• Beyond Basis Basics: Liquidity Demand and Deviations from the Law of One Price, 2021, (with Todd Hazelkorn and Kaushik Vasudevan) forthcoming Journal of Finance
• Asset Pricing and Sports Betting, 2021, forthcoming Journal of Finance
• How Do Factor Premia Vary Over Time? A Century of Evidence, 2021, (with Antti Ilmanen, Ronen Israel, Rachel Lee, and Ashwin Thapar) forthcoming Journal of Investment Management
• Value and Interest Rates: Are Rates to Blame for Value’s Torments? 2021, (with Thomas Maloney), forthcoming Journal of Portfolio Management
• Understanding Momentum and Reversals, 2021, (with Bryan Kelly and Seth Pruitt), Journal of Financial Economics, Volume 140, Issue 3, June 2021, Pages 726-743
• Can Machines Learn Finance, 2020, (with Ronen Israel and Bryan Kelly), Journal of Investment Management 18 (2), 23-36
• Fact Fiction and the Size Effect, 2018, (with Ron Alquist and Ronen Israel), Journal of Portfolio Management 45 (1), 3-30
• Size Matters, If You Control Your Junk (with Cliff Asness, Andrea Frazzini, and Ronen Israel, and Lasse Pedersen), 2018, Journal of Financial Economics 129, 479-509
• Carry (with Ralph Koijen, Lasse Pedersen, and Evert Vrugt), 2018, Journal of Financial Economic 127 (2), 197-225

• Decision Making Under the Gambler’s Fallacy: Evidence from Asylum Judges, Loan Officers, and Baseball Umpires (with Daniel Chen and Kelly Shue), 2016, Quarterly Journal of Economics. Vol. 131 (3), 1181-1242
  • Winner: Red Rock Finance Best Paper Award.
• Momentum Crashes (with Kent Daniel), 2016, Journal of Financial Economics. Vol. 122 (2), 221-247.
  • Item Winner: Swiss Finance Institute Outstanding Paper Award.
  • Fama-DFA Prize for the Best Paper Published in the Journal of Financial Economics.
• Fact Fiction and Value Investing (with Cliff Asness, Andrea Frazzini, and Ronen Israel), 2015, forthcoming Journal of Portfolio Management.
• Fact Fiction and Momentum Investing (with Cliff Asness, Andrea Frazzini, and Ronen Israel), 2015, Journal of Portfolio Management, 40th Anniversary edition, Vol 40, Issue 5, 75-92.

• Investing with Style (with Cliff Asness, Antti Ilmanen, and Ronen Israel), 2014, Journal of Investment Management, Vol 13, Issue 1, 27-63.

• The Effects of Stock Lending on Security Prices_ An Experiment (with Steve Kaplan and Berk Sensoy), 2013, Journal of Finance, Volume 68 (5), 1891-1936.
• The role of shorting, firm size, and time on market anomalies (with Ronen Israel), 2013, Journal of Financial Economics, Volume 108 (2), 275-301.

• Value and Momentum Everywhere (with Cliff Asness and Lasse Pedersen), 2013, Journal of Finance, Vol. 68 (3), 929-985. (Return Series for value and momentum portfolios)

• Time Series Momentum (with Yao Hua Ooi and Lasse Pedersen), Journal of Financial Economics, 2012, 104(2), pp. 228-50. (Return Series for TSMOM portfolio)

• The Political Economy of Financial Regulation: Evidence from U.S. State Usury Laws in the 19th Century (with Efraim Benmelech), Journal of Finance, 2010, 65(3), pp. 1029-73.

• Long-Run Stockholder Consumption Risk and Asset Returns (with Christopher J. Malloy and Annette Vissing-Jørgensen), Journal of Finance, 2009, 64(6), pp. 2427-79. (Consumption Series)
• Catastrophic Risk and Credit Markets (with Mark J. Garmaise), Journal of Finance, 2009,64(2), pp. 657-707.

• Bank Mergers and Crime: The Real and Social Effects of Credit Market Competition (with Mark J. Garmaise) Journal of Finance, 2006, 61(2), pp. 495-538.

• Do Liquidation Values Affect Financial Contracts? Evidence from Commercial Loan Contracts and Zoning Regulation (with Efraim Benmelech, Mark J. Garmaise), The Quarterly Journal of Economics, 2005, 120(3), pp. 1121.
• Market Frictions, Price Delay, and the Cross-Section of Expected Returns (with Hou Kewei), Review of Financial Studies, 2005, 18(3), pp. 981. * Winner, Q-group research grant award.
• Testing Agency Theory with Entrepreneur Effort and Wealth (with Marianne P. Bitler and Annette Vissing-Jørgensen), Journal of Finance, 2005, 60(Issue 2), pp. 539. * Recognized as Distinguished Paper for the 2005 Brattle Prize, awarded to the best corporate finance paper published in the Journal of Finance.

• Predicting Stock Price Movements from Past Returns: The Role of Consistency and Tax-Loss Selling (with Mark Grinblatt) Journal of Financial Economics, 2004, 71(3), pp. 541-79.
• Confronting Information Asymmetries: Evidence from Real Estate Markets (with Mark J. Garmaise), Review of Financial Studies, 2004, 17(2), pp. 405-37. * Winner, 2005 Barclays Global Investors (BGI) Michael Brennan Award for the best paper published in the Review of Financial Studies (second prize).

• An Analysis of Covariance Risk and Pricing Anomalies, Review of Financial Studies, 2003,16(2), pp. 417-57.
• Informal Financial Networks: Theory and Evidence (with Mark J. Garmaise), Review of Financial Studies, 2003, 16(4), pp. 1007-40. * Winner, 2004 Barclays Global Investors (BGI) Michael Brennan Award for the best paper published in the Review of Financial Studies (first prize).

• The Returns to Entrepreneurial Investment: A Private Equity Premium Puzzle? (with Annette Vissing-Jørgensen), American Economic Review, 2002, 92(4), pp. 745-78.

• The Geography of Investment: Informed Trading and Asset Prices (with Joshua D. Coval), Journal of Political Economy, 2001, 109(4), pp. 811-41.
• Mutual Fund Performance: An Empirical Decomposition into Stock-Picking Talent, Style, Transactions Costs, and Expenses: Discussion, Journal of Finance, 2000, 55(4, Papers and Proceedings of the Sixtieth Annual Meeting of the American Finance Association, Boston, Massachusetts, January 7-9, 2000), pp. 1695-703.
• Do Industries Explain Momentum? (with Mark Grinblatt), Journal of Finance, 1999, 54(4, Papers and Proceedings, Fifty-Ninth Annual Meeting, American Finance Association, New York, New York, January 4-6, 1999), pp. 1249-90.
• Home Bias at Home: Local Equity Preference in Domestic Portfolios (with Joshua D. Coval), Journal of Finance, 1999, 54(6), pp. 2045-73. * Winner, 2000 Smith-Breeden Prize for the best paper published in the Journal of Finance (first prize).
• Asset Pricing and Fund Investment Anomalies, Ph.D Dissertation, University of California, Los Angeles, 1998.