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WBS Finance Group

Research

Research Interests

  • Empirical Asset Pricing, Financial Econometrics, International Finance, Market Microstructure, Experimental Finance, Household Finance.

Publications

  • Demographic Trends, the Dividend-Price Ratio and the Predictability of Long-Run Stock Market Returns (joint with Carlo A. Favero and Andrea Tamoni), Journal of Financial and Quantitative Analysis, 2011, vol. 46 (5), 1493-1520. JFQA link, VOX article, CFA digest.
  • Lot Size Constraints and Market Quality: Evidence from the Borsa Italiana (joint with Pietro Perotti, Barbara Rindi and Roberta Fredella), Financial Management, 2015, vol. 44 (4), 905-945. SSRN link of the paper, FM link.
  • Pre-trade Transparency and Informed Trading: Experimental Evidence on Undisclosed Orders, Journal of Financial Markets, 2016, 28, 91-115, SSRN link, ScienceDirect link.
  • Intraday Rallies and Crashes: Spillovers of Trading Halts (with Bei Cui), International Journal of Finance and Economics, 2016, 21(4), 472-501. Presented at the FIRN UTS Market Microstructure Meeting in Sydney, SSRN link, FMA Asia/Pacific CMCRC Research Award.
  • Demographics and the Behaviour of Interest Rates (with Carlo A. Favero and Haoxi Yang), IMF Economic Review, 2016, vol 64(4), 732-776. Presented at 'Secular Stagnation, Growth and Real Interest Rates' Conference in Florence and at SoFiE conference in Hong Kong, SSRN link, Springer link.
  • Global Political Risk and Currency Momentum (with Ilias Filippou and Mark P. Taylor), Journal of Financial and Quantitative Analysis, 2018, 53, 5, 2227-2259. SSRN link of the paper, presented at 2015 FMA European Conference in Venice, 2015 International French Finance Conference, 2015 China International Conference in Finance (CICF), 2015 Finance Forum in Madrid.
  • Initial Returns and Stock Market Re-Entry Decisions (with Ozlem Arikan, Gi Kim and Hiroaki Sakaguchi), European Journal of Finance, 2019, 25, 10, 883-909. Presented at FMA European Conference in Helsinki, FMA Asia Pacific Conference in Sydney, 2016 Finance Forum in Madrid, and World Finance Conference in New York, SSRN.
  • Stock vs. Bond Yields, and Demographic Fluctuations (with Annaig Morin), Journal of Banking and Finance, 2019, 109, ScienceDirect link, Online Appendix. Presented at the University of Piraeus, 2018. CoreLink opens in a new window Magazine summaryLink opens in a new window
  • Banning Dark Pools: Venue Selection and Investor Trading Costs (with Christian Neumeier, Peter Hoffmann, Peter O'Neill, and Felix Suntheim), FCA Occasional Paper, Link opens in a new window Media Coverage: ReutersLink opens in a new window, presented at the EFA 2021, forthcoming in Journal of Financial Markets.
  • The American Spirit: The Performativity of Folk Economics in Global Financial Markets (with Emre Tarim and Gulnur Muradoglu, forthcoming in EPA: Economy and Space.
  • Exchange Rates and Binary Political Events (with Pedro Venturi, Alex Ferreira and Yujing Gong), presented at the Brazilian Economics Meeting 2017, the University of Sao Paulo, forthcoming in Oxford Economic Papers.
  • ETF Arbitrage and International Diversification (with Ilias Filippou and Hari Rozental), available on SSRN,Link opens in a new window accepted for presentation at the AFA 2022 (Boston), presented at FMA 2019, CICF 2019, Finance Forum 2019, Fulcrum Asset Management, Hebrew University of Jerusalem 2019. Media Coverage: seekingalpha.com, quantpedia,institutional-money.com., Semi-finalist for Best Paper Award in Investments, FMA 2019, forthcoming in Journal of Banking and Finance.

Book Chapters

  • Empirical and Experimental Research on Transparency and Disclosure, Chapter 20 in Market Microstructure in Emerging and Developed Markets edited by Kent Baker and Halil Kiymaz, Kolb Series in Finance, 2013.

Working Papers 

  • News and Trading After Hours (with Bei Cui), now available on SSRN!
  • Life-Cycle Asset Allocation of Ambiguity Averse Investors: Habit Formation and Term Life Insurance, (with Zhezhi Hu and Nalan Gulpinar), presented at the NFA 2018, University of Exeter Finance Seminar 2018.
  • Central Bank Reserves and Currency Volatility (with Alex Ferreira and Joao Mainente), available on SSRN.
  • U.S. Populist Rhetoric and Currency Returns, (with Ilias Filippou, My T. Nguyen and Mark P. Taylor), (available on SSRNLink opens in a new window), presented at the EEA 2023, AFA 2021 poster sessionLink opens in a new window, Midwest Finance Conference 2021, FMA 2020, 2nd Frontiers of Factor Investing Conference 2020, submitted.
  • Speculator Spreading Pressure and the Commodity Futures Risk Premium, (with Yujing Gong and Gi Kim), presented at the EFA 2023 poster session, APAD 2023, CICF 2023, AFA 2020 poster session, WFA 2020, CFTC, JPMCC 2021, 28th Finance Forum, Warwick Business School Seminar, LSE Systemic Risk Centre Seminar, KRX Paper award APAD 2023, available on SSRN.
  • Life-cycle Housing Problem with Time-varying Housing Risk Premium (with Zhezhi Hu and Nalan Gulpinar), (available upon request).
  • Signal in the Noise: Trump Tweets and the Currency Market (with Ilias Filippou, My T. Nguyen, and Ganesh Viswanath Natraj) is now available on SSRN, Link opens in a new windowpresented at the AFA 2022 poster session, Link opens in a new window34th Australian Finance&Banking Conference, WBS Summary, Link opens in a new windowR&R
  • Risk-Corrected Probabilities of a Binary Event (with Alex Ferreira and Yujing Gong), is now available on SSRN,Link opens in a new window presented at the AFBC 2021, CFE 2021, European FMA 2022, EFMA 2022, FMA 2022, Semi-finalist for Best Paper in Options & Derivatives in 2022 FMA Annual Meeting
  • Liquidity and Price Informativeness of Options: Evidence from Extended Trading Hours (with Liangyi Mu), R&R (available upon request)

Media Comment

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