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

    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.