Momentum profits, factor pricing, and macroeconomic risk (with Lu Zhang, supersedes "Momentum profits and macroeconomic risk" and "Economic fundamentals, risk, and momentum profits"), 2008, Review of Financial Studies, 21 (6), 2417-2448.

 

    Data used in the paper:

 

· Chen, Roll and Ross 5 factors [Read Me File] (Updated Sept, 1, 2009)

 

· Momentum return (sort by past 6 months return, skip one month and hold for 6 month)

 

 

 

Historical market-to-book in a partial-adjustment model of leverage (supersedes "Do firms have target leverage ratios? Evidence from historical market-to-book and past returns"), 2009, Journal of Corporate Finance, 602–612.

 

· CRA International Corporate Finance Award for the Best Corporate Finance Paper in the Western Finance Association Annual Meeting in 2005

 

· Best PhD paper award in Southwestern Finance Association Annual Meeting, 2005  

 

 

 

Investment-based expected stock returns (with Toni Whited and Lu Zhang, supersedes "Regularities") 2009, forthcoming, Journal of Political Economy

 

• Internet Appendix

 

• Gauss programs and data

 

• Matlab programs and data

 

 

 

The role of the media in Initial Public Offerings (with Ann E. Sherman and Yong Zhang, supersedes “Media coverage and IPO underpricing”) presented at AFA

 

 

 

Asset-Backed Securitization in Industrial Firms - An Empirical Investigation (with Mike Lemmon and Mike Qinghao Mao)  

 

 

 

Market-wide Private Information and Market Volatility-Volume Relation presented at SWFA