Working Papers


“The Propagation of Shocks Across International Equity Markets: A Microstructure Perspective” [PDF
     (with Dion Bongaerts, Richard RollDominik M. Rösch and Darya Yuferova) – July 2015.
     UCLA Anderson Working Paper No. 5-14.
     Caltech Working Paper No. 1393.    

“An Empirical Analysis of Co-Movements in Market Efficiency Measures” [PDF
    (with Dominik M. Rösch and Avanidhar Subrahmanyam) – July 2015.

“Cross-sectional Identification of Informed Trading” [PDF
     (with Dion Bongaerts and Dominik M. Rösch) – November 2014.

“Do Firms Issue More Equity When Markets are More Liquid?” [PDF
    (with René M. Stulz and Dimitrios Vagias) – March 2014.
     NBER Working Paper No. 19229.

“The Social Costs of Financial Crises” [PDF] – June 2013.

“Resurrecting the Size Effect: Firm Size, Profitability Shocks, and Expected Stock Returns” [PDF
(with Kewei Hou) – July 2012.

“International Capital Flows and Liquidity” [PDF
    (with Dimitrios Vagias) – February 2012.

“Strategic Competition, Capital Structure, and Market Share” [PDF]
    (with Abe de Jong and Thuy Thu Nguyen) – March 2008.
     EFA 2008.

“Strategic Debt: Evidence from Bertrand and Cournot Competition” [PDF
    (with Abe de Jong and Thuy Thu Nguyen) – June 2007.