Research
"The Influence of Productivity Growth on Equity Market Performance" (with Laurence Booth, Bin Chang, and Walid Hejazi), Journal of Wealth Management, Summer 2011, Vol. 14, No. 1: pp. 78–92.
"How Passive are International ETFs? A Study of Their Intraday Behaviour" Journal of Index Investing, Vol.1-4, pp.74-84, 2010.
"Who Holds Foreign Stocks and Bonds? Characteristics of Active Investors in Foreign Securities " (with Vlad Kyrychenko), Financial Services Review, vol.18, pp.1-21, 2009. (Lead article)
"The Auction Market for Modern Prints: Confirmations, Contradictions, and New Puzzles" (with James Pesando), Economic Inquiry, vol.46-2, 149-159, 2008."The
Law of One Price, Noise and "Irrational Exuberance":
"Investing in Art: A Cautionary Tale" (with James Pesando), Journal of Wealth Management, vol.9-4, 80-87, 2007.
"Identifying Major Shocks in Market Volatility and their Impact on Popular Trading Strategies" (with Xingnong Zhu), Advances in Quantitative Analysis of Finance and Accounting, vol.5, 259-281, 2007.
"What Explains Household Stock Holdings?" (with Miquel Faig), Journal of Banking and Finance, vol.30-9, pp.2579-2597, 2006.
"East Asia's Aging Population: Pension Reforms and Implications" (with Walid Hejazi), HSBC Papers on Asia (University of Toronto Press), vol.6, pp.87-136, 2002.
"Portfolio Choice in the Presence of Personal Illiquid Projects" (with Miquel Faig), Journal of Finance, vol.57-1, pp.303-328, 2002.
"Returns to Art and to Traditional Financial Assets, 1977 to 1996" (with James Pesando), Journal of Cultural Economics, vol.23-3, pp.181-190, 1999.
"Irreversible Investment and Endogenous Financing: an Evaluation of the Corporate Tax Effects" (with Miquel Faig), Journal of Monetary Economics, vol. 43-1, pp.143-171, 1999.
"Taxes and Corporate Debt Policy in Canada: An Empirical Investigation", Canadian Journal of Economics, vol.29-3, pp.556-572, 1996.
"Stock Market Response to Political Uncertainty: Evidence from the 1992 Constitutional Referendum", Canadian Journal of Economics, vol.29, pp.S213-S218, 1996.
"Price Anomalies at Auction: Evidence from the Market for Modern Prints" (with James Pesando), in V. Ginsburgh (ed.), Economics of the Arts (North Holland), pp.113-134, 1996.
"The 1992 Canadian Constitutional Referendum: Using Financial Data to Access Economic Consequences", Canadian Journal of Economics, vol.28-4a, pp.794-807, 1995.
"Tax Asymmetry and Investment Horizon", Public Finance, vol.49-3, pp.427-439, 1994.
"Work Incentive and Redistributive Effects of Union Pension Plans in Canada" (with Morley Gunderson and James Pesando), Industrial Relations, vol.31-1, pp.179-194, 1992.
"Incentive and Redistributive Effects of Private-sector Union Pension Plans" in M.F. Bognanno and M.M. Klein (eds.), Labour Market Institutions and the Future Role of Unions (Cambridge, Mass.: Blackwell), 1992.
"The Long and Short of Leveraged ETFs: the Financial Crisis and Performance Attribution", CFA Research Foundation Occasional Papers, 2011, available here. Winner of the 2010 Toronto CFA Society Hillsdale Research Award.
"All are NOT Created Equal: An Exploration of ETF Asset Growth" (with Yongjian Chen and Allen Kwong), available here.
"Intraday Share Price Volatility and Volume: the Impact of Leveraged/Inverse ETF Rebalancing" (with Edgar Haryanto, Arthur Rodier, and Walid Hejazi). Draft available on request.
My research has been cited in the
Journal of Finance,
American Economic Review, Journal of Political Economy, Review of
Financial Studies, Journal of Economic Literature, Journal of Monetary
Economics, Journal of Economic Theory, Economica, Journal of Public
Economics, Journal of Economics Dynamics and Control, Journal of Banking
and Finance, Journal of Risk and Insurance, Economics and Politics,
Journal of Cultural Economics,
among others.
Ad hoc reviewing for
Journal of Finance, American Economic Review, Journal of Monetary Economics, Economic Journal, Journal of Corporate Finance, Canadian Journal of Economics, Journal of Banking and Finance, Economica, Economic Inquiry, Journal of Law and Economics, Journal of Financial Research, Economics and Politics, Quantitative Finance, International Tax and Public Finance, Canadian Journal of Administrative Studies, Social Science and Humanities Research Council of Canada, Journal of Pension Economics and Finance, Journal of Cultural Economics.
2011