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Main Interests: Behavioral Finance, Empirical
Asset Pricing, Computational Economics.
Currently I
am on leave from UT-Austin (2010-11).
Here is the new research
web site.
PUBLICATIONS
1.
Behavioral Biases of Mutual Fund Investors (with
Warren
Bailey and David T. Ng). Journal of Financial Economics, Conditionally Accepted.
2.
Do Behavioral Biases Adversely Affect the
Macro-Economy? (with George
Korniotis). Review of Financial Studies,
Conditionally
Accepted.
3.
Do Older Investors Make Better
Investment Decisions? (with George Korniotis).
v Review of Economics and Statistics, Forthcoming, 2010.
v
Wall Street Journal (Feb 13,
2010).
New York Times (Dec 4, 2005).
4.
Self-Selection and the Forecasting Abilities of
Female Equity Analysts
v Journal of Accounting Research,
48 (2),
393-435, 2010.
5.
Idiosyncratic Volatility Puzzle: Time Trend or
Speculative Episodes? (with Michael
Brandt, Alon Brav,
and John
Graham)
v Review of Financial Studies,
23 (2), 863-899, 2010.
6.
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, 44 (6), 1375-1401, 2009.
7.
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.
8.
Who Gambles in the Stock Market?
v Journal of
Finance, 64 (4), 1889-1933,
2009.
9.
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.
10. How Do Decision Frames Influence the Stock
Investment Choices of Individual Investors? (with Sonya Lim)
v Management
Science, 54 (6), 1052-1064, 2008.
11. 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.
12. Do the Diversification Choices of Individual
Investors Influence Stock Returns?
v Journal of
Financial Markets, 10 (4), 362-390, 2007.
13. Retail Investor Sentiment and Return Comovements,
(with Charles M.C. Lee)
v Journal of
Finance, 61 (5), 2451-2486, 2006.
14. Do Dividend Clienteles Exist? Evidence on
Dividend Preferences of Retail Investors (with John
Graham)
v Journal of
Finance, 61 (3), 1305-1336, 2006.
15. Variations
on the Theme of Scarf's Counter-Example (with Martin
Shubik)
v Computational
Economics,
24 (1),
1-19, 2004. Lead article.
16. A
Computational Analysis of Core Convergence in a Multiple Equilibria Economy
(with Martin
Shubik)
v Games and
Economic Behavior, 42,
253-266, 2003.
17. 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.
Book Chapter
18. 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.
WORKING
PAPERS
Revise and Resubmit
19. Religious Beliefs, Gambling Attitudes, and Financial
Market Outcomes (with Jeremy Page and
Oliver Spalt).
v Second round at the
Journal of Financial Economics.
v 2010 NBER Behavioral
Meetings, 2009 Yale Behavioral Science Conference, EFA 2009.
20. 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).
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 Second round at the
Journal of Financial and Quantitative Analysis.
v NBER
Behavioral Meeting 2007, WFA 2008, AEA 2009.
22. Tall and Short: Height, Lifelong Experiences, and
Portfolio Choice (with George
Korniotis). December 2009.
v Second round at the
Journal of Finance.
Papers Under Initial
Submission
23. Do Republican Managers Adopt Conservative Corporate
Policies? (with Irena
Hutton and Danling
Jiang). July 2010.
v AFA
2011.
24. Investor Clienteles and Habitat-Based Return
Comovements (with Jeremy Page and
Oliver Spalt). June 2010.
v AFA
2011, EFA 2010.
25. Speculative Trading and Asset Prices (with Bing
Han). June 2010.
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.
Other Working Papers
26. Distance Matters! Shareholder Proximity and Corporate
Policies (with Vidhi
Chhaochharia and Alexandra Niessen). December 2009.
v WFA
2010, EFA 2010.
27. Political Climate, Optimism, and Investment Decisions (with
Yosef Bonaparte
and Jeremy Page). December 2009.
v Queen’s
Behavioral Finance Conference.
v
New York
Times (January 31, 2010).
28. 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.
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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