Sector Investment Growth Rates and the Cross Section of Equity Returns,” (with Qing Li and Yuhang Xing), Journal of Business. Vol. 79, No. 3, May 2006, 1637-1665

The instantaneous capital market line,” (with Lars T. Nielsen), Economic Theory August 2006, Volume 28, Issue 3, pp 651-664 [Downloadable working paper at SSRN].

Default Risk in Equity Returns,” (with Yuhang Xing), Journal of Finance, 2004, LIX(2): 831-68. Get PDF (215K)

Sharpe Ratios and Alphas in Continuous Time,” (with Lars T. Nielsen), Journal of Financial and Quantitative Analysis, Vol. 39, No. 1 (Mar., 2004), pp. 103-114.

News related to future GDP growth as a risk factor in equity returns,” Journal of Financial Economics, Volume 68, Issue 1, April 2003, Pages 47–73.

Do We Need Multi-Country Models to Explain Exchange Rate and Interest Rate Dynamics?, (with Robert Hodrick), Journal of Economic Dynamics and Control, 2002, 26, 1275-1299.

Can book-to-market, size and momentum be risk factors that predict economic growth?,” (with Jimmy Liew), Journal of Financial Economics, 2000, 57, 221-245.

Exchange rate and foreign inflation risk premiums in global equity returns,” Journal of International Money and Finance, 2000, 19, 433-470.

Working Papers

The interrelation of Liquidity Risk, Default Risk, and Equity Returns,” (with Jing Chen and Lihong Zhou).

Abnormal Equity Returns Following Downgrades,” (with Yuhang Xing).

Corporate Innovation, Price Momentum, and Equity Returns,” (with Kodjo Apedjinou).

Investing in Size and Book-to-Market Portfolios Using Information About the Macroeconomy: Some New Trading Strategies,” (with Mike Cooper and Huseyin Gulen).