Ripples into waves: Trade networks, economic activity, and asset prices
Journal of Financial Economics, 145(1), 217-238
Comomentum: Inferring Arbitrage Activity from Return Correlations
The Review of Financial Studies, 35(7), 3272–3302
Margin Trading and Leverage Management
We use granular data covering regulated (brokerage-financed) and unregulated (shadow-financed) margin trading during the 2015 market turmoil in China...
Why Don’t Most Mutual Funds Short Sell?
An intriguing observation in the US mutual fund industry is that most equity funds do not short sell, even though virtually all regulatory...
Informed Trading in Government Bond Markets
Using comprehensive administrative data from the UK, we examine trading by different investor types in government bond markets. Our sample covers...
A tug of war: Overnight versus intraday expected returns
Journal of Financial Economics, 134 (1), 192-213.
The Effect of Superstar Firms on College Major Choice
We study the effect of superstar firms on an important human capital decision – college students’ choice of major. Past salient, extreme events in an...
A Tug of War: Overnight Versus Intraday Expected Returns
We decompose the abnormal profits associated with well-known patterns in the cross-section of expected returns into their overnight and intraday...
Playing Favorites: How Firms Prevent the Revelation of Bad News
We explore a subtle but important mechanism through which firms manipulate their information environments. We show that firms control information flow...
The Booms and Busts of Beta Arbitrage
Historically, low-beta stocks deliver high average returns and low risk relative to high-beta stocks, offering a potentially profitable investment...
Offsetting Disagreement and Security Prices
Portfolios often trade at substantial discounts relative to the sum of their components (e.g., closed-end funds, conglomerates). We propose a simple...
