Published Papers
Current Research
"Market States and Momentum", 2004, with Michael Cooper and Allaudeen Hameed,
Journal of Finance 59, 1345-1365.  [pdf]   
     We test overreaction theories of short-run momentum and long-run reversal in the cross section of stock returns.
    Momentum profits depend on the state of the market, as predicted. From 1929 to 1995, the mean monthly
    momentum profit following positive market returns is 0.93 percent, whereas the mean profit following negative
    market returns is negative 0.37 percent. The up-market momentum reverses in the long-run. Our results are robust
    to the conditioning information in macroeconomic factors. Moreover, we find that macroeconomic factors are unable
    to explain momentum profits after simple methodological adjustments to take account of microstructure concerns


"On the Predictability of Stock Returns in Real Time", 2005, with Michael Cooper and William Marcum,
Journal of Business 78, 469-499.  [pdf]
      Researchers have documented an abundance of evidence that stock returns are predictable ex post. We address
    in this study whether the cross section of stock returns is predictable ex ante. We ask if a real-time investor could
    have used book-to-market equity, firm size, and one-year lagged returns to forecast stock returns during the 1974 to
    1997 period. Using a recursive out-of sample method, we find that the market was difficult to beat in real time. Our
    findings suggest that the current notion of predictability in the literature is exaggerated.


"Momentum, Reversal, and the Trading Behaviors of Institutions", 2007, with Christo Pirinsky,
Journal of Financial Markets 10.   [pdf]
      We identify two types of momenta in stock returns – one due to returns relative to other stocks and one due to firm-
    specific abnormal returns, where abnormal is determined by a stock’s idiosyncratic return variation. Despite similar
    performances over the first year, these momentum portfolios perform dramatically differently beyond year one.
    Relative-return momentum reverses strongly; abnormal-return momentum continues for years. This complexity in
    return momentum challenges the current theories of momentum. We propose that both momenta are
    consequences of agency issues in the money management industry and provide empirical support for this
    economic rationale of momentum in returns. Incentives induce institutions to chase relative returns and to
    underreact to firm-specific abnormal returns.


"The Long-Lasting Momentum in Weekly Returns", 2008, with Eric Kelley, Journal of Finance 63, 415-447.
[pdf]
    Reversal is the current stylized fact of weekly returns. However, we find that an opposing and long-lasting
    continuation in returns follows the well-documented brief reversal. These subsequent momentum profits are strong
    enough to offset the initial reversal and to produce a significant momentum effect over the full year following portfolio
    formation. Thus, ex post, extreme weekly returns are not too extreme. Our findings extend to weekly price
    movements with and without public news. In addition, there is no relation between news uncertainty and the
    momentum in one-week returns.
  • "Time Variation in Attention to Earnings Through the Lens of the Media" with Charles Gaa
        
    Under revision


  • "Institutional Crowding and Stock Price Dislocations," with Eric Kelley

  • “The Stock Price Reaction to 13F Portfolio Disclosures by Institutional Investors”, with Eric Kelley and
    Gerald Martin