Research
Working Papers
Noisy FOMC Returns: Information, Price Pressure, and Post-Announcement Reversals
with Oliver Boguth, Adlai Fisher, and Charles Martineau
[SSRN]- Best Paper on Asset Pricing Award, NFA 2022
Double Bonus? Implicit Incentives for Money Managers with Explicit Incentives
with Juan Sotes-Paladino
[SSRN]
Publications
Price Revelation from Insider Trading: Evidence from Hacked Earnings News
Journal of Financial Economics, Volume 143, Issue 3, 2022,
with Pat Akey and Charles Martineau,
[JFE ] [SSRN] [Code ]How is Earnings News Transmitted to Stock Prices?
Journal of Accounting Research, Volume 60, Issue 1, 2022,
with Charles Martineau,
[JAR ] [SSRN] [Code ]Inverted Fee Structures, Tick Size, and Market Quality
Journal of Financial Economics, Volume 134, Issue 1, 2019,
with Carole Comerton-Forde and Zhuo Zhong,
[JFE] [SSRN] [Online Appendix]- Best Paper on Market Microstructure Award, NFA 2017
Shaping Expectations and Coordinating Attention: The Unintended Consequences of FOMC Press Conferences
Journal of Financial and Quantitative Analysis, Volume 54, Issue 6, 2019,
with Oliver Boguth and Charles Martineau,
[JFQA] [SSRN] [Internet Appendix]Note: Since January 2019, the Chairman of the Federal Reserve now holds a press conference after each meeting, which is the main policy recommendation of the paper. A postscript at the end of the paper addresses this point.
- Best Paper on Financial Institutions and Markets Award, 7th Financial Markets and Corporate Governance Conference (2016)
- Article in The Globe and Mail, 2019
- Live interview with Sky Business News, 2015
- Mention in LA Times, 2015
The Rise of Passive Investing and Index-linked Comovement
North American Journal of Economics and Finance, Volume 51, 101059, 2020,
[NAJEF] [SSRN] [Internet Appendix]
Supervised Student Work
Circular Economy: A Fintech Driven Solution for Sustainable Practices (book chapter)
In Fintech and Sustainability: How Financial Technologies Can Help Address Today’s Environmental and Societal Challenges, Palgrave Macmillan, pp. 149-168, 2023,
with Kevin Guay,
[Springer]HFTViz: Visualization for the exploration of high frequency trading data
Information Visualization, Volume 21, Issue 2, 2022,
with Javad Yaali and Thomas Hurtut,
[InfoVis ]Alternative Data (book chapter)
In Big Data in Finance: Opportunities and Challenges of Financial Digitalization, Palgrave Macmillan, pp. 13-33, 2022,
with Noah Jepson,
[Springer]
Other Research Contributions
Non-Standard Errors
Forthcoming in Journal of Finance,
coordinated by Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Michael Razen, and Utz Weitzel. (300+ co-authors)
[SSRN]- I was part of a team that was responsible for doing the data analysis and writing a summary paper. Our paper was one of the five best rated papers that were shared with all the teams in the last phase of the project. Our code is available on GitHub.
Forever Working Papers
- Do Mutual Fund Managers Adjust NAV for Stale Prices?
[SSRN]
Pre-PhD Publications
Using copulas to model price dependence in energy markets
Energy risk, Volume 5, Issue 5, 2008,
with Christian Genest and Michel Gendron,
[CiteSeerX]Visible and infrared imagery for surveillance applications: software and hardware considerations
Quantitative InfraRed Thermography Journal, Volume 4, Issue 1, 2007,
with Amar El-Maadi, Louis St-Laurent, Hélène Torresan, Benoit Turgeon, Donald Prévost, Patrick Hébert, Denis Laurendeau, Benoit Ricard and Xavier Maldague,
[Taylor & Francis]