"CAPM Over the Long Run: 1926-2001"
(with Andrew Ang) Journal of Empirical Finance, Volume 14, Number 1, January 2007, 1-40.
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"Downside Risk"
(with Andrew Ang and Yuhang Xing) The Review of Financial Studies, Volume 19, Number 4, 2006, 1191-1239.
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"Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization"
(with Harrison Hong, Ming Huang, and Jeffrey Kubik) American Economic Review, Volume 94, Number 5, December 2004, 1276-1302.
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"Breadth of Ownership and Stock Returns"
(with Harrison Hong and Jeremy Stein) Journal of Financial Economics, Volume 66, Issue 2-3, November 2002, 171-205.
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"Asymmetric Correlations of Equity Portfolios"
(with Andrew Ang) Journal of Financial Economics , Volume 63, Issue 3, March 2002, 443-494.
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"Forecasting Crashes : Trading Volume, Past Returns, and Conditional Skewness in Stock Prices"
(with Harrison Hong and Jeremy Stein) Journal of Financial Economics, Volume 61, Issue 3, September 2001, 345-381.
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"Discussion Comments on Momentum and Autocorrelation in Stock Returns"
(with Harrison Hong) The Review of Financial Studies, Volume 15, Number 2, Special 2002, 565-574.
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