I am an Assistant 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 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
- 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