I am a Visiting Assistant Professor at Boston College's Carroll School of Management. My research interests are in empirical asset pricing with a focus on stock return predictability, the value premium, statistical biases, and portfolio risk. I teach Fundamentals of Finance.
Looking Under the Hood of Data-Mining
(Link to the paper on SSRN)
This paper re-evaluates academic research on 92 cross-sectional stock return predictors. Researchers studying return predictability must make decisions about portfolio construction; for example, whether to rebalance annually or monthly. In sample, the returns of predictor portfolios constructed with the precise research decisions made in the original papers are significantly larger than those constructed with a random combination of decisions made in the literature. Out of sample, half of this difference disappears. The effects exist only for predictors published in top-ranked journals. The results suggest that statistical biases from research decisions explain a fifth of the return predictability in the literature.
Is the Value Premium Smaller Than We Thought?
(Link to the paper on SSRN. I presented this paper at the AFFI 2021, EFMA 2021, and the FMA 2022. Tweeted by Wes Gray and covered by AlphaArchitect, AlphaArchitect, RationalReminder Podcast, RationalReminder Forum, FantasticAnachronism.)
The construction of the original HML portfolio (Fama and French, 1993) includes six seemingly innocuous decisions that could easily have been replaced with alternatives that are just as reasonable. I propose such alternatives and construct HML portfolios. In sample, the average estimate of the value premium is smaller than the original estimate of the value premium. The difference is 0.09% per month and statistically significant. Out of sample, this difference is statistically insignificant. The results suggest that the original value premium estimate is upward biased due to a chance result in the original research decisions.
Evolution (with Jeffrey Pontiff and Daniel Bergstresser)
Fundamentals of Finance, Spring 2022, 3 Sections with 131 Students, 4.54/5.00, CSOM Teaching Star
Fundamentals of Finance, Fall 2021, 3 Sections with 125 Students, 4.55/5.00, CSOM Teaching Star
Stata, MATLAB, R, Python
Fluent in English and German