financial Analysts Journal 65, July/August 2009, 18-32.
The divergence of liquidity commonality in the cross-section of stocks (with Avraham Kamara and Xiaoxia Lou), Journal of Financial Economics 89, October 2008, 444-466.
Seasonality in the cross-section of stock returns (with Steven L. Heston), Journal of Financial Economics 87, February 2008, 418-445.
Pricing the commonality across alternative measures of liquidity (with Robert A. Korajczyk), Journal of Financial Economics 87, January 2008, 45-72.
Analyst Disagreement, mispricing, and liquidity (with Anna Scherbina), Journal of Finance 62, October 2007, 2367-2403.
Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk, Journal of Financial Economics 80, May 2006, 309-349.
Are momentum profits robust to trading costs? (with Robert A. Korajczyk), Journal of Finance 59, June 2004, 1039-1082.
Weighted Euclidean centers (with Ami Arbel), Optimization 54, June 2005, 239-251 (M.Sc. thesis).
Liquidity-driven volume and the idiosyncratic volatility puzzle (with Siyi Shen)
Executive compensation convexity and firm crash risk (with Musa Amadeus)
Implied cost of capital in the cross-section of stocks (with Namho Kang)
Liquidity risk and mutual fund performance (with Xi Dong and Shu Feng)
Illiquidity and earnings predictability (with Jon N. Kerr and Gil Sadka)
On the predictability of analyst-forecast errors and the post-earnings-announcement drift (with Xiaoxia Lou, Yaniv Konchitchki, and Gil Sadka)
Smart money or smart about money? Evidence from hedge funds (with Gideon Ozik)
Does recognition explain the media-coverage discount? Contrary evidence from hedge funds (with Gideon Ozik)
Can liquidity explain the low-short-interest puzzle? Implications from the options market (with Jefferson Duarte and Xiaoxia Lou)
How fundamental is the pricing of liquidity? Evidence from Bolsa and Börse, 1902-1925 (with Lyndon Moore)
Measuring the actions of liquidity providers