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
    Presented at the Universidad Catolica de Chile 2nd International Finance Conference and the 2012 meetings of the EFA, NFA, and WFA.
  • 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.
  • Can Trading Derail Price Discovery? Evidence from FOMC Announcements

    With Vincent Gregoire and Charles Martineau
  • 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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