Attracting investor attention through advertising
Review of Financial Studies, 27 (6). pp. 1797-1829.
Anticipated and repeated shocks in liquid markets
Review of Financial Studies, 26 (8). pp. 1891-1912.
Comomentum: Inferring Arbitrage Activity from Return Correlations
We propose a novel measure of arbitrage activity to examine whether arbitrageurs can have a destabilizing effect in the stock market. We apply our...
Industry Window Dressing
We explore a new mechanism through which investors take correlated shortcuts. Specifically, we exploit a regulatory provision governing firm...
Cross-Market Timing in Security Issuance
The conventional view of market timing suggests an unambiguous, negative relation between equity misvaluation and the equity share in new issues—that...
A flow-based explanation for return predictability
Review of Financial Studies, 25 (12). pp. 3457-3489.
Anticipated and Repeated Shocks in Liquid Markets
We show that Treasury security prices in the secondary market decrease significantly before subsequent auctions and recover shortly after. This price...
Complicated Firms
We exploit a novel setting in which the same piece of information affects two sets of firms: one set of firms requires straightforward processing to...
Attracting Investor Attention through Advertising
This paper provides empirical evidence that managers adjust firm advertising expenditures to influence investor behavior and short-term stock prices...
A Flow-Based Explanation for Return Predictability
This paper proposes and tests an investment-flow based explanation for three empirical findings on return predictability – the persistence of mutual...
