Research

Working Papers

• Tax-Timing Options and the Demand for Idiosyncratic Volatility ( SSRN )
  With Luke Stein
  Presented at the 2017 Arizona Junior Finance Conference, the 2017 meeting of the EFA, the 2017 University of Oregon Summer Finance Conference, the 2017 Wisconsin Junior Finance Conference, the 2017 meeting of German Economists Abroad, the 2018 European Winter Finance Summit, and the 2018 meeting of the WFA.

• Noisy FOMC Returns? Information, Price Pressure, and Post-Announcement Reversals ( SSRN )
  With Adlai Fisher, Vincent Gregoire and Charles Martineau
  NFA 2022 Best Paper Award in Asset Pricing
  Presented at the 2021 Conference on Markets and Economies with Information Frictions, the 2021 Canadian Economic Association conference, the 3rd Future of Financial Information Conference, the 2022 meetings of the AFA, FIRS, and NFA, the 2022 Tel Aviv University Conference, the 2024 China International Finance Conference.

• Dynamic Competition and Expected Returns
  With Ilona Babenko and Yuri Tserlukevich
  Presented at the University of Washington Summer Finance conference, the Gerzensee Summer Finance Symposium, the UC Santa Cruz Finance Workshop, the 2023 Workshop on Investment- and Production-Based Asset Pricing at BI Norwegian Business School, and the 2023 AFA meeting.

• Stochastic Idiosyncratic Volatility, Portfolio Constraints, and the Cross-Section of Stock Returns
  Presented at the 2010 meetings of the EFA and FMA.