Research


Consumer Credit Risk Models via Machine-Learning Algorithms

with Amir E. Khandani and Adlar J. Kim, Journal of Banking & Finance 34 (2010), 2767-2787.

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WARNING!: Physics Envy May Be Hazardous To Your Wealth

with Mark Mueller, Journal of Investment Management 8 (2010), 13-63.

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Impossible Frontiers

with Thomas J. Brennan, Management Science 56 (2010), 905-923.

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Jumping the Gates: Using Beta-Overlay Strategies to Hedge Liquidity Constraints

with A. Healy, Journal of Investment Management 7 (2009), 1–20.

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Regulatory Reform in the Wake of the Financial Crisis of 2007-2008

Journal of Financial Economic Policy 1 (2009), 4-43

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Where Do Alphas Come From?: A New Measure of the Value of Active Investment Management

Journal of Investment Management 6 (2008), 1–29.

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130/30: The New Long-Only

with Pankaj Patel, Journal of Portfolio Management 34 (2008), 12-38.

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What Happened To The Quants In August 2007?

Journal of Investment Management 5 (2007), 29-78.

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Can Hedge-Fund Returns Be Replicated?: The Linear Case

with Jasmina Hasanhodzic, Journal of Investment Management 5 (2007), 5–45.

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Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model

with Jiang Wang, Journal of Finance 61 (2006), 2805–2840.

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