I. Published or Accepted
Non-information Cost of Trading and its Relative Importance in Asset
Pricing," 2015, with Kee H. Chung
of Asset Pricing Studies, Forthcoming.
Effects of Informed Trading on the Cost of Equity Capital,"
2014, with M. Brennan and A. Subrahmanyam
Science 62, 2460-2480 (Lead Article).
The online Appendix to the above paper is available here.
Market Makers' Hedging and Informed Trading: Theory and Evidence,"
with H. Lin and A. Mello.
of Financial Markets 23, 2015, 26-58.
Analysis of the Amihud Illiquidity Premium," with M. Brennan
and A. Subrahmanyam,
of Asset Pricing Studies 3, 2013, 133-176.
Impact and Asset Pricing,"
of Financial Markets 19, 2014, 1-38 (Lead Article).
Factors and Asset Pricing," with Lawrence He and
of Financial and Quantitative Analysis 45, 2010, 707-737.
and Asset Pricing," with Tarun Chordia and Avanidhar Subrahmanyam,
of Financial Studies 22, 2009, 3269-3668.
"The Cross-Section of Expected Trading
Activity," with Tarun Chordia and Avanidhar
of Financial Studies 20, 2007, 709-740.
Flow Patterns around Seasoned Equity Offerings and their Implications
for Stock Price Movements," with Avanidhar Subrahmanyam,
International Review of Finance
5, 2005, 75-111.
II. Working Papers:
Property News and Informed Trading: Evidence from Patenting Activities,"
2016, with Po-Hsuan Hsu
Measures of Informed Trading and Corporate Announcements,"
2016, with M. Brennan and A. Subrahmanyam
III. Work in Progress: