Working Papers, Other Papers, Work in Progress, and Computer Programs
Working Papers
"The Compensation of a Manager: The Case of MLB," (with Randy Silvers). April 2014. Download Draft (PDF File)
"Pairs-Trading in the Asian ADR Market: Returns and Convergence," (with Gwangheon Hong). June 2013. Download Preliminary Draft (PDF File)
"Price Discovery in Stock and Option Markets: A Portfolio Approach," (with Jung Hwang). May 2009. Download Draft (PDF File)
"Testing the Trade-off Theory of Capital Structure: A Kalman Filter Approach," (with Tian Zhao). September 2008. Download Draft (PDF File)
"Pairs-Trading in the Asian ADR Market," (with Gwangheon Hong). October 2003. Download Preliminary Draft (PDF File)
"Bank Consolidation and Performance: The Argentine Experience," (with Ritu Basu and Pablo Druck) April 2002. Download Draft (PDF File)
"A Switching Volatility Model for Inflation: International Evidence," April 1998. Download Word Perfect File (graphs are missing)
"Switching Volatility: Empirial Results and Simulations," August 1995.
Work in Progress
"Dynamic ADR arbitrage: A Panel Data Exercise."
"The Dynamics of Overconfidence" (with Alex Chuang).
"Equilibrium Regional Real Estate Prices and Convergence."
"The Real Exchange Rate under Censoring."
"Long Run Stock Returns."
"Stock Returns, Exchange Rate Exposure and Industry Composition."
"An Options Approach Look at the Size and Book-to-Market Factors."
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