RESEARCH
Academic Publications:
- The Structure of Information Release and the Factor Structure of Returns
with Christopher Hrdlicka and Avraham Kamara
Journal of Financial Economics, 127, 546-566 (2018) -
Is the Intrinsic Value of a Macroeconomic News Announcement Related to its Asset Price Impact?
with Chiara Scotti, Georg Strasser, and Clara Vega
Journal of Monetary Economics, 92, 78-95 (2017) - Precautionary Savings with Risky
Assets: When Cash is Not Cash
with Ran Duchin, Jarrad Harford and Christopher Hrdlicka
Journal of Finance, 72, 793-852 (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 Christopher Hrdlicka
Review of Financial Studies 28, 2643-2686 (2015) - Winner of the Commonfund Prize for the Best Paper on Foundation and Endowment Asset Management presented at the 40th European Finance Association Annual Meeting (Cambrdige, U.K.)
- Online Appendix to the paper
-
Daily Data is Bad for Beta: Opacity and Frequency-Dependent Betas
with Christopher Hrdlicka, Jonathan Kalodimos and Stephan Siegel
Review of Asset Pricing Studies 4, 78-117 (2014) - Solicited by Wayne Ferson (editor)
- Online Appendix to the paper
-
Investor
Inattention and the Market Impact of Summary Statistics
with Shimon Kogan, Lars Lochstoer and Ataman Ozyildirim
Management Science 58, 336-350 (2012) - Special Issue on Behavioral Economics and Finance
- 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:
- The Disappearing Pre-FOMC Announcement Drift with Alexander Kurov and Marketa Wolfe (2018)
- Leaders' Preferences for Fairness and Risk-Sharing Across Generations with Christopher Hrdlicka (2016)
- Media coverage: MarginalRevolution
Work in Progress:
- "Risky Asset Portfolio as Signal of Quality" with Chris Hrdlicka
- "How Not to Pick Bad Mutual Funds" with Yang Song
- "The (Optimal) Capital Structure of Universities"
- "Why do Donors Donate to Universities with Large and Risky Endowments" with Chris Hrdlicka
- "Liquidity Supply Prior to Macroeconomic Announcements" with Sunil Wahal
- "Firm-Level Exposure to Macroeconomic Risk" with Jinfei Sheng
- "Public and Private Weather Information in the Orange Juice Market" with Alvin Chen
- "Don't Get Caught by Surprise: The Impact of Macroeconomic News on Corporate Policies" with Ran Duchin
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.
