PUBLICATIONS

PhD Thesis

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

MAIN PUBLICATIONS

Global Liquidity Provision and Risk Sharing (with Feng Jiao), Journal of Financial and Quantitative Analysis, 2021, 56(5), 1844-1876.

Portfolio Pumping and Managerial Structure (with Saurin Patel), Review of Financial Studies, 2021, 34(1), 194-226.

Cross-Listings and the Dynamics between Credit and Equity Returns (with Patrick Augustin, Feng Jiao, and Michael Schill), Review of Financial Studies, 2020, 33(1), 112-154.

Market and Regional Segmentation and Risk Premia in the First Era of Financial Globalization (with David Chambers and Michael Schill), Review of Financial Studies, 2018, 31(10), 4063-4098.

To Group or Not to Group? Evidence from Mutual Fund Databases (with Saurin Patel), Journal of Financial and Quantitative Analysis, 2017, 52(5), 1989-2021.

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.

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 an 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.

Spurious Regressions in Financial Economics? (with Wayne Ferson and Timothy Simin), Journal of Finance, 2003, 58(4), 1393-1413. Also published as an 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.

OTHER PUBLICATIONS

Nonlinearities and a Pecking Order in Cross-border Investment (with Sara Holland, Michael Schill, and Francis Warnock), Journal of Banking & Finance. 2024, 166, 087896. Also published as an NBER working paper #29432.

Internal Capital Markets and Predictability in Complex Ownership Firms (with Ran Chang, Angelica Gonzalez, and Jun Tu), Journal of Corporate Finance, 2022, 74, 102219.

Cross-Country Competitive Effects of Cross-Listings (with Yan Wang), Review of Corporate Finance Studies, 2020, 9(1), 116-164.

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.

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

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.

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.