Employment and Education:

Academic Experience:

2010-present:	Professor of Finance, Graduate School of Business, Columbia University
2001-2007:	John L. and Helen Kellogg Distinguished Professor of Finance, Kellogg School, Northwestern University (on leave 2005-2007)
1999-2001:	Associate Professor, Kellogg-Northwestern.
1996-1999:	Assistant Professor, Kellogg-Northwestern.
1992-1996:	Assistant Professor, Graduate School of Business, University of Chicago
1991-1992:	Assistant Professor, University of British Columbia.

Industry Experience:

2009-2010:	Co-Chief Investment Officer and Head of Equity Research, Quantitative Investment Strategies, Goldman Sachs Asset Management.
2005-2009:	Managing Director and Head of Equity Research, QIS-GSAM.
2004-2005:	Vice-president, QIS-GSAM.

Education:

• Ph.D. (finance), University of California, Los Angeles, 1992
• M.B.A (finance), University of California, Los Angeles, 1987
• B.S. (physics), California Institute of Technology, 1981

Papers:

Recent Working Papers:

• ``Momentum Crashes,'' with Tobias Moskowitz. (revised, April, 2012).

• ``Tail Risk in Momentum Strategy Returns,'' with Ravi Jagannathan and Soohun Kim. (revised September, 2012).

• ``Strategic Asset Allocation with Predictable Returns and Transaction Costs,'' with Pierre Collin-Dufresne, Ciamac C. Moallemi, and Mehmet Saglam. (revised November, 2012).

• ``Testing Factor-Model Explanations of Market Anomalies,'' with Sheridan Titman. Critical Finance Review, 1(1), January 2012, pp 103-139.

• ``Anatomy of a Crisis.'' CFA Institute Quarterly Proceedings, 26(3), September 2009, pp. 11-21.

• ``Market Reactions to Tangible and Intangible Information,'' with Sheridan Titman. Journal of Finance, 61(1), August 2006, pp. 1605-1643.

• ``Investor Psychology in Capital Markets: Evidence and Policy Implications,'' with David Hirshleifer and Siew Hong Teoh, Journal of Monetary Economics, 49 (2002) 139-209.

• ``The Power and Size of Mean Reversion Tests,.'' Journal of Empirical Finance, 8 (2001), 493-535.

• ``Overconfidence, Arbitrage, and Equilibrium Asset Pricing,'' with David Hirshleifer and Avanidhar Subrahmanyam. Journal of Finance, 56(3), June 2001, p. 921-965.

• ``Explaining the Cross-Section of Stock Returns in Japan: Factors or Characteristics?,'' with Sheridan Titman and K.C. John Wei. Journal of Finance, 55(2), April 2001, p. 743-766.
  • Winner of the best paper award for the 2000 NTU International Conference on Finance in Taipei, Taiwan

• ``Market Efficiency in an Irrational World,'' with Sheridan Titman. Financial Analysts' Journal 55(6), November/December 1999, p. 28-40.

• ``Investor Psychology and Security Market Under- and Over-reactions,'' with David Hirshleifer and Avanidhar Subrahmanyam. Journal of Finance, 53(5), December 1998, pp. 1839-1886.
  • Winner of the 1999 Smith-Breeden Prize for the best paper in the Journal of Finance.
  • AAII Award for Best Paper on Investments at the 1997 Western Finance Association Meetings
  • Best Paper Award for the 1998 NTU International Conference on Finance in Taipei, Taiwan
  • Reprinted in International Library of Critical Writings in Financial Economics., Richard Roll, editor. Edward Elgar.
  • Reprinted in Advances in Behavioral Finance, Volume II., Richard H. Thaler, editor. Princeton University Press.

• ``Characteristics or Covariances?,'' with Sheridan Titman. Journal of Portfolio Management 24(4), Summer 1998, pp. 24-33.

• ``The Equity Premium Puzzle and the Risk-Free Rate Puzzle at Long Hod rizons," with David Marshall, Macroeconomic Dynamics 1(2), 1997.

• ``Measuring Mutual Fund Performance with Characteristic Based Benchmarks," with Mark Grinblatt, Sheridan Titman and Russ Wermers. Journal of Finance, July 1997.

• ``Evidence on the Characteristics of Cross-Sectional Variation in Stock Returns,'' with Sheridan Titman, Journal of Finance, 52(1), March 1997, pp. 1-33.
  • Winner of the 1997 Smith-Breeden Prize for the best paper in the Journal of Finance.
  • Reprinted in Asset Pricing and Portfolio Performance, Robert A. Korajczyk, editor. Risk Books: London, 1999.
  • Reprinted in International Library of Critical Writings in Financial Economics., Richard Roll, editor. Edward Elgar.
  • Reprinted in Advances in Behavioral Finance, Volume II., Richard H. Thaler, editor. Princeton University Press.

• ``Investment Under Asymmetric Information,'' with Sheridan Titman, in Finance, Handbooks in Operations Research and Management Science, Volume 9 edited by R. Jarrow, V. Maksimovic, and W. Ziemba. Amsterdam: North Holland, 1995.

• ``Discussion Of: 'Testing Behavioral Finance Theories Using Trends and Sequences in Financial Performance,' by Wesley Chan, Richard Frankel, and S.P. Kothari. Journal of Accounting and Economics December 2004, Vol 38, pp. 51-64.

• ``Discussion of `Why Don't Issuers Get Upset About Leaving Money on the Table,''' by Tim Loughran and Jay Ritter. Review of Financial Studies 2002, Vol 15, No. 2, p. 445-454.

• Slides of other (unpublished) discussions are posted here

• ``Sorting Out `Sorting out Sorts','' with Sheridan Titman, (revised February, 1999)

• ``A Theory of Costly Sequential Bidding,'' with David Hirshleifer, (revised July, 1998)

• ``Consumption-Based Modeling of Long-Horizon Returns,'' with David Marshall, (revised May, 1998)

• ``Common Stock Returns and the Business Cycle,'' with Walter Torous (revised June 1995)

• ``Business Cycle Variation in Earnings Forecasts and Common Stock Returns,'' with Vivek Mande, (revised September 1994)