I am a PhD Candidate in Finance at Michigan Ross and am expecting to graduate in 2016.
I will be attending the ASSA meetings in San Francisco and am available on all days for interviews.
Empirical Asset Pricing, Macro-Finance, Empirical Market Micro-structure
University of Michigan, Ann Arbor
Ross School of Business
701 Tappan, R5431
Ann Arbor, MI, 48109
firstname.lastname@example.org, Tel: 734-757-5597
Job Market Paper:
"Liquidity Spillovers Across Assets", October 2015
Liquidity spillovers - i.e.,the transmissions of liquidity shocks from one market to another - are an important yet not fully understood feature of price formation in financial markets. In this paper, I examine liquidity spillovers across four asset classes traded in U.S. futures markets: Oil, Treasuries, Eurodollar, and S&P500. Using a reduced - form VAR, I find significant evidence of liquidity spillovers across these assets, especially during periods of financial and macroeconomic turmoil. My findings also suggest that these spillovers are driven by liquidity supply channels (as opposed to information channels): when liquidity providers face higher funding constraints, liquidity spillovers across assets increase.
We examine the effects of political uncertainty surrounding the outcome of U.S. presidential elections on .financial market quality. We postulate those effects to depend on a positive relation between political uncertainty and information asymmetry among investors, ambiguity about the quality of their information, or dispersion of their beliefs. We find that market quality deteriorates in the months leading up to those elections, but it improves in the months afterwards. Our findings provide the strongest support for the predictions of the ambiguity hypothesis.
Work in Progress:
"Does the existence of option--market increase price efficiency in the equity--market? Evidence from sentiment", (September 2014)
I examine whether, in times of high sentiment, stocks with options are more price efficient as compared to stocks without options. Such results shed light on the behavior of arbitrageurs when faced with frictions in the equity market and have policy implications regarding the operation of option and equity markets in times of high sentiment.