Research
Publications:
Pricing Poseidon: Extreme Weather Uncertainty and Firm Return Dynamics, with Brigitte Roth Tran and Sumudu W. Watugala, 2023. Forthcoming Journal of Finance.
Selected conferences: NBER Asset Pricing Spring 2020, AFA 2021
Banking on Carbon: Corporate Lending and Cap-and-Trade Policy, with Ivan T. Ivanov and Sumudu W. Watugala, 2024. Review of Financial Studies 37:1640-1684.
Selected conferences: SFS Cavalcade 2021, NBER Summer Institute 2021
Best ESG Paper CEMA 2022
The Life of the Counterparty: Shock Propagation in Hedge Fund-Prime Broker Credit Networks, with Phillip J. Monin and Sumudu W. Watugala, 2022. Journal of Financial Economics 146:965-988.
Selected conferences: AFA 2020
From Which Consumption-Based Asset Pricing Models Can Investors Profit? Evidence from Model-Based Priors, 2022. Journal of Financial Econometrics 20:539-567.
Selected conferences: NBER Summer Institute 2016
The Shift From Active to Passive Investing: Potential Risks to Financial Stability?, with Kenechukwu Anadu, Patrick E. McCabe, and Emilio Osambela, 2020. Financial Analysts Journal 76:23-39.
The Impact of Hedge Funds on Asset Markets, with Andrew Patton and Tarun Ramadorai, 2015. Review of Asset Pricing Studies 5:185-226.
Best Paper Award, Napa Conference on Financial Markets Research 2014
Review of Asset Pricing Studies Keynote Paper, SFS Finance Cavalcade 2016
Hedge fund illiquidity time series data.
Working Papers:
LTCM Redux? Hedge Fund Treasury Trading and Funding Fragility, with Phillip J. Monin, Lubomir Petrasek, and Sumudu W. Watugala, 2023.
R&R Journal of Financial Economics
Selected conferences: Texas Finance Festival 2021, NBER Summer Institute 2022
Liquidity Provision in a One-Sided Market: The Role of Dealer-Hedge Fund Relations, with Marco Macchiavelli, Phillip J. Monin, and Xing A. Zhou, 2023.
Selected conferences: NBER Financial Market Frictions and Systemic Risks Spring 2024
Investor Concentration, Flows, and Cash Holdings: Evidence from Hedge Funds, with Phillip J. Monin and Sumudu W. Watugala, 2019.
Best Paper in Investments Award, Midwest Finance Association 2018