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Main Interests: Behavioral Finance, Empirical Asset
Pricing, Computational Economics.
PUBLICATIONS
1.
Self-Selection and the Forecasting
Abilities of Female Equity Analysts
v Journal of Accounting Research,
Forthcoming,
May 2010.
2.
Do Older Investors Make Better
Investment Decisions? (with George Korniotis).
v Review of Economics and Statistics, Forthcoming, 2009.
New York Times (Dec 4, 2005).
3.
Idiosyncratic Volatility Puzzle:
Time Trend or Speculative Episodes? (with Michael
Brandt, Alon Brav,
and John
Graham)
v Review of Financial Studies,
Forthcoming,
2009.
4.
Hard-To-Value Stocks, Behavioral
Biases, and Informed Trading
v Formerly
titled “When Do Investors Exhibit Stronger Behavioral Biases?”
v Journal of
Financial and Quantitative Analysis, Forthcoming, December
2009.
5.
Dynamic Style Preferences of Individual Investors
and Stock Returns
v Formerly
titled “Style Switching and Stock Returns”.
v Journal of
Financial and Quantitative Analysis,
44 (3),
607-640, 2009.
6.
Who Gambles in the Stock Market?
v Journal of
Finance, 64 (4), 1889-1933,
2009.
7.
Equity Portfolio Diversification (with
William
N. Goetzmann)
v Formerly
titled “Why Do Individual Investors Hold Under-Diversified
Portfolios?”
v Review of Finance, 12 (3), 433-463,
2008. Lead article.
8.
How Do Decision Frames Influence the Stock
Investment Choices of Individual Investors? (with Sonya Lim)
v Management
Science, 54 (6), 1052-1064, 2008.
9.
Foreign Investments of U.S. Individual Investors:
Causes and Consequences (with Warren Bailey and David T.
Ng)
v Management
Science, 54 (3), 443-459, 2008.
10. Do the Diversification Choices of Individual Investors
Influence Stock Returns?
v Journal of
Financial Markets, 10 (4), 362-390, 2007.
11. Retail Investor Sentiment and Return Comovements,
(with Charles M.C. Lee)
v Journal of
Finance, 61 (5), 2451-2486, 2006.
12. Do Dividend Clienteles Exist? Evidence on
Dividend Preferences of Retail Investors (with John
Graham)
v Journal of
Finance, 61 (3), 1305-1336, 2006.
13. Variations
on the Theme of Scarf's Counter-Example (with Martin
Shubik)
v Computational
Economics,
24 (1),
1-19, 2004. Lead article.
14. A
Computational Analysis of Core Convergence in a Multiple Equilibria Economy
(with Martin
Shubik)
v Games and
Economic Behavior, 42,
253-266, 2003.
15. The Dow
Theory: William Peter Hamilton's Track Record Re-Considered
(with William
N. Goetzmann and Stephen
J. Brown)
v Journal of
Finance,
53 (4), 1311-1333, 1998.
WORKING
PAPERS
Revise and Resubmit
16. Behavioral Biases and Mutual Fund Clienteles (with
Warren
Bailey and David T. Ng).
v Second round at the
Journal of Financial Economics.
v AFA
2009, 2006 BSI Gamma Foundation Award.
17. Religious Beliefs, Gambling Attitudes, and Financial
Market Outcomes (with Jeremy Page and
Oliver Spalt).
v Second round at the
Journal of Financial Economics.
v 2009 Yale Behavioral
Science Conference, EFA 2009.
18. Long Georgia, Short Colorado? The
Geography of Return Predictability (with George Korniotis).
v Second round at the
Journal of Finance.
v University
of Colorado Investment Management Conference (2008), Fourth McGill
Conference on Global Asset Management (2009), WFA 2009.
v
New York Times (June
15, 2008). Minneapolis
Star Tribune (June 22, 2008).
Papers Under Initial
Submission
19. Investor Clienteles and Habitat-Based Return
Comovements: Direct Evidence (with Jeremy Page and
Oliver Spalt).
v Revised
September 2009.
20. Do Behavioral Biases Adversely Affect the
Macro-Economy? (with George
Korniotis).
v Revised
March 2009.
21. Do Portfolio Distortions Reflect
Superior Information or Psychological Biases? (with George Korniotis).
v Formerly
titled “Superior Information or Psychological Biases? A Unified Framework
with Cognitive Abilities Resolves Three Puzzles”.
v NBER
Behavioral Meeting 2007, WFA 2008, AEA 2009.
Other Working Papers
22. Political Climate, Optimism, and Investment Decisions (with
Yosef Bonaparte
and Jeremy Page).
23. Distance Matters! Shareholder Proximity and Corporate
Policies (with Vidhi
Chhaochharia and Alexandra Niessen).
24. Tall and Short: Social Experiences, Height, and
Portfolio Choice (with George
Korniotis).
25. Speculation, Realization Utility, and
Volatility-Induced Retail Habitat (with Bing
Han).
v Formerly
titled “Retail Clienteles and the Idiosyncratic Volatility Puzzle” and
“Retail Habitat, Speculation, and Stock Prices”.
v 2008
Singapore International Conference on Finance, 2008 Texas Finance Festival,
2008 South Wind Finance Conference at the University of Kansas.
v Revised
June 2009.
26. Under-Estimating Female
CEOs (with Justin
Wolfers).
v 2008
Conference on Empirical Legal Studies, 2008 NBER Law and Economics Summer
Institute, ALEA 2008, 2008 UT Economics of Business and Law
Symposium.
v Under
major revision.
Book Chapter
27. Cognitive Abilities and Financial
Decisions (with George
Korniotis), Behavioral Finance (edited by Kent Baker and
John Nofsinger), Chapter 30, John Wiley and Sons, Forthcoming, 2010.
OTHER
RELATED WORK
1.
Aspnes,
James, David F. Fischer, Michael
J. Fischer, Ming Y. Kao and Alok Kumar, Towards
Understanding the Predictability of Stock Markets From the Perspective of
Computational Complexity, Proceedings
of the 12th Annual ACM-SIAM Symposium on Discrete Algorithms, pp. 745-754, January 2001. SODA version
Full version
2.
Kumar,
Alok and Victor E. McGee, 1996, FEVA (Feature Vector Analysis): Explicitly Looking
for Structure and Forecastability in Time Series Data,
Economic and Financial
Computing,
Winter 1996, pp. 165-189.
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