RESEARCH
Academic Publications:
-
Investor Inattention and the Market Impact of Summary Statistics
with Shimon Kogan, Lars Lochstoer, and Ataman Ozyildirim,
Special Issue on Behavioral Economics and Finance, Management Science
58,
336-350 (2012)
- Online Appendix to the paper
- Media coverage: Financial Times, SmartMoney.com - Information Aggregation around Macroeconomic Announcements: Revisions Matter, Journal of Financial Economics 101, 114-131 (2011)
- Endogenous Versus Exogenous Shocks in Complex Networks: An Empirical Test Using Book Sales Rankings with Didier Sornette, Fabrice Deschâtres, and Yann Ageon, Physical Review Letters 93, 228701 (2004)
Working Papers:
-
Why do University Endowments
Invest So Much in Risky Assets? with Christopher Hrdlicka (2013) -
UPDATED
- Beta and Factor Models: Frequency Matters with Christopher Hrdlicka, Jonathan Kalodimos, and Stephan Siegel (2013) - UPDATED
-
Fairness and Risk-Sharing
Across Generations with Christopher Hrdlicka (2013) -
UPDATED
- Media coverage: MarginalRevolution - White paper: Do Donors Want to Support their Alma Mater or the S&P 500 Index? with Christopher Hrdlicka (2012)
- "Why do Certain Macroeconomic News Announcements have a Big Impact on Asset Prices?" with Chiara Scotti, Georg Strasser, and Clara Vega (2010) - revision coming soon
Work in Progress:
- "Uncertainty and Corporate Policies" with Ran Duchin
- "Why we should give equity claims to politicians" with Philip Bond and Chris Hrdlicka
- "Seasonality in Asset Pricing Factors" with Chris Hrdlicka and Avi Kamara
- "Macroeconomic Announcements and Firm-Level Risk Characteristics" with Miguel Palacios
- "Endogenous Liquidity and Corporate Governance" with Rich Matthews and Lance Young
- "Real-Time Forecasting of Macroeconomic Revisions" with Dean Croushore
- "The Behavior of Aggregate Accounting Anomalies" with Liz Chuk, Mark Soliman, and Julie Suh
Other (Non-Academic) Publications:
- The Paradox of Macroeconomic Announcements in the inaugural issue of the European Financial Review, February-March 2009
Electronic copies of articles are posted for educational purposes only.
