Selected Publications

Articles In Academic Journals

Year Title
2013 Market Cycles and the Performance of Relative-Strength StrategiesFinancial Management. 263-290.
2013 Returns and Option Activity over the Option-Expiration Week for S&P 100 StocksJournal of Banking and Finance. 4226-4240.
2013 Stock Strategies with the January Barometer and the Yield CurveJournal of Investment Management. 32-49.
2010 Cross-sectional Return Dispersion and Time-Variation in Value and Momentum PremiumsJournal of Financial and Quantitative Analysis. 987-1014.
2009 The Other January Effect: International, Style, and Subperiod EvidenceJournal of Financial Markets. 521-546.
2007 Commonality in the time-variation of stock–stock and stock–bond return comovementsJournal of Financial Markets. 192-218.
2005 Stock Market Uncertainty and the Stock-Bond Return RelationJournal of Financial and Quantitative Analysis. 161-194.