Credit Contagion from Counterparty Risk,
with Gaiyan Zhang, Journal of Finance (2009).

The Risks of Emerging Hedge Fund Managers,
with Raj Aggrawal, Journal of Investing (2009).

Risk Management for Event-Driven Funds,
Financial Analysts Journal (2008).

Tightening Credit Standards: The Role of Accounting Quality,
with Charles Shi and Sanjian Zhang, Review of Accounting Studies (2008). Full paper in pdf format.

Good and Bad Credit Contagion: Evidence from Credit Default Swaps,
with Gaiyan Zhang, Journal of Financial Economics (2007). Full paper in pdf format.

Information Effects of Bond Rating Changes: The Role of the Rating Prior to the Announcement,
with Gaiyan Zhang, Journal of Fixed Income (2007). Full paper in pdf format.

Risk Management for Hedge Funds with Position Information,
Journal of Portfolio Management (2007). Full paper in pdf format.

Firm Value And Hedging: Evidence From U.S. Oil and Gas Producers,
with Yanbo Jin, Journal of Finance (2006). Full paper in pdf format.

Trading Risk and Systemic Risk,
in The Risk of Financial Institutions, NBER (2006). Full paper in pdf format.
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Informational Effects of Regulation FD: Evidence from Ratings Agencies,
with Charles Shi and Zhu Liu, Journal of Financial Economics (2005). Full paper in pdf format.

How Informative are Value-at-Risk Disclosures?,
Accounting Review (2002). Full paper in pdf format.

The Long-Term Risks of Global Stock Markets,
Financial Management (2003). Full paper in pdf format.
Top five finalist for best paper

Portfolio Optimization with Constraints on Tracking Error,
Financial Analysts Journal (2003). Full paper in pdf format.
Graham and Dodd Scroll Award

Enhanced Index Funds and Tracking Error Optimization
Working Paper (2003). Full paper in pdf format.

Fallacies in the Effect of Risk Management Systems,
Journal of Risk (Fall 2002) and Financial Stability Review (December 2002) Full paper in pdf format.

Risk Management Lessons from Long-Term Capital Management,
European Financial Management (2000). Full paper in pdf format.
Best Paper Award (awarded annually to the top paper in the EFM).

Global Stock Markets in the Twentieth Century,
with Will Goetzmann, published in the Journal of Finance (1999). Full paper in pdf format.
Smith Breeden Prize winner (awarded annually to the top papers in the JF).
Check out what Forbes says about my research on long-term equity markets!

Re-emerging Markets,
with Will Goetzmann, Journal of Financial and Quantitative Analysis (1999).
This was written before the Asian currency crisis! Full paper in pdf format.
William F. Sharpe Award for Scholarship in Financial Research (awarded annually to the top three papers in JFQA).

Multivariate Unit Root Tests of the PPP Hypothesis,
with Renato Flores, Pierre-Yves Preumont, and Ariane Szafarz, Journal of Empirical Finance (1999).

Lessons from the Orange County Bankruptcy,
Journal of Derivatives (1997).

Risk^2: Measuring the Risk in Value-At-Risk,
Financial Analysts Journal (1996). Full paper in pdf format.

Mean Reversion in Real Exchange Rates: Evidence and Implications for Forecasting,
with R. Sweeney, Journal of International Money and Finance (August 1996).

Returns to Japanese Investors From U.S. Investments,
Japan and the World Economy (1996).

Risk and Turnover in the Foreign Exchange Market,
in Microstructure of Foreign Exchange Markets,
Jeff Frankel, editor, University of Chicago Press (1996).

Does Real Interest Parity Hold at Longer Maturities?
Journal of International Economics (February 1996).

Predicting Volatility in the Foreign Exchange Market,
Journal of Finance (June 1995). Full paper in pdf format.

A Longer Look at Dividend Yields,
with Will Goetzmann, Journal of Business (October 1995).

Valuing Executive Stock Options with Endogenous Departure,
with Charles Cuny, Journal of Accounting and Economics (September 1995).

A Mean-Variance Analysis of Currency Overlays,
Financial Analysts Journal (May 1994). Full paper in pdf format.

To Hedge or Not To Hedge: A Unified Framework,
with S. Khoury, in Advances in International Banking and Finance, JAI Press (1995).

Currency Hedging for International Portfolios,
with J. Glen, Journal of Finance (December 1993). Full paper in pdf format.

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