Research

Publications:

Crowded Trades and Tail Risk,” with Gregory Brown and Philip Howard, Review of Financial Studies, forthcoming, 2021.

Tractable Term Structure Models,”with Bruno Feunou, Jean-Sebastien Fontaine, and Anh Le, Management Science, conditional acceptance, 2021

Heterogeneous Taxes and Limited Risk Sharing: Evidence from Municipal Bonds,” with Tania Babina, Pab Jotikasthira, and Tarun Ramadorai, Review of Financial Studies, 2021. 34, 509–568.

Taper Tantrums: QE, its Aftermath and Emerging Market Capital Flows,” with Anusha Chari and  Karlye Dilts Stedman, Review of Financial Studies, 2021, 34, 1445–1508.

Firm Characteristics, Consumption Risk, and Firm-Level Risk Exposures,” with Robert Dittmar, Journal of Financial Economics, 2017, 125, 326-343.

Political Risk and International Valuation” (lead article) with Geert Bekaert, Campbell R. Harvey, and Stephan Siegel, Journal of Corporate Finance, 2016, 37, 1-23.

Is Historical Cost Accounting a Panacea? Market Stress, Incentive Distortions, and Gains Trading,” with Andrew Ellul, Pab Jotikasthira, and Yihui Wang, Journal of Finance, 2015, 70, 2489–2538.

Why Do Term Structures in Different Currencies Comove?,” with Pab Jotikasthira and Anh Le, Journal of Financial Economics, 2015, 115, 58-83.

Mark-to-Market Accounting and Systemic Risk in the Financial Sector: Evidence from the Insurance Industry,” with Andrew Ellul, Pab Jotikasthira, and Yihui Wang, Economic Policy, 2014, 78, 297-341.

Political Risk Spreads,” with Geert Bekaert, Campbell R. Harvey, and Stephan Siegel, Journal of International Business Studies, 2014, 45, 471-493.

The European Union, the Euro, and Equity Market Integration,” (lead article) with Geert Bekaert, Campbell R. Harvey, and Stephan Siegel, Journal of Financial Economics, 2013, 109, 583-603.

How Do Foreign Investors Impact Domestic Economic Activity? Evidence from China and India” with Tarun Ramadorai and Pab Jotikasthira, Journal of International Money and Finance, 2013, 39, 89-110.

Asset Fire Sales and Purchases and the International Transmission of Financial Shocks,” with Tarun Ramadorai and Pab Jotikasthira, Journal of Finance, 2012, 67, 2015-2050.

Regulatory Pressure and Fire Sales in the Corporate Bond Market,” with Andrew Ellul and Pab Jotikasthira, Journal of Financial Economics, 2011, 101, 596-620.

What Segments Equity Markets?,” with Geert Bekaert, Campbell R. Harvey, and Stephan Siegel, Review of Financial Studies, 2011, 24, 3841-3890 (lead article).

Financial Openness and Productivity,” (lead article) with Geert Bekaert and Campbell R. Harvey, World Development, 2011, 39, 1-19.

Liquidity and Expected Returns: Lessons from Emerging Markets,” with Geert Bekaert and Campbell R. Harvey, Review of Financial Studies, 2007, 20, 1783-1831. (Earlier version also available as NBER working paper #11413)

The Risk Return Tradeoff in the Long-Run: 1836-2003,” Journal of Financial Economics, 2007, 85, 123-150.

Global Growth Opportunities and Market Integration,” with Geert Bekaert, Campbell R. Harvey, and Stephan Siegel, Journal of Finance, 2007, 62, 1081-1137. (Earlier version also available as NBER working paper #10990)

Growth Volatility and Financial Liberalization,” with Geert Bekaert and Campbell R. Harvey,  Journalof International Money and Finance, 2006, 25, 370-403. (Earlier version also available as NBER working paper #10560)

Consumption, Dividends, and the Cross-Section of Equity Returns,” with Ravi Bansal and Robert Dittmar, Journal of Finance, 2005, 60, 1639-1672.

