I. Published or Accepted
Papers:
"Theory-Based
Illiquidity and Asset Pricing,"
2008, with Tarun Chordia and Avanidhar Subrahmanyam,
Review
of Financial Studies, Forthcoming.
"Dynamic
Factors and Asset Pricing,"
2008, with Lawrence He (Brock University) and Bong-Soo Lee (Florida
State University),
Journal
of Financial and Quantitative Analysis, Forthcoming.
"The Cross-Section of Expected Trading
Activity," with Tarun Chordia (Emory University) and Avanidhar
Subrahmanyam
(UCLA),
Review
of Financial Studies 20, 2007, 709-740.
"Order
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:
"An
Analysis of the Amihud Illiquidity Premium,"
2011, with M. Brennan and A. Subrahmanyam.
III. Work in Progress: