Working papers
Noisy FOMC Returns? Information, Price Pressure, and Post-Announcement Reversals
With Oliver Boguth, Adlai Fisher and Vincent Gregoire [SSRN] R&R at RFS.
News Selection and Asset Pricing
With Jordi Mondria [SSRN] R&R at MS.
Social Media and the Distortion of Price Revelation
With Jordi Mondria and Edna Lopez Avila [SSRN]
Understanding the Excess Bond Premia
A FinHub collaboration project with Kevin Benson, Ing-Haw Cheng, John Hull, Yoshio Nozawa, Vasily Strela, Yuntao Wu, and Jun Yuan [SSRN]
Publications
Information economics
-
Shaping Expectations and Coordinating Attention: The Unintended Consequences of FOMC Press Conferences, Journal of Financial and Quantitative Analysis, 2019
with Oliver Boguth and Vincent Gregoire [JFQA] [SSRN] [Internet appendix]
-
Macroeconomic Attention and Announcement Risk Premia Review of Financial Studies, 2022
with Adlai Fisher and Jinfei Sheng [RFS] [SSRN] [Internet appendix] [MAI data]
-
Price Revelation from Insider Trading: Evidence from Hacked Earnings News Journal of Financial Economics, 2022
with Pat Akey and Vincent Gregoire [JFE] [SSRN] [SocArXiv] Media coverage: Bloomberg, Columbia Law School Blog
Rest in Peace Post-Earnings Announcement Drift Critical Finance Review, 2022 [CFR] [SSRN] [Internet appendix]
-
How is Earnings News Transmitted to Stock Prices? Journal of Accounting Research, 2022
with Vincent Gregoire [JAR] [SSRN] [Internet appendix] [Github]
-
Retail Trading and Analyst Coverage Journal of Financial Markets, 2023
with Marius Zoican [JFM] [SSRN]
General asset pricing
-
Explaining the Failure of the Unconditional CAPM with the Conditional CAPM Management Science, 2022
with Michael Hasler [MS] [SSRN] [Internet Appendix]
-
Equity Return Prediction with ICAPM Review of Asset Pricing Studies, 2024
with Michael Hasler [RAPS] [SSRN]
Other contributions to research
-
Non-Standard Errors Journal of Finance, 2024
Dreber, A., Menkveld, A. J., Holzmeister, F., Johannesson, M., Huber, J., Kirchler, M., ... & Lajaunie, Q. [JF] [SSRN]
Vincent Gregoire and I were part of a team that was responsible for doing the data analysis and writing a summary paper. Our paper was one of the five best rated papers that were shared with all the teams in the last phase of the project. Our code is available on [Github]