Research


Publications

Working papers

  • Leverage and the Limits of Arbitrage Pricing: Implications for Dividend Strips and the Term Structure of Equity Risk Premia ( SSRN )

    With Murray Carlson, Adlai Fisher, and Mike Simutin
    Revise & Resubmit, Journal of Finance
    Presented at the Universidad Catolica de Chile 2nd International Finance Conference and the 2012 meetings of the EFA, NFA, and WFA.
  • Dissecting Conglomerates ( SSRN )

    With Ran Duchin and Mike Simutin
    Presented at the 2016 City University of Hong Kong International Finance Conference, the 2016 European Winter Finance Summit, the 2016 University of British Columbia Summer Finance Conference, the 2016 University of Kentucky Finance Conference, the Pontificia Universidad Catolica de Chile 10th International Finance Conference, the 2016 SFS Cavalcade, and the 2016 meeting of the NFA. To be presented at the 2017 Edinburgh Corporate Finance Conference.
  • Coordinating Attention: The Unintended Consequences of FOMC Press Conferences ( SSRN )

    With Vincent Grégoire and Charles Martineau
    Best Paper Award, 2016 Conference on Financial Markets and Corporate Governance
    Presented at the 2016 meeting of the Accounting and Finance Association of Australia and New Zealand, the 2016 China International Finance Conference, the 2016 Financial Institutions, Regulation & Corporate Governance Conference, the 2016 Financial Markets and Corporate Governance Conference, and the 2016 meetings of the FMA Asia/Pacific and the EFA. To be presented at the 2017 meetings of the WFA.
  • The Fragility of Organization Capital ( SSRN )

    With David Newton and Mike Simutin
    Presented at the 2016 Arizona Junior Finance Conference, the 2016 University of Alberta Frontier in Finance Conference, and the 2016 Conference on Financial Economics and Accounting. To be presented at the 2017 meetings of the EFA.
  • Tax-Timing Options and the Demand for Idiosyncratic Volatility ( SSRN )

    With Luke Stein
    Presented at the 2017 Arizona Junior Finance Conference. To be presented at the 2017 meetings of the EFA and the University of Oregon Summer Finance Conference.
  • Stochastic Idiosyncratic Volatility, Portfolio Constraints, and the Cross-Section of Stock Returns ( PDF )

    Presented at the 2010 meetings of the EFA and FMA.


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