Working papers
Fundamentals of Perpetual Futures (with Songrun He, Omri Ross and Victor von Wachter)
The Value of Data to Fixed Income Investors (with Jennie Bai and Jane Li)
Does Finance Benefit Society? A Language Embedding Approach (with Manish Jha and Hongyi Liu)
Working Paper | Citation | Video | Blog
Liquidity and the Strategic Value of Information (with Ohad Kadan)
Business News and Business Cycles (with Leland Bybee, Bryan Kelly and Dacheng Xiu)
Working Paper | Citation | Video | Data
The Partisanship of Financial Regulators (with Joseph Engelberg, Matthew Henriksson and Jared Williams)
Publications
Text Selection (with Bryan Kelly and Alan Moreira)
Journal of Business & Economic Statistics, 2021, Vol 39, Issue 4, pp. 859–879 | Citation | Slides | Code | Working Paper
Natural Disaster Effects on Popular Sentiment Toward Finance (with Manish Jha and Hongyi Liu)
Journal of Financial and Quantitative Analysis, 2021, Vol 56, Issue 7, pp. 2584–2604 | Citation | Video | Blog
Hub-and-Spoke Regulation and Bank Leverage (with Yadav Gopalan and Ankit Kalda)
Review of Finance, 2021, Vol 25, Issue 5, pp. 1499–1545 | Citation | Working Paper
Estimating the Value of Information (with Ohad Kadan)
Review of Financial Studies, 2019, Vol 32, Issue 3, pp. 951–991 | Citation | Slides | Working Paper | Online Appendix
Intermediary Asset Pricing: New Evidence from Many Asset Classes (with Zhiguo He and Bryan Kelly)
Journal of Financial Economics, 2017, Vol 126, Issue 1, pp. 1–35 (Lead article) | Citation | Slides | Data | Working Paper
News Implied Volatility and Disaster Concerns (with Alan Moreira)
Journal of Financial Economics, 2017, Vol 123, Issue 1, pp. 137–162 | Citation | Slides | Data | Working Paper
The Shadow Cost of Bank Capital Requirements (with Roni Kisin)
Review of Financial Studies, 2016, Vol 29, Issue 7, pp. 1780–1820 | Citation | Slides | Working Paper
Information Acquisition in Rumor-Based Bank Runs (with Zhiguo He)
Journal of Finance, 2016, Vol 71, Issue 3, pp. 1113–1158 | Citation | Slides | Working Paper
The Value of Diffusing Information*
Journal of Financial Economics, 2014, Vol 111, Issue 1, pp. 181–199 | Citation | Working Paper