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. Core Magazine summary
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. submitted.
- ETF Arbitrage and International Diversification (with Ilias Filippou and Hari Rozental), available on SSRN, 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.
- Central Bank Reserves and Currency Volatility (with Alex Ferreira and Joao Mainente), available on SSRN, submitted.
- U.S. Populist Rhetoric and Currency Returns, (with Ilias Filippou, My T. Nguyen and Mark P. Taylor), (available on SSRN), presented at the AFA 2021 poster session, 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 AFA 2020 poster session, and at the WFA 2020 and at the CFTC, new version available on SSRN.
- Life-cycle Housing Problem with Time-varying Housing Risk Premium (with Zhezhi Hu and Nalan Gulpinar), (available upon request).
- The Information Content of Trump Tweets and the Currency Market (with Ilias Filippou, My T. Nguyen, and Ganesh Viswanath Natraj) is now available on SSRN, presented at the AFA 2022 poster session, 34th Australian Finance&Banking Conference.
- Banning Dark Pools: Venue Selection and Investor Trading Costs (with Christian Neumeier, Peter Hoffmann, Peter O'Neill, and Felix Suntheim), FCA Occasional Paper, Media Coverage: Reuters, accepted for presentation at the EFA 2021
- Risk-Corrected Probabilities of a Binary Event (with Alex Ferreira and Yujing Gong), is now available on SSRN, presented at the 34th Australian Finance&Banking Conference.
Media Comment
- Shut-down of Nasdaq: Mondevisione, NetworkComputing, MediaPost, FStech
- Multi-asset funds: Citywire
- Yuan Devaluation: The Irish Times, Islandpacket, McclatchyDC, CNBC, Yahoo! Finance.