"Turning Over Turnover", (with M. Cremers), Review of Financial Studies, forthcoming, 2008
"Idiosyncratic risk and creative destruction in Japan", (with Y. Hamao & Y. Xu). Journal of Money, Credit and Banking, 2007, 4, 901-924.
"Large Investors, Price Manipulation, and Market Breakdown - An Anatomy of Market Corners", (with Franklin Allen and Lubomir Litov), Review of Finance, 2006,10: 645-693
"Market manipulation: A comprehensive study of stock pools", (with G. Jiang and P. Mahoney) Journal of Financial Economics, 2005, 77, 147-170
"Conditional Risk Premium in Asian Real Estate Properties", with (J. Hu), Journal of Real Estate Finance and Economics, 2000, 3, 295-311.
Vested Interests and Biased Price Estimates: Evidence from An Auction Market (with M. Moses), Journal of Finance, 2005, 60, 2409-2436.
Art as Investment and the Underperformance of Masterpieces: Evidence from 1875-2000, (With M. Moses), American Economic Review, 2002, December, 1656-1668.
"What Makes the Stock Market Jump?---An Analysis of Political Risk on the Hong Kong Stock Returns", (with H. Kim), Journal of International Money and Finance, 2001, 1003-1016.
"Living with the Enemy: an Analysis of Japanese Experience with Foreign Investment", (with Y. Hamao), Journal of International Money and Finance, 2001, 715-735.
"Have U.S. Financial Institutions' Real Estate Investments Exhibited 'Trend-Chasing' Behavior?" with A. Saunders, Review of Economics and Statistics, 79, 248-258, 1997.
"Measuring International Economic Linkage with Stock Market Data" with J. Ammer, Journal of Finance, 51, 1743-1764, 1996.
"Explaining the Cross-section of Returns under a Multi-Factor Model", Journal of Financial and Quantitative Analysis, 28, 331-345, 1993.
"Where Do Betas Come From? Asset Pricing Dynamics and the Sources of Systematic Risk" with J. Campbell, Review of Financial Studies, 6, 567-592, 1993.
"A Semi-autoregression Approach to the Arbitrage Pricing Theory", Journal of Finance, 48, 599-620, 1993.
Working Papers
1. Speculative Trading and Stock Prices: An Analysis of Chinese A-B Share Premia (with José Scheinkman and Wei Xiong)
2. Behavior Based Manipulation (with Chunsheng Zhou)
3. Mandatory vs. contractual disclosure in securities markets:Evidence from the 1930s (with P. Mahoney)
Books and Monographs
1. From Wall Street to Great Wall, (with B Malkiel, P. Taylor, and R. Yang), Norton, 2007.
2. Global Bargain Hunting, (with B. Malkiel), Simon & Schuster, 1998, 1999. Also published by Penguin, 1999. An International Best Seller.
3. Principles of Real Estate Finance, jointly with H. Liao and A. Lee, Rentai Publishing Company, 1995, 570 pages, Third Edition (in Chinese)
4. New Methods for the Arbitrage Pricing Theory and the Present Value Model, World Scientific Publishing Ltd., 1994, 111 pages