I am an Associate Professor of Finance at Boston College. My research interests are in asset pricing and market microstructure.
Working Papers
- What Drives Momentum and Reversal? Evidence from Day and Night Signals [updated 8/2024] with Yashar Barardehi and Dmitriy Muravyev
- Review of Financial Studies, Revise and Resubmit
- Past day and night return signals suggest that underreaction to information conveyed through trading contributes to momentum profits
- A Century of Market Reversals: Resurrecting Volatility (draft available upon request) with Blake LeBaron and Jeffrey Pontiff
- An Anatomy of Retail Option Trading [8/2024] with Dmitriy Muravyev
- Seasonalities in Anomalies
- Several asset pricing anomalies display strong monthly seasonalities that affect their economic interpretation
Publications
- Informed Trading Intensity | JF with Vyacheslav Fos and Dmitriy Muravyev
- Journal of Finance, 2024
- We propose a novel, data-driven, measure of informed trading
- Informed trading measure available here
- Who Trades at the Close? Implications for Price Discovery and Liquidity | JFM with Dmitriy Muravyev
- Journal of Financial Markets, 2023, Lead Article
- Liquidity, Volume, and Order Imbalance Volatility | JF with Pierre Collin-Dufresne
- Journal of Finance, 2023
- Motivated by a simple inventory model, high-frequency order imbalance volatility helps explain the dynamics of liquidity
- Data available here
- The Cross-Section of Intraday and Overnight Returns | JFE, Internet Appendix
- Journal of Financial Economics, 2021
- Patterns in intraday average returns of asset pricing anomalies shed light on what drives cross-sectional variation in stock returns
- Slow-Moving Capital and Execution Costs: Evidence from a Major Trading Glitch | JFE, Internet Appendix with Pierre Collin-Dufresne and Mehmet Sağlam
- Journal of Financial Economics, 2021
- A natural experiment supports theories of inventory shocks and market making capital
- Infrequent Rebalancing, Return Autocorrelation, and Seasonality | JF, Internet Appendix
- Journal of Finance, 2016
- Infrequent rebalancing can explain puzzling return predictability patterns at different frequencies
- NASDAQ OMX - CQA Prize (Runner-up), 2014 EFA Doctoral Tutorial