Selected Publications
Good for your Fiscal Health? The Effect of the Affordable Care Act on Healthcare Borrowing Costs (Slides)
(with Pengjie Gao and Chang Lee; Journal of Financial Economics (2022), vol. 145(2), 464-488)
The Affordable Care Act (ACA) significantly reduced hospital borrowing costs and increased hospital investment. The borrowing cost reduction is largest in Medicaid-expansion states and insignificant from zero in rural counties of non-expansion states.
Financing Dies in Darkness? The Impact of Newspaper Closures on Public Finance
(Internet Appendix | Slides | Video)
(with Pengjie Gao and Chang Lee; Journal of Financial Economics (2020), vol. 135(2), 445-467; best paper, Brookings Municipal Finance Conference)
Newspaper closures lead to higher municipal borrowing costs in the long-run through the government inefficiency channel.
High-Frequency Market Making to Large Institutional Trades (Internet Appendix | Slides | Video)
(with Robert Korajczyk; Review of Financial Studies (2019), vol. 32(3), 1034-1067)
HFT is associated with higher transaction costs for large, informed trades and lower transaction costs for small, uninformed trades.
Municipal Borrowing Costs and State Policies for Distressed Municipalities (Slides | Video)
(with Pengjie Gao and Chang Lee; Journal of Financial Economics (2019), vol. 132(2), 404-426)
Municipal borrowing costs are lower and secondary yields are less sensitive to default in states with laws in place for assisting financially distressed municipalities.
Other Publications
Non-Standard Errors (Slides | Video | Comedy)
(a crowdsourced research project with the #fincap academy; Journal of Finance (2024), vol. 79(3), 2239-2390)
164 research teams tested six microstructure hypotheses using the same data. (Bob Koraczyk and I comprised one of these teams.) Across teams, there is sizable variation in sample estimates ("non-standard errors") that is approximately on par with regular standard errors.
Do High-Frequency Traders Improve your Implementation Shortfall?
(with Robert Korajczyk; Journal of Investment Management (2020), vol. 18(1), 18-33)
A practitioner study showing that HFT is associated with higher transaction costs for large, informed trades.
(with Roland Eisenhuth and Andreas Neuhierl; The Handbook of Behavioral Industrial Organization (2018), Chapter 10, pp. 257-290, Edward Elgar Publishing)
We analyze behavioral models that can explain why agents accept unfair gambles, place high wagers, and chase losses.
Short-Term Return Predictability and Repetitive Institutional Net Order Activity
(with Ramabhadran Thirumalai; Journal of Financial Research (2017), vol. 40(4), 455-477)
Half-hour returns predict same-half-hour returns on subsequent days, and this is partially attributed to institutional traders who execute multi-day orders.