Papers Heteroscedasticity in the market model: A comment, The Journal of Business 50 (1), pp.80-83. Estimation risk and optimal portfolio choice: The Sharpe index model, Estimation Risk and Optimal Portfolio Choice, ed., Bawa, Brown and Klein, (Amsterdam: North Holland, 1979), pp. 145-171. Optimal portfolio choice under uncertainty: A Bayesian approach, Estimation Risk and Optimal Portfolio Choice, ed., Bawa, Brown and Klein, (Amsterdam: North Holland, 1979), pp. 109-144. Capital market equilibrium: Does estimation risk really matter? (with V. S. Bawa), Estimation Risk and Optimal Portfolio Choice, ed., Bawa, Brown and Klein, (Amsterdam: North Holland, 1979), pp. 86-93. The effect of estimation risk on capital market equilibrium, Journal of Financial and Quantitative Analysis 14 (2), 1979, pp. 215-220. Estimation risk and optimal portfolio choice: A survey, (with V. S. Bawa and R. W. Klein) Proceedings of the American Statistical Association, 1979, pp. 53-58. Measuring security price performance, (with J. B. Warner) Journal of Financial Economics 8 (3), 1980, pp. 205-258. A new approach to testing asset pricing models: The bilinear paradigm, (with M. I. Weinstein) Journal of Finance 38 (3), 1983, pp. 711-743. Estimation risk and simple rules for portfolio selection, (with S. N. Chen), Journal of Finance 38 (4), 1983, pp. 1087-1093. Model selection when there is "minimal" prior information, (with R. W. Klein), Econometrica, 52 (5), 1984, pp. 1291-1312. Differential information and the small firm effect, (with C. B. Barry) Journal of Financial Economics 13, 1984, pp. 283-294. Anomalies in security returns and the specification of the market model (with C. B. Barry) Journal of Finance 39 (3), 1984, pp.807-815. Using daily stock returns: The case of event studies (with J. B. Warner), Journal of Financial Economics, 14, 1985, pp. 3-31. Differential information and security market equilibrium (with C. B. Barry), Journal of Financial and Quantitative Analysis 20 (4) 1985, pp.407-422. Derived factors in event studies (with M. I. Weinstein), Journal of Financial Economics 14, 1985, pp. 491-495. Limited information as a source of risk (with C. B. Barry) Journal of Portfolio Management Winter 1986, pp. 66-72. The empirical implications of the Cox, Ingersoll Ross theory of the term structure of interest rates (with P. H. Dybvig), Journal of Finance 41 (3), 1986, pp.617-632. Model selection in the Federal courts: An application of the posterior odds ratio criterion Bayesian Inference and Decision Techniques, ed. Goel and Zellner (Amsterdam: Elsevier Science Publishers B.V., 1986) pp. 141-156. Introduction to quantitative methods Quantitative Methods for Financial Analysis, ed. Brown and Kritzman (Homewood,IL: Dow Jones-Irwin, 1987) pp. 5-50. Quantitative methods in asset allocation (with M. P. Kritzman) Quantitative Methods for Financial Analysis, ed. Brown and Kritzman (Homewood,IL: Dow Jones-Irwin, 1987) pp. 173-194. Stable factors in security returns: A comment, Journal of Business and Economic Statistics, January 1988. A new analysis of the Japanese equity market Investment Management Review May-June 1989 Macroeconomic factors and the Japanese equity markets (with T. Otsuki) Studies in the Japanese Security Markets, ed. E. Elton and M. Gruber (New York: Ballinger,1990) The number of factors in security returns Journal of Finance, 44(5) 1989 1247-1262 Estimating volatility Financial Options, ed. S. Figlewski, W. Silber and M. Subrahmanyam (Homewood, Ill.: Business One Irwin, 1990) Survivorship bias in performance studies (with W. Goetzmann, R. Ibbotson and S. Ross) Review of Financial Studies, December 1992 553-580. Nonlinear systems estimation: asset pricing model application Economic and Financial Modeling with Mathematica ed. H. Varian (Springer Verlag, New York,1993) Risk premia in Pacific-Basin capital markets (with T. Otsuki) Pacific-Basin Finance Journal September 1993, 235-261. Exchange rate volatility and equity returns (with T. Otsuki) Exchange rates and corporate values and strategies, ed. Y. Amihud and R. Levich (Business One Irwin, 1994) Survival (with W. Goetzmann and S. Ross) Journal of Finance 50 1995 853-873. Mutual fund styles (with W. Goetzmann) Journal of Financial Economics 43 1997 373-399 Rejoinder: The J-Shape of Performance Persistence Given Survivorship Bias (with W. Goetzmann, R. Ibbotson and S. Ross) Review of Economics and Statistics 79 1997 167-170. The Dow Theory: William Peter Hamilton's Track Record Re-Considered, with William Goetzmann and Alok Kumar, Journal of Finance 53 1998 1311-1333 Price Discovery During Periods of Stress: Barings, the Kobe Quake and the Nikkei Futures Market, with Onno Steenbeek, Risk Measurement and Systemic Risk: