Empirical Asset Pricing, Macro-Finance, Empirical Market Micro-structure
University of Michigan, Ann Arbor
Ross School of Business
701 Tappan, R5425
Ann Arbor, MI, 48109
"Political Uncertainty and Financial Market Quality" (with Paolo Pasquariello), April 2014
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.