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PUBLICATIONS
PhD Thesis:
Heterogeneous Consumption and Asset Pricing in Global Financial Markets, 1999.
PUBLICATIONS IN FINANCIAL ECONOMICS:
The Demographics of Fund Turnover, (with Susan Christoffersen), Journal of Financial Intermediation, forthcoming.
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), Prepared for the Handbook of Quantitative Finance, C.F. Lee, Editor, Springer Publishing.
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 Dmitri Melkonian), Biological Journal of Armenia, 1989, 42(4), 393-400.
PATENTS:
Frequency-Voltage Converter, (with Dmitri 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.
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