Publications

• "Swap Rates and Credit Quality" (with Darrell Duffie), Journal of Finance 51, pp 921-949, July 1996.

• "Toeholds and Takeovers" (with Jeremy Bulow and Paul Klemperer), Journal of Political Economy 107, pp 427-454, June 1999.

• "Prospect Theory and Asset Prices" (with Nicholas Barberis and Tano Santos), Quarterly Journal of Economics 116, pp 1-53, February 2001. (Lead article of the issue; Awarded the 2000 FAME Research Prize by the International Center for Asset Management and Financial Engineering; Collected into Advances in Behavioral Finance, Vol.2, edited by Richard Thaler.)
  

• "Mental Accounting, Loss Aversion, and Individual Stock Returns" (with Nicholas Barberis), Journal of Finance 56, pp 1247-1292, August 2001.

• "Liquidity Shocks and Equilibrium Liquidity Premia," Journal of Economic Theory 109, pp 104-129, March 2003.

• "Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization" (with Joseph Chen, Harrison Hong, and Jeffrey D. Kubik), American Economic Review 94, pp 1276-1302, December 2004.

• "Talking up Liquidity: Insider Trading and Investor Relations" (with Harrison Hong), Journal of Financial Intermediation 14, pp 1-31, January 2005.

• "Individual Preferences, Monetary Gambles, and Stock Market Participation: A Case for Narrow Framing" (with Nicholas Barberis and Richard Thaler), American Economic Review 96, pp 1069-90, September 2006.

• "The Loss Aversion / Narrow Framing Approach to the Equity Premium Puzzle" (with Nicholas Barberis), in Handbook of the Equity Risk Premium, Rajnish Mehra ed., Elsevier, 2007.

• "Stocks as Lotteries: The Implications of Probability Weighting for Security Prices" (with Nicholas Barberis), American Economic Review 98, 2066-2100, December 2008.

• "Preferences with Frames: A New Utility Specification that Allows for the Framing of Risks" (with Nicholas Barberis), Journal of Economic Dynamics and Control 33, 1555-1576, August 2009.

Selected Working Paper

• "How Much of the Corporate-Treasury Yield Spread is Due to Credit Risk?" (with Jingzhi Huang), May 2003.

Links to Former PhD Students' Websites

• Michael Rierson (PhD, 2003, Stanford University)

• Devin Shanthikumar (PhD, 2004, Stanford University)

• Yan Li (PhD, 2009, Cornell University)

• Liyan Yang (PhD, 2010, Cornell University)