Publications

Review of Financial Studies, 28 (12): 3303-3337. 

Journal of Financial Economics, 118 (3): 553-570

Information asymmetries and trading costs, in a financial market model with dynamic information, generate a self-exciting equilibrium price process...

The Journal Of Finance, 70 (6): 2353–2394. 

The Journal Of Finance, 70 (6): 2853–2896. 

This paper presents a new lower bound on the equity premium in terms of a volatility index, SVIX, that can be calculated from index option prices...

The Journal of Finance, 70 (3): 925–962. 

Review of Financial Studies, 28 (5): 1353-1380. 

It is alleged that activist hedge funds congregate around a common target, with one acting as the "lead" activist and others as peripheral activists...

We decompose the abnormal profits associated with well-known patterns in the cross-section of expected returns into their overnight and intraday...

We develop a model of financially constrained arbitrage, and use it to study the dynamics of arbitrage capital, liquidity, and asset prices...

Information asymmetries and trading costs, in a financial market model with dynamic information, generate a self-exciting equilibrium price process...

Historically, low-beta stocks deliver high average returns and low risk relative to high-beta stocks, offering a potentially profitable investment...

We explore a subtle but important mechanism through which firms manipulate their information environments. We show that firms control information flow...

Historically, low-beta stocks deliver high average returns and low risk relative to high-beta stocks, offering a potentially profitable investment...

Portfolios often trade at substantial discounts relative to the sum of their components (e.g., closed-end funds, conglomerates). We propose a simple...