| Ph. D., University of North Carolina, Finance | | (1998) |
| Investments, Financial Markets |
With Licheng Sun at Old Dominion University .
"Cross-sectional Return Dispersion and Time-variation in Value and Momentum Premia."
Forthcoming, Journal of Financial and Quantitative Analysis, Accepted January 2009.,
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With Licheng Sun at Old Dominion University .
"The Other January Effect: International, Style, and Subperiod Evidence."
Forthcoming, Journal of Financial Markets, Accepted May 2008.,
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With Robert Connolly at UNC- Chapel Hill and Licheng Sun at Old Dominion University .
"Commonality in the Time-variation of Stock-Stock and Stock- Bond Return Comovements."
Journal of Financial Markets,
10,
(May 2007),
pp. 192-218.
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With Patrick Dennis and Stewart Mayhew .
"Stock Returns, Implied Volatility Innovations, and the Asymmetric Volatility Phenomenon."
Journal of Financial and Quantitative Analysis,
41,
(June 2006),
pp. 381-406.
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With Robert Connolly .
"Information Content and Other Characteristics of Daily Cross-firm Stock Volatility."
Journal of Empirical Finance,
13,
(January 2006),
pp. 79-112.
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With Licheng Sun and Robert Connolly .
"Stock Market Uncertainty and the Stock-Bond Return Relation."
Journal of Financial and Quantitative Analysis,
40,
(March 2005),
pp. 161-194.
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With Robert A. Connolly .
"Macroeconomic News, Stock Turnover, and Volatility Clustering in Daily Stock Returns."
Journal of Financial Research,
28,
(June 2005),
pp. 235-259.
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With Robert A. Connolly .
"Momentum and Reversals in Equity Index Returns During Periods of Abnormal Turnover and Return Dispersion ."
The Journal of Finance,
58,
(August 2003),
pp. 1521-1556.
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With Stewart Mayhew .
"Stock Market Return Dynamics, Option Volume, and the Information Content of Implied Volatility."
Journal of Futures Markets,
23,
(July 2003),
pp. 615-646.
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Stivers, C.
"Firm-level Return Dispersion and the Future Volatility of Aggregate Stock Market Returns."
Journal of Financial Markets,
6,
(May 2003),
pp. 389-411.
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With Naresh Bansal at Saint Louis University and Bob Connolly at UNC-Chapel Hill .
"Regime-Switching in Stock and T-bond Futures Returns and Measures of Stock Market Stress."
Working Paper,
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| FINA 4320 Derivative Security Markets |
| FINA 8310 Advanced Speculative Markets |
| FINA 8330 Financial Engineering |
| FINA 9110 Asset Pricing PhD Seminar: Theory and Evidence |
