Faculty & Research

Latest Publications

1. Hong, Harrison, Terence Lim, and Jeremy C. Stein, 2000, Bad News Travels Slowly: Size, Analyst Coverage and the Profitability of Momentum Strategies, The Journal of Finance

2. Hong, Harrison, 2000, A Model of Returns and Trading in Futures Markets, The Journal of Finance

3. Lo, Andrew W, and Jiang Wang, 2000, Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory, The Review of Financial Studies

4. Chou, Pin-Huang, Yuan-Lin Hsu, 2000, Investment Horizon and the Cross Section of Expected Returns: Evidence from the Tokyo Stock Exchange, Annals of Economics and Finance

5. Heston, Steve, and Guofu Zhou, 2000, On Rate of Convergence of Discrete-time Contingent Claims, Mathematical Finance

6. Zhang, Harold H., 2000, Explaining Bond Returns in Heterogeneous Agents Models: The Importance of Higher Order Moments, Journal of Economic Dynamics & Control

7. Yaron, Amir, and Harold H. Zhang, 2000, Fixed Costs and Asset Market Participation, Revista De Analisis Economico

8. Duffie, Darrell, Jun Pan, and Kenneth Singleton, 2000, Transform Analysis and Asset Pricing for Affine Jump-Diffusions, Econometrica

9. Chang, Chun, and Yijiang Wang, 2000, Choosing between Up-or-Out and Spot Contracts: Human Capital Investment versus Job-Matching Considerations, Annals of Economics and Finance

10. Thomas, Jacob, and Xiao-Jun Zhang, 2000, Identifying unexpected accruals: a comparison of current approaches, Journal of Accounting and Public Policy