Working Papers

 

Revenue Implications of Multi-Item Multi-Unit Auction Designs: Empirical Evidence from the U.S. Treasury Buyback Auctions with Francis A. Longstaff, and Craig Merrill

Institutional Investors, Investment Constraints and Stock Momentum with Qinghai Wang

"The Disposition Effect and Momentum" with Mark Grinblatt

"Stochastic Volatilities and Correlations of Bond Yields"

"Insider Ownership and Corporate Value: Evidences from Real Estate Investment Trusts"

"Limits of Arbitrage, Sentiment and Pricing Kernel: Evidences from Index Options"