Securities Price Research

“Brown Assets for the Prudent Investor” (with Alon Brav), Harvard Business Law Review Online, art. 2, 2021.

“Kill Cammer: Securities Litigation Without Junk Science,” William & Mary Business Law Review, 11, 417-477 (2020).

“Misleading Omissions: A Bayesian Framework,” Journal of Law, Economics & Policy 15, 201-210 (2020).

“Bias-Corrected Estimation of Price Impact in Securities Litigation” (with Taylor Dove and Davidson Heath), 21 American Law and Economics Review, Vol. 21(1), 184-208 (2019). (peer-reviewed)

“Synthetic Financial Data: An Application to Regulatory Compliance for Broker-Dealers” (with 
Jan Hendrik Witte), Journal of Financial Transformation, November 2019, 32-37 (2019).

 

“How Active Management Survives” (with Ginger L. Pennington), Financial Planning Review (2019). (peer-reviewed)

“Quantitative Investing and the Limits of (Deep) Learning from Financial Data,” 47 Journal of Financial Transformation, 117-122 (2018).

 

“Why Indexing Works,” Applied Stochastic Models in Business and Industry, 2017, 33(6) (with Nick Polson and Jan Hendrik Witte). (peer-reviewed) 

“Deep learning for finance: deep portfolios,” Applied Stochastic Models in Business and Industry 33 (1), 2017, 3-12 (with Nick Polson and Jan Hendrik Witte). (peer-reviewed)

 

“Rejoinder to ‘Deep learning for finance: deep portfolios’” Applied Stochastic Models in Business and Industry 33 (1), 2017, 19-21 (with Nick Polson and Jan Hendrik Witte). (peer-reviewed)

“Event Studies in Securities Litigation: Low Power, Confounding Effects, and Bias,” 93 Washington University Law Review pp. 583-614 (2015) (with Alon Brav).

“The Limits of the Limits of Arbitrage,” Review of Finance, 14(1):157-187 (2010) (with Alon Brav and Si Li), runner-up for the 2010 Deutsche Bank Prize in Financial Economics for Best Paper in the Review of Finance. (peer-reviewed)

“The Economics of Naked Short Selling,” Regulation, Vol. 31, No. 1, 46-51 (2008) (with Christopher L. Culp).

“The Rational-Behavioral Debate in Financial Economics,” Journal of Economic Methodology, 11(4) 2004 (Lead Article) (with Alon Brav and Alexander Rosenberg). (peer-reviewed)

“Competing Theories of Financial Anomalies,” The Review of Financial Studies, Vol. 15, No. 2, pp. 475-506 (2002) (with Alon Brav, Duke University). Winner, Barclays Global Investors (BGI) Michael Brennan Award for the best paper published in The Review of Financial Studies. (peer-reviewed)