Large Foreign Ownership and Firm-level Stock Return Volatility in Emerging Markets, co-authored with Donghui Li, Quang N. Nguyen and Peter K. Pham, Forthcoming in the Journal of Financial and Quantitative Analysis.

Advertising Intensity, Investor Recognition, and Implied Cost of Capital, co-authored with Yuan Huang, Forthcoming in Review of Quantitative Finance and Accounting.

A Bayesian Approach to Dynamic Tobit Models, Econometric Reviews, Vol. 18, No. 4, 1999, 417 - 439.

A Censored-GARCH Model of Asset Returns with Price Limits, Journal of Empirical Finance, Vol. 9, No. 2, 2002, 197 - 223.

Statistical and Economic Significance of Stock Return Predictability: A Mean-Variance Analysis, co-authored with Chu Zhang, Journal of Multinational Financial Management, Vol. 13, 2003, 443-463.

Why did individual stocks become more volatile? co-authored with Chu Zhang, forthcoming in Journal of Business.

Idiosyncratic Risk Does Not Matter: A Re-examination of the Relationship between Average Returns and Average Volatilities, co-authored with Chu Zhang, forthcoming in Journal of Banking and Finance.