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 Performance? Liquidity, Organizational Diseconomies and Active Money Management," 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, 2008.

• "Stocks as Lotteries: The Implications of Probability Weighting for Security Prices" (with Nicholas Barberis), forthcoming in American Economic Review, 2008.