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.
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 will present it at 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 dramatically 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.
Looking Under the Hood of Data-Mining
Evolution (with Jeffrey Pontiff and Daniel Bergstresser)
Fundamentals of Finance, Fall 2021, 3 Sections, 4.55/5, CSOM Teaching Star
Fundamentals of Finance, Spring 2022, 3 Sections, 4.54/5, CSOM Teaching Star
Fundamentals of Finance, Fall 2022, 2 Sections
Stata, MATLAB, R, Python
Fluent in English and German