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Research Interests

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


  • 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, vol 28, 91-115, SSRN link, ScienceDirect link.
  • Intraday Rallies and Crashes: Spillovers of Trading Halts (with Bei Cui), International Journal of Finance and Economics, vol. 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), forthcoming Journal of Financial and Quantitative Analysis. 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), forthcoming European Journal of Finance, presented at FMA European Conference in Helsinki, FMA Asia Pasific Conference in Sydney, 2016 Finance Forum in Madrid and World Finance Conference in New York, SSRN.

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 

  • Stock vs. Bond Yields, and Demographic Fluctuations (with Annaig Morin), R&R. Download
  • When Do Shorts Harm Liquidity? Evidence from Cross-Listing Arbitrage (with Linquan Chen and Roman Kozhan), presented at the Financial Econometrics and Empirical Asset Pricing Conference in Lancaster and at the World Finance Conference in New York, SSRN.
  • Recent Trends in After Hours Trading (with Bei Cui), available soon!
  • Life-cycle asset allocation of ambiguity averse investor: Habit formation and term life insurance (with Zhezhi Hu and Nalan Gulpinar), available soon!
  • ETF Arbitrage and International Correlation (with Ilias Filippou and Hari Rozental), SSRN.

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