I am an Assistant Professor of Finance at Boston College. My research interests are in asset pricing and market microstructure.

Curriculum Vitae

Working Papers

• What Drives Momentum and Reversal? Evidence from Day and Night Signals [updated 2/2023]
with Yashar Barardehi and Dmitriy Muravyev
• Review of Financial Studies, Revise and Resubmit
• Evidence from 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

• Seasonalities in Anomalies
• Several asset pricing anomalies display strong monthly seasonalities that affect their economic interpretation

Publications

• Informed Trading Intensity
with Vyacheslav Fos and Dmitriy Muravyev
• Journal of Finance, forthcoming
• A data-driven measure of informed trading complements existing theoretical measures and provides new insights about informed trading

• Who Trades at the Close? Implications for Price Discovery and Liquidity | JFM
with Dmitriy Muravyev
• Journal of Financial Markets, forthcoming
• Closing auctions appear to match volumes at low cost
• Media coverage: Bloomberg
• Data available here

• Liquidity, Volume, and Order Imbalance Volatility | JF
with Pierre Collin-Dufresne
• Journal of Finance, 2023, 78(4): 2189-2232
• Motivated by a simple inventory model, high-frequency order imbalance volatility helps explain the dynamics of liquidity and is priced in the cross-section of stock returns
• Data available here

• The Cross-Section of Intraday and Overnight Returns | JFE, Internet Appendix
• Journal of Financial Economics, 2021, 141(1): 172-194
• Well-known asset pricing anomalies exhibit strikingly different patterns in intraday average returns, which helps to understand 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, 139(3): 922-949
• We find support for theories of inventory shocks and market making capital using a natural experiment and contrast standard liquidity measures to institutional liquidity measures

• Infrequent Rebalancing, Return Autocorrelation, and Seasonality | JF, Internet Appendix
• Journal of Finance, 2016, 71(6): 2967-3006
• Infrequent rebalancing can explain puzzling return predictability patterns at different frequencies
• NASDAQ OMX - CQA Prize (Runner-up), 2014 EFA Doctoral Tutorial