Publications in Refereed Journals

International Investment Barriers in General Equilibrium, with Peter Sellin, The Journal of International Economics, vol. 34, no. 1/2, 1993, 137-152.

Nontraded Assets in Incomplete Markets: Pricing and Portfolio Choice, with Lars E. O. Svensson, The European Economic Review - Special Issue on Finance, vol. 37, no. 5, 1993, 1149-1168.

Capital Income Taxation and International Portfolio Choice, The Journal of Public Economics, vol. 53, no. 2., 1994, 205-222.

U.S. Equity Investment and Emerging Stock Markets, with Linda L. Tesar, The World Bank Economic Review - Special Issue on Portfolio Investment in Developing Countries, vol. 9, no.1, 1995, 109-129.

Home Bias and High Turnover, with Linda L. Tesar, The Journal of International Money and Finance, vol. 14, 1995, 467-492.

Information, Liquidity and Asset Trading in a Random Matching Game, with Hugo A. Hopenhayn, The Journal of Economic Theory, vol. 68, no. 2, 1996, 349-379.

U.K. and U.S. Trading of British Cross-Listed Stocks: An Intraday Analysis of Market Integration, with Allan W. Kleidon, The Review of Financial Studies, vol. 9, no. 2, 1996, 615-659.

Does Risk Sharing Motivate Interdealer Trading? with Peter C. Reiss, The Journal of Finance, vol. 53, 1998, 1657-1703.

The Trades of NYSE Floor Brokers, with George Sofianos, The Journal of Financial Markets, 2003, 139-176.

NYSE Order Flow, Spreads, and Information, The Journal of Financial Markets 6, 2003, 309-335.

Anonymity, Adverse Selection, and the Sorting of Interdealer Trades, with Peter C. Reiss, The Review of Financial Studies 17, 2004, 599-636.

Why Do Larger Orders Receive Discounts on the London Stock Exchange? with Dan Bernhardt, Vladimir Dvoracek, and Eric Hughson, The Review of Financial Studies, 18, 2005, 1343-1368.

Short-Sale Strategies and Return Predictability, with Karl B. Diether and Kuan-Hui Lee, forthcoming in The Review of Financial Studies, 2007. (Previously, Can Short-sellers Predict Returns? Daily Evidence, with Karl B. Diether and Kuan-Hui Lee, January 25, 2007.)

It’s SHO Time! Short-sale Price-tests and Market Quality, with Karl B. Diether and Kuan-Hui Lee, forthcoming in The Journal of Finance, 2007.

Publications in Books

International Equity Transactions and U.S. Portfolio Choice, with Linda L. Tesar, in Jeffrey Frankel Ed, Internationalization of Equity Markets, NBER Project Report, University of Chicago Press, 1994, 185-216.

Transaction Costs in Dealer Markets: Evidence from The London Stock Exchange, with Peter C. Reiss, in Andrew Lo ed., The Industrial Organization and Regulation of the Securities Industry, University of Chicago Press, 1996, 125-176.

The Internationalization of Global Securities Markets Since the 1987 Crash, with Linda L. Tesar, in R.E. Litan and A.M. Santomero Eds, Brookings-Wharton Papers on Financial Services, vol. 1, 1998, 281-372.

Other Materials

International Capital Markets: Controls, Taxes and Resource Allocation, Institute for International Economics Studies, University of Stockholm, Monograph Series No. 18, 1990

How Much International Investment is Enough?, with Linda L. Tesar, Canadian Investment Review, Summer, 1995, 51-54.

Scania AB, 1996, Case Study of a Global IPO, 1996.

Discussion of “The competitive effects of US decimalization: Evidence from the US-listed Canadian stocks” by Henry Oppenheimer and Sanjiv Sabherwal, 2003, The Journal of Banking & Finance, 27 (9), 1911-1916.

Comment on “Some Evidence that a Tobin Tax on Foreign Exchange Transactions may Increase Volatility” by Robert Z. Aliber, Bhagwan Chowdhry, and Shu Yan, 2003, European Finance Review, 7(3), 511-514.