RESEARCH
Published Papers:
- Trading Volume and Time Varying Betas (2022)
Review of Finance (2022)
- Where Does the Predictability from Sorting on Returns of Economically Linked Firms Come From?
with Aaron Burt
Journal of Financial and Quantitative Analysis (2020)
- How Much Do Directors Influence Firm Value?
with Aaron Burt and Jarrad Harford
Review of Financial Studies (2019)
- The Structure of Information Release and the Factor Structure of Returns
with Thomas Gilbert and Avi Kamara
Journal of Financial Economics (2018)
- Precautionary Savings with Risky Assets: When Cash is Not Cash
with Ran Duchin, Thomas Gilbert and Jarrad Harford
Journal of Finance (2017)
Online Appendix to the paper, which contains a very nice model of how a firm should invest its financial portfolio alongside its real assets
- Why Are University Endowments Large and Risky? with Thomas Gilbert
Review of Financial Studies (2015)
- DailyData is Bad for Beta: Opacity and Frequency-Dependent Betas
with Thomas Gilbert, Jonathan Kalodimos and Stephan Siegel
Review of Asset Pricing Studies (2014)
Working Papers:
- Time Series Variation in the Factor Zoo (2022) NEW
with Hendrick Bessembinder and Aaron Burt
- More than 100% of the Equity Premium? How Much is Really Earned on Macroeconomic Announcement Days? (2019)
with Rory Ernst and Thomas Gilbert
- Leaders' Preferences for Fairness and Risk-Sharing Across Generations (2015)
with Thomas Gilbert
- Finding the Disappearing Dividends: Stock Repurchaser Characteristics and Their Increasing Propensity to Pay (2010)
Awards:
- European Finance Association Commondfund Prize for
Best Paper on Endowment Asset Managment, 2013
Media Coverage:
- Apple is a Hedge Fund That Makes Phones OpEd in the Wall Street Journal
- A Hedge Fund That Has a University OpEd in the Wall Street Journal
- Why University Endowments are Large and Risky on
Harvard Law School Forum on Corporate Governance and Financial Regulation
- Local governments should spend more on snow removal OpEd in the Seattle Times
Review of Finance (2022)
with Aaron Burt
Journal of Financial and Quantitative Analysis (2020)
with Aaron Burt and Jarrad Harford
Review of Financial Studies (2019)
with Thomas Gilbert and Avi Kamara
Journal of Financial Economics (2018)
with Ran Duchin, Thomas Gilbert and Jarrad Harford
Journal of Finance (2017)
Online Appendix to the paper, which contains a very nice model of how a firm should invest its financial portfolio alongside its real assets
Review of Financial Studies (2015)
with Thomas Gilbert, Jonathan Kalodimos and Stephan Siegel
Review of Asset Pricing Studies (2014)
with Hendrick Bessembinder and Aaron Burt
with Rory Ernst and Thomas Gilbert
with Thomas Gilbert
Best Paper on Endowment Asset Managment, 2013
Harvard Law School Forum on Corporate Governance and Financial Regulation
