Working papers

Fundamentals of Perpetual Futures (with Songrun He, Omri Ross and Victor von Wachter)

Working Paper | Citation | Slides

The Value of Data to Fixed Income Investors (with Jennie Bai and Jane Li)

Working Paper | Citation

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)

Working Paper | Citation

Publications

Business News and Business Cycles (with Leland Bybee, Bryan Kelly and Dacheng Xiu)

Journal of Finance, forthcoming | Citation | Video | Data

The Partisanship of Financial Regulators (with Joseph Engelberg, Matthew Henriksson and Jared Williams)

Review of Financial Studies, forthcoming | Citation | Data

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

Not so working papers

Funding and Incentives of Regulators: Evidence from Banking (with Roni Kisin)

Working Paper | Citation

An Empirical Evaluation of the Black-Litterman Approach to Portfolio Choice (with Michael Gofman)

Working Paper | Citation