Cheng, Joseph, and Son-Nan Chen . An Alternative Test of The After-tax CAPM. Advances in Financial Planning and Forecasting, 2005.

Bakshi, Gurdip, and Nengjiu Ju. A Refinement to AitSahalia's "Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach". Journal of Business, 2005, 78 (5): 2037-2052.

Liu, Jun, Jun Pan, and Tan Wang. An Equilibrium Model of Rare-Event Premia and Its Implication for Option Smirks. The Review of Financial Studies, 2005, 18 (1): 131-164.

Cao, H. Henry, Tan Wang, and Harold H. Zhang. Model Uncertainty, Limited Market Participation and Asset Prices. The Review of Financial Studies, 2005, 18 (4): 1219-1251.

Hong, Harrison, and Ming Huang. Talking up Liquidity: Insider Trading and Investor Relations. Journal of Financial Intermediation, 2005, 14 (1): 1-31.

Hong, Harrison, Jeffrey D. Kubik, and Jeremy C. Stein. Thy Neighbor's Portfolio: Word-of-Mouth Effects in the Holdings and Trades of Money Managers. Journal of Finance, 2005, 60 (6): 2801-2824.

Dammon, Robert, James Poterba, Chester Spatt, and Harold H. Zhang. Maximizing Long-Term Wealth Accumulation: It’s not just about “What” but also about “Where” to Make Them. Research Dialogue, 2005 (85): 1-11.

Grinblatt, Mark, and Bing Han. Prospect theory, mental accounting, and momentum. Journal of Financial Economics, 2005, 78 (2): 311-339.

John Boyd , Jian HuRavi and Jagannathan. The Stock Market’s Reaction to Unemployment News: Why Bad News May Some Times Be Good For Stocks?. Journal of Finance, 2005, 60 (2): 649-672.

Huw Lloyd-Ellis and Shiqiang Zhan, Xiaodong Zhu. Tax Smoothing with Stochastic Interest Rates: A Re-assessment of Clinton’s Fiscal Legacy. Journal of Money, Credit and Banking, 2005, 37 (4): 699-724.