PUBLICATIONS

 

 

PUBLICATIONS IN FINANCIAL ECONOMICS

 

To Group or Not to Group? Evidence from Mutual Fund Databases, (with Saurin Patel), Journal of Financial and Quantitative Analysis, forthcoming.

 

Cross-Listing Waves, (with Michael Schill), Journal of Financial and Quantitative Analysis, 2016, 51(1), 259-306.

 

Treasury Bond Illiquidity and Global Equity Returns, (with Ruslan Goyenko), Journal of Financial and Quantitative Analysis, 2014, 49(5-6), 1227-1253.

 

The Dynamics of Geographic Versus Sectoral Diversification: Is There a Link to the Real Economy?, (with Francesca Carrieri and Vihang Errunza), Quarterly Journal of Finance, 2012, 2(4), 1-41.

 

The Nature of the Foreign Listing Premium: A Cross-Country Examination, (with Michael Schill), Journal of Banking & Finance, 2012, 36(9), 2494-2511.

 

The Demographics of Fund Turnover, (with Susan Christoffersen), Journal of Financial Intermediation, 2011, 20(3), 414-440.

 

City Size and Fund Performance, (with Susan Christoffersen), Journal of Financial Economics, 2009, 92, 252-275. Swiss Finance Institute Outstanding Paper Award.

 

Are There Permanent Valuation Gains to Overseas Listing?, (with Michael Schill), Review of Financial Studies, 2009, 22(1), 371-412.

 

Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression, (with Wayne Ferson and Timothy Simin), Journal of Financial and Quantitative Analysis, 2008, 43(2), 331-354. Also published as NBER working paper #12658.

 

The Overseas Listing Decision: New Evidence of Proximity Preference, (with Michael Schill), Review of Financial Studies, 2004, 17(3), 769-809.

 

Industry Risk and Market Integration, (with Francesca Carrieri and Vihang Errunza), Management Science, 2004, 50(2), 207-221.

 

Is Stock Return Predictability Spurious?, (with Wayne Ferson and Timothy Simin), Journal of Investment Management, 2003, 1(3), 1-10.

 

Spurious Regressions in Financial Economics?, (with Wayne Ferson and Timothy Simin), Journal of Finance, 2003, 58(4), 1393-1413. Also published as NBER working paper #9143. Smith-Breeden Prize Nominee.

 

Incomplete Consumption Risk Sharing and Currency Risk Premiums, Review of Financial Studies, 2003, 16(3), 983-1005.

 

Cross-Sectional Variations in the Degree of Global Integration: The Case of Russian Equities, (with Pavel Fedorov), Journal of International Financial Markets, Institutions & Money, 2000, 10(2), 131-150.  Abstracted in The CFA Digest 30(4), Fall 2000, 95.

 

The Alpha Factor Asset Pricing Model: A Parable, (with Wayne Ferson and Timothy Simin), Journal of Financial Markets, 1999, 2(1), 49-68.  Abstracted in The CFA Digest 30(2), Spring 2000, 17-18.

 

 

BOOK CHAPTERS

 

Spurious Regression and Data Mining in Conditional Asset Pricing Models, (with Wayne Ferson and Timothy Simin), in Handbook of Quantitative Finance, C.F. Lee, Editor, Springer Publishing, 2010.

 

 

PhD Thesis

 

Heterogeneous Consumption and Asset Pricing in Global Financial Markets, 1999.

 

 

PAPERS IN OTHER FIELDS

 

An Algorithm for ‘Ulam’s Game’ and its Application to Error-Correcting Codes, (with Eugene Lawler), Information Processing Letters, 1995, 56(2), 89-93.

 

Adaptive Error-Correcting Codes Based on Cooperative Play of the Game of ‘Twenty Questions with a Liar’, (with Eugene Lawler), in Proceedings of the IEEE Data Compression Conference, Snowbird, Utah, 1995.

 

Informational Transformations in Neural Networks with Dynamic Synaptic Elements, (with Dmitriy Melkonian), Biological Journal of Armenia, 1989, 42(4), 393-400.

 

 

PATENTS

 

Frequency-Voltage Converter, (with Dmitriy Melkonian and Hovhannes Mkrtchian), SU1647882A1, 1991, Russia.

 

An Algorithm for Graphical Representation of a Function with Two Variables in a 3D Coordinate System, SU50900000462, 1990, Russia.