Proceedings of the Second Joint Central Bank Research Conference (Bank of Japan) November 1998. Offshore Hedge Funds: Survival and Performance with William Goetzmann and Roger G. Ibbotson, Journal of Business 72 1999 91-117. Hedge Funds and the Asian Currency Crisis of 1997, with William Goetzmann and James Park, Journal of Portfolio Management 26 Summer 2000 95-101. The Japanese Open_End Fund Puzzle with William Goetzmann, Takato Hiraki, Toshiyuki Otsuki and Noriyoshi Shiraishi, Journal of Business 74 2001 59-77. Careers and Survival: Competition and Risk in the Hedge Fund and CTA Industry, with William Goetzmann and James Park, Journal of Finance 61 2001 1869-1886. Doubling: Nick Leeson’s Trading Strategy, with Onno Steenbeek, Pacific-Basin Finance Journal 9 2001 83-99. Hedge funds: Omniscient or just plain wrong, Pacific-Basin Finance Journal 9 2001 301-311. Hedge Funds with Style, with William Goetzmann, Journal of Portfolio Management 29, Winter 2003 101-112. An analysis of the relative performance of Japanese and foreign money management, with William Goetzmann, Takato Hiraki, Toshiyuki Otsuki and Noriyoshi Shiraishi, Pacific-Basin Finance Journal 11 2003 393-412 Fees on fees in funds of funds, with William Goetzmann and Bing Liang, Journal of Investment Management 3, 2004 39-56, published in the World of Hedge Funds: Characteristics and Analysis (ed. G. Fong) (New York: World Scientific Press, 2005) Portfolio concentration and investment manager performance, with Simone Brands and David Gallagher, International Review of Finance 5 2006 149-174 Elusive return predictability: Discussion, International Journal of Forecasting 24(1) 2008 19-21. The Returns to Value in Asian Stock Markets, with Ghon Rhee and Liang Zhang, Emerging Markets Review 9(3), 2008 194-205 Going Negative: What to Do with Negative Book Equity Stocks, with Paul Lajbcygier and Bob Li, Journal of Portfolio Management 35(1) Fall 2008 95-102. Mandatory Disclosure and Operational Risk: Evidence from Hedge Fund Registration, with William Goetzmann, Bing Liang and Christopher Schwarz, Journal of Finance 2008 63(6) 2008 2785-2815. Hedge Fund Due Diligence: A Source of Alpha in a Hedge Fund Portfolio Strategy, with Thomas Fraser and Bing Liang, Journal of Investment Management 6(4) 2008 23-33. Estimating Operational Risk for Hedge Funds: The ω-Score, with William Goetzmann, Bing Liang and Christopher Schwarz, Financial Analysts Journal 65 (1), 2009 pp. 43-53 Risk Premia in International Equity Markets Revisited, with Takato Hiraki, Kiyoshi Arakawa and Saburo Ohno, Pacific-Basin Finance Journal 17(3), 2009 pp. 295-318. Hedge Funds in the Aftermath of the Financial Crisis, with Marcin Kacperczyk, Alexander Ljungqvist, Anthony Lynch, Lasse Pedersen and Matthew Richardson In: Viral Acharya and Matthew Richardson (eds) Restoring Financial Stability: How to Repair a Failed System Hoboken, NJ, Wiley 2009, pp..157-177. Intertemporal Equilibrium Models, Portfolio Theory and the Capital Asset Pricing Model. In: C.F. Lee, Alice Lee, John Lee (eds) Handbook of Quantitative Finance and Risk Management Springer 2010, pp.283-288. Do Hedge Funds' Exposures to Risk Factors Predict Their Future Returns? with Turan Bali and Mustafa Caglayan, Journal of Financial Economics 2011 (forthcoming). The Efficient Markets Hypothesis: The Demise of the Demon of Chance? Accounting and Finance 51(1), 2011 pp79-95 Trust and Delegation with William Goetzmann, Bing Liang and Christopher Schwarz Journal of Financial Economics 2012(forthcoming) Is it Possible to Overdiversify? The Case of Funds of Hedge Funds with Greg Gregoriou and Razvan Pascalau Review of Asset Pricing Studies 2012 (forthcoming) Systematic risk and the cross-section of hedge fund returns, with Turan Bali and Mustafa Caglayan, Journal of Financial Economics 2012 (forthcoming). There is an online appendix available for this paper
Securitisation in Australia of residential mortgage-backed securities: The impact of the global financial crisis and beyond, with Stephen Newman, Company and Securities Law Journal 29(7) 2011, pp.447-454 Hedge Funds, Mutual Funds and ETFs with Anthony Lynch and Antti Petajisto In: Viral Acharya, Thomas Cooley, Matthew Richardson and Ingo Walter Regulating Wall Street Hoboken NJ, Wiley 2011, pp.351-386
Books The Theory of Public Utility Pricing (with D. S. Sibley) (Cambridge: Cambridge University Press, 1986; Japanese translation 1994). Quantitative Methods for Financial Analysis (with M. P. Kritzman) (Homewood,IL: Dow Jones-Irwin, 1987; Second Edition 1990; Japanese and Spanish translations of second edition 1992) Modern Portfolio Theory and Investment Analysis, 7th Edition (with E. Elton, M. Gruber and W. Goetzmann) (New York: Wiley 2006)
Publications