selected scholarly activity
-
journal articles
- Seasonality and momentum across national equity markets. North American Journal of Economics and Finance. 61:101706-101706. 2022
- Determinants and predictability of commodity producer returns. Journal of Banking & Finance. 133:106278-106278. 2021
- Designing a global digital currency. Journal of International Money and Finance. 111:102317-102317. 2021
- Distinguishing Factors and Characteristics with Characteristic-Mimicking Portfolios 2018
- Profitability, Value, and Stock Returns in ProductionâBased Asset Pricing without Frictions. Journal of Money, Credit and Banking. 49:1621-1651. 2017
- Temperature shocks and the cost of equity capital: Implications for climate change perceptions. Journal of Banking & Finance. 77:18-34. 2017
- Social Screens and Systematic Investor Boycott Risk. Journal of Financial and Quantitative Analysis. 52:365-399. 2017
- Financial Disclosure and Customer Satisfaction: Do Companies Talking the Talk Actually Walk the Walk?. Journal of Business Ethics. 139:29-45. 2016
- Currency risk premia and uncovered interest parity in the International CAPM. Journal of International Money and Finance. 41:214-230. 2014
- TRANSITORY MARKET STATES AND THE JOINT OCCURRENCE OF MOMENTUM AND MEAN REVERSION. Journal of Financial Research. 35:471-495. 2012
- Optimal transaction filters under transitory trading opportunities: Theory and empirical illustration. Journal of financial markets. 13:129-156. 2010
- Evaluation of linear asset pricing models by implied portfolio performance. Journal of Banking & Finance. 33:1586-1596. 2009
- Money and the C-CAPM. Journal of Financial and Quantitative Analysis. 44:337-368. 2009
- Productivity-based asset pricing: Theory and evidence. Journal of Financial Economics. 86:405-445. 2007
- Reducing the dimensionality of linear quadratic control problems. Journal of Economic Dynamics and Control. 31:141-159. 2007
- Momentum and mean reversion across national equity markets. Journal of Empirical Finance. 13:24-48. 2006
- Time Preference and Life Cycle Consumption with Endogenous Survival. Economic Inquiry. 42:667-678. 2004
- Government expenditure and equilibrium real exchange rates. Journal of International Money and Finance. 21:667-692. 2002
- Government expenditures and equilibrium real exchange rates. Working Paper of the Helen Kellogg Institute for International Studies. 2002
- Mean Reversion across National Stock Markets and Parametric Contrarian Investment Strategies. CFA Digest. 30:64-65. 2000
- Exchange Rate Shocks and the Speed of Trade Price Adjustment. Southern Economic Journal. 67:200-211. 2000
- Exchange Rate Shocks and the Speed of Trade Price Adjustment. Southern Economic Journal. 67:200-200. 2000
- Mean Reversion across National Stock Markets and Parametric Contrarian Investment Strategies. Journal of Finance. 55:745-772. 2000
- Precaution and liquidity in the demand for housing. Economic Inquiry. 38:289-303. 2000
- Efficient gradualism in intertemporal portfolios. Journal of Economic Dynamics and Control. 24:21-38. 2000
- Autocorrelated Returns and Optimal Intertemporal Portfolio Choice. Management science. 43:1537-1551. 1997
- Equilibrium real exchange rates: closed-form theoretical solutions and some empirical evidence. Journal of International Money and Finance. 16:345-366. 1997
- The Composition of Public Expenditure in a Dynamic Macro Model of Monopolistic Competition. Southern Economic Journal. 63:620-620. 1997
- Location in the Hotelling duopoly model with demand uncertainty. European Economic Review. 40:1453-1461. 1996
- Inflation Variability and Gradualist Monetary Policy. Review of Economic Studies. 61:721-738. 1994
- Periodic learning about a hidden state variable. Journal of Economic Dynamics and Control. 17:805-827. 1993
- The underpricing of initial public offerings: A theoretical and empirical reconsideration of the adverse selection hypothesis. Review of Quantitative Finance and Accounting. 3:221-239. 1993
- PROFITS UNDER CONDITIONS OF UNCERTAINTY*. Australian Economic Papers. 31:245-259. 1992
- FACTOR DEMAND UNDER CONDITIONS OF PRODUCT DEMAND and SUPPLY UNCERTAINTY. Economic Inquiry. 30:544-555. 1992
- A Keynesian general equilibrium model with competitive firms and rational expectations. Journal of Economics. 56:23-38. 1992
- Actively Learning About Demand and the Dynamics of Price Adjustment. Economic Journal. 100:882-882. 1990
- Predicting Stock Returns in an Efficient Market. Journal of Finance. 45:1109-1128. 1990
- Variability and the Duration of Search. International Economic Review. 31:747-747. 1990
- MONEY SUPPLY VARIABILITY IN A MACRO MODEL OF MONOPOLISTIC COMPETITION. Economic Inquiry. 26:661-685. 1988
- UNDERPRICING OF NEW ISSUES AND THE CHOICE OF AUDITOR AS A SIGNAL OF INVESTMENT BANKER REPUTATION. Accounting Review. 63:605-622. 1988
- MONOPOLY POWER AND DOWNWARD PRICE RIGIDITY UNDER COSTLY PRICE ADJUSTMENT. Bulletin of Economic Research. 40:115-131. 1988
-
other
-
preprints
- Do Futures Premiums Predict Commodity Producer Returns? 2020
- Productivity Gaps and Global Systematic Risk Exposure: Pricing Country-Industry Portfolios 2020
- Distinguishing Factors and Characteristics with Characteristic-Mimicking Portfolios 2018
- Efficient Factor Selection: Explaining Risk and Mean Returns Jointly 2018
- Designing a Global Digital Currency 2017
- Social Screens and Systematic Boycott Risk 2014
- Capital Utilization and Stock Returns 2013
- Currency Risk Premia and Uncovered Interest Parity in the International CAPM 2013
- Profitability and Stock Returns in Production-Based Asset Pricing with Decreasing Returns to Scale 2013
- Evaluation of Linear Asset Pricing Models by Implied Portfolio Performance 2006
- Optimal Transaction Filters Under Transitory Trading Opportunities: Theory and Empirical Illustration 2005
- Stock Market Integration, Return Forecastability and Implications for Market Efficiency: A Panel Study 2002
-
scholarly editions
- Linear Riccati Dynamics, Constant Feedback, and Controllability in Linear Quadratic Control Problems 2005
- Stock Market Integration, Return Forecastability and Implications for Market Efficiency: A Panel Study 2002
- Reducing the Dimensionality of Linear Quadratic Control Problems 2001
- Optimal Transaction Filters Under Transitory Trading Opportunities: Theory and Empirical Illustration