I. Published or Accepted Papers
:

"High-Frequency Measures of Informed Trading and Corporate Announcements," 2017, with M. Brennan and A. Subrahmanyam
Review of Financial Studies, Forthcoming.
The Internet Appendix to the above paper is available here.
Featured in the Harvard Law School Forum on Corporate Governance and Financial Regulation (Feb 13, 2018):
https://corpgov.law.harvard.edu/2018/02/13/high-frequency-measures-of-informed-trading-and-corporate-announcements/


"The Non-information Cost of Trading and its Relative Importance in Asset Pricing," 2016, with Kee H. Chung
Review of Asset Pricing Studies 6, 261-302.

"Asymmetric Effects of Informed Trading on the Cost of Equity Capital," 2014, with M. Brennan and A. Subrahmanyam
Management Science 62, 2460-2480 (Lead Article).
The online Appendix to the above paper is available here.

"Options Market Makers' Hedging and Informed Trading: Theory and Evidence," with H. Lin and A. Mello.
Journal of Financial Markets 23, 2015, 26-58.

"An Analysis of the Amihud Illiquidity Premium," with M. Brennan and A. Subrahmanyam,
Review of Asset Pricing Studies 3, 2013, 133-176.

"Price Impact and Asset Pricing,"
Journal of Financial Markets 19, 2014, 1-38 (Lead Article).

"Dynamic Factors and Asset Pricing," with Lawrence He and Bong-Soo Lee,
Journal of Financial and Quantitative Analysis 45, 2010, 707-737.

"Theory-Based Illiquidity and Asset Pricing," with Tarun Chordia and Avanidhar Subrahmanyam,
Review of Financial Studies 22, 2009, 3269-3668.

"The Cross-Section of Expected Trading Activity," with Tarun Chordia and Avanidhar Subrahmanyam,
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:

"Technology Competition and Informed Trading: Evidence from Weekly Patent Announcements," 2018, with Zhenyu Gao and Po-Hsuan Hsu

"What does the Prevalence of Zero Returns Tell Us? Evidence from U.S. Treasury Securities," 2018, with Seung-Oh Han




III. Work in Progress:


"Liquidity Spillover," 2018, with Yakov Amihud and Avanidhar Subrahmanyam