Papers

"Why does Hedge Fund Alpha Decrease over Time? Evidence from Individual Hedge Funds", 2008 (pdf) (to be presented at the WFA Annual Meetings in Waikoloa, Hawaii, 2008)

"The Information Content of Option-Implied Volatility for Credit Default Swap Valuation" with Charles Cao and Fan Yu, 2007 (pdf) (presented at the AEA Annual Meetings in Chicago, 2007)

"Risk-Neutral Kurtosis, Jumps, and Option Pricing: Evidence from Most Actively Traded Firms", with Gurdip Bakshi and Charles Cao, 2007 (under revision)

"Time-Variation in Diversification Benefits of Commodity, REITs, and TIPS," with Jing-zhi Huang, 2007 (presented at the FMA Annual Meetings in Salt Lake City, 2006)