Research

Working Papers

• Competition and Systematic Risk: A Real-Options Framework and Evidence from the Oil Sector ( SSRN )

  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.

• 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

  With Vincent Gregoire and Charles Martineau
  NFA 2022 Best Paper Award in Asset Pricing
  Presented at the 2022 meetings of the AFA, FIRS, and NFA.

• Stochastic Idiosyncratic Volatility, Portfolio Constraints, and the Cross-Section of Stock Returns ( PDF )

  Presented at the 2010 meetings of the EFA and FMA.

Publications

• The Term Structure of Equity Risk Premia: Levered Noise and New Estimates ( SSRN | RF )

  With Murray Carlson, Adlai Fisher, and Mike Simutin
  Review of Finance 27, 1155–1182 (Editor's Choice)

• Dissecting Conglomerate Valuations ( SSRN | JF | Data | Internet Appendix )

  With Ran Duchin and Mike Simutin
  Journal of Finance 77 (2022), 1097–1131

• The Fragility of Organization Capital ( SSRN | JFQA )

  With David Newton and Mike Simutin
  Journal of Financial and Quantitative Analysis 57 (2022), 857–887

• Shaping Expectations and Coordinating Attention: The Unintended Consequences of FOMC Press Conferences ( SSRN | JFQA | Internet Appendix )

  With Vincent Grégoire and Charles Martineau
  Journal of Financial and Quantitative Analysis 54 (2019), 2327–2353

• Leverage Constraints and Asset Prices: Insights from Mutual Fund Risk Taking ( SSRN | JFE | Data | Internet Appendix )

  With Mike Simutin
  Journal of Financial Economics 127 (2018), 325–341

• Idiosyncratic Cash Flows and Systematic Risk ( SSRN | JF | Internet Appendix )

  With Ilona Babenko and Yuri Tserlukevich
  Journal of Finance 71 (2016), 425–456

• Horizon Effects in Average Returns: The Role of Slow Information Diffusion ( SSRN | RFS | Internet Appendix )

  With Murray Carlson, Adlai Fisher, and Mike Simutin
  Review of Financial Studies 29 (2016), 2241–2281

• Consumption Volatility Risk ( SSRN | JF | Data | Internet Appendix )

  With Lars-Alexander Kuehn
  Journal of Finance 68 (2013), 2589–2615

• Conditional Risk and Performance Evaluation: Volatility Timing, Overconditioning, and New Estimates of Momentum Alphas ( SSRN | JFE )

  With Murray Carlson, Adlai Fisher, and Mike Simutin
  Journal of Financial Economics 102 (2011), 363–389