Does Financial Liberalization Spur Growth,” (lead article) with Geert Bekaert and Campbell R. Harvey, Journal of Financial Economics, 2005, 77, 3-56. (Earlier version also available as NBER working paper #8245).

Equity Market Liberalization in Emerging Markets,” with Geert Bekaert and Campbell R. Harvey, Journal of Financial Research 2003 (Fall).  Also pubslihed in The Federal Reserve Bank of St. Louis Review, July/August 2003, Volume 85, Number 4 — prepared for 27th Annual Economic Policy Conference, Finance and Real Economic Activity.

“Market Efficiency, Fundamental Values, and the Size of the Risk Premium in Global Equity Markets,” (lead article) with Ravi Bansal, Journal of Econometrics, 2002, 109, 195-237.

“Emerging Equity Markets and Economic Development,” with Geert Bekaert and Campbell R. Harvey, Journal of Development Economics 2001, 66, 465-504. (Earlier version also available as NBER working paper #7763). 

Other Publications:

Mark-to-Market Accounting, Market Stress and Incentive Distortions” with Andrew Ellul, Pab Jotikasthira, and Yihui Wang, 2013, University of Notre Dame Center for the Study of Financial Regulation.

The U.S. Economic Crisis: Root Causes and the Road to Recovery,” with Greg Brown. Journal of Accountancy, October 2009, 208(4), p. 42-49.

Behind the Boom: The Risks of Emerging Markets,” Canadian Investment Review, 2007, 20, 22-26.

“Brazil in Crisis” with Campbell R. Harvey and Diego Valderrama, Emerging Markets Quarterly 1999, Spring, 4-9.

Book Chapters:

“Spillover Effects from Risk Regulation on the Asset Side to Asset Markets,” with Andrew Ellul and Christian Lundblad, in Hufeld, Felix, Ralph Koijen, and Christian Thimann, eds.: The Economics, Regulation, and Systemic Risk of Insurance Markets, Fall 2016.

“Measurement and Impact of Equity Market Liberalization,” In Gerard Caprio, editors: The Evidence and Impact of Financial Globalization, GLFI3, UK: Academic Press, 2012, pp. 35-50.

Financial Openness and the Chinese Growth Experience,” with Geert Bekaert and Campbell R. Harvey. Academic working paper version. Also published as a book chapter in China’s Financial Transition at a Crossroads, 2007, Charles Calomiris (ed.), Columbia University Press.

 Working Papers:

“Capital Flows in Risky Times: Risk-on / Risk-off and Emerging Market Tail Risk,” (full paper link soon, Kansas City Fed Working Paper Version) with Anusha Chari and Karlye Dilts Stedman, 2020 [IMF Presentation]

Insurers as Asset Managers and Systemic Risk,” with Andrew Ellul, Pab Jotikasthira, Anastasia Kartasheva, and Wolf Wagner, 2020 (under review, R&R).

Dancing to the Same Tune: Commonality in Securities Lending Fees,” with Spencer Andrews and  Adam Reed, 2020.

How do Financial Expertise and Networks Affect Investing?  Evidence from the Governance of University Endowments,” with Matteo Binfarè, Gregory Brown, and Robert Harris, 2021. Recipient: Two Sigma / Western Finance Association 2018 Best Paper Prize in Investment Management. (under review)

Large Banks and Systemic Spillovers,” with Jitao Ou and Zhongyan Zhu, 2021.

Informed Trading Volume and Asset Prices: The Role for Aggressive Investors,” with Zhishu Yang  and Jacky (Qi) Zhang, 2019.

Banks as Producers of Financial Services,” with W. John Coleman, 2019.

“Stock Market Valuations Across U.S. States,” with Geert Bekaert, Campbell R. Harvey, and Stephan Siegel, 2015. 

Permanent Working Papers:

Interpreting Risk Premia Across Size, Value, and Industry Portfolios,” with Ravi Bansal and Robert Dittmar, 2003.