Very Noisy Option Prices and Inferences Regarding the Volatility Risk Premium 

with Christopher Jones and Junbo Wang 

Forthcoming in the Journal of Finance

Best Paper Presented at the 2019 Conference on Derivatives and Volatility

The idiosyncratic volatility puzzle: Then and now

with Andrew Detzel, Avraham Kamara, Stephan Siegel and Celine Sun 

Critical Finance Review, 2023, vol 12, pp 9-56

A Comparison of some Structural Models of Private Information Arrival

with Edwin Hu and Lance Young

Journal of Financial Economics, 2020, vol. 135, pp. 795-815

Best Paper Presented at the 2015 Multinational Finance Association Meeting

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Davids, Goliaths and Business Cycles

with Nishad Kapadia

Journal of Financial and Quantitative Analysis, 2017, vol. 52, pp 2429-2460

Foreign Listings, US Equity Markets, and the Impact of the Sarbanes-Oxley Act

with Katie Kong, Stephan Siegel and Lance Young 

Review of Finance, 2014, vol. 18, pp. 417-455

Trust and Credit: The Role of Appearance in Peer-to-Peer Lending

with Stephan Siegel and Lance Young

Review of Financial Studies, 2012, vol. 25, 2455-2484

Best Paper Presented at the 2009 German Finance Association Meeting

Residential Mortgage Credit Derivatives

with Douglas A. McManus

Real Estate Economics, 2011, vol. 39, 671-700.

Why is PIN Priced?  

with Lance Young

Journal of Financial Economics, 2009, vol. 91, 119-138 (Lead Article)

Fama-DFA Prize for the Best Paper Published in 2009

The Causal Effect of Mortgage Refinancing on Interest Rate Volatility:  Empirical Evidence and Theoretical Implications                             

Review of Financial Studies, 2008, vol. 21, 1689-1731.

Second Best Paper Presented at the 2006 WHU Fixed Income Conference

Information Asymmetry, Information Dissemination and the Effect of Regulation FD on the Cost of Capital 

with Xi Han, Jarrad Harford and Lance Young

Journal of Financial Economics, 2008, vol. 87, no. 1, 24-44

Risk and Return in Fixed Income Arbitrage: Nickels in Front of a Steamroller? 

with Francis Longstaff and Fan Yu                                                          

Review of Financial Studies, 2007, vol. 20, no. 3, 769-811

Evaluating an Alternative Risk Preference in Affine Term Structure Models              

Review of Financial Studies, 2004, vol. 17, no. 2, 370-404

Nonparametric Option Pricing under Shape Restrictions 

with Yacine Aït-Sahalia        

Journal of Econometrics, 2003, vol. 116, no. 1, 9-47 

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