Research Interests
Empirical Asset Pricing, Investor Sentiment, Investor Attention, Investor Beliefs, Liquidity
Publications
[1] “The Price Pressure of Aggregate Mutual Fund Flows,” with Shmuel Kandel and Avi Wohl
Journal of Financial and Quantitative Analysis, vol. 46-2, Apr. 2011, pp. 585-603 [PAPER]
[2] “Measuring Investor Sentiment with Mutual Fund Flows,” with Shmuel Kandel and Avi Wohl
Journal of Financial Economics, vol. 104, May 2012, pp. 363-382 [PAPER] [BKW 2012 SENTIMENT MEASURE]
[3] “Do Firms Buy Their Stock at Bargain Prices? Evidence from Actual Stock Repurchase Disclosures,” with Jacob Oded and Avi Wohl
Review of Finance, vol. 18, Aug. 2014 pp. 1299-1340 [PAPER]
- Best Paper on Investments published in the Review of Finance, EFA 2015
[4] “The Diminishing Liquidity Premium,” with Ohad Kadan, and Avi Wohl
Journal of Financial and Quantitative Analysis, vol. 50-2, Apr. 2015, pp. 197-229 [PAPER]
- The Wharton School-WRDS Award for the Best Empirical Finance Paper in the WFA meetings 2009
[5] “Flight-to-Liquidity, Market Uncertainty, and the Actions of Mutual Fund Investors”
Journal of Financial Intermediation, vol. 31, Jul. 2017, pp. 30-44 [PAPER]
[6] “It Depends on Where You Search: Institutional Investor Attention and Underreaction to News” with Zhi Da and Ryan Israelsen
Review of Financial Studies, vol. 30, Sep. 2017, pp. 3009-3047 [PAPER] [DATA APPENDIX]
[7] “Are Some Clients More Equal than Others? An Analysis of Asset Management Companies’ Execution Costs,” with Ryan Israelsen
Review of Finance, Vol. 22, August 2018, pp. 1705-1736. [PAPER]
[8] “Mutual Fund Flows and Fluctuations in Credit and Business Cycles” with Jaewon Choi and Itay Goldstein
Journal of Financial Economics, Vol. 136, January 2021, pp. 84-108. [PAPER] [INTERNET APPENDIX]
[9] “Information Consumption and Asset Pricing,” with Bruce Carlin, Zhi Da and Ryan Israelsen [PAPER][DATA APPENDIX]
The Journal of Finance, Vol. 76, February 2021, pp. 357-394.
(*) previously circulated under the title "Demand for Information and Asset Pricing"
- Best Paper Award, China International Conference in Finance, CICF 2018
[10] “Who Pays Attention to SEC Form 8-K?” with Zhi Da, Peter Easton and Ryan Israelsen [PAPER]
The Accounting Review, Vol 97, September 2022, pp.59-88.
[11] “Uncovering the Hidden Effort Problem” with Bruce Carlin, Zhi Da and Ryan Israelsen [PAPER]
The Journal of Finance, forthcoming
Papers under Review and Working Papers
[12] “Flows to International Mutual Funds: Old Money vs. New Money” with Xi Dong, Massimo Massa, and Changyun Zhou [PAPER]
(*) previously circulated under the title "Foreign Sentiment"
-Winner of the 2019 PanAgora Asset Management Dr. Richard A. Crowell Memorial Prize (First Prize)
Presented at: Baruch College, PanAgora Asset Management, Rutgers University, University of Virginia, 5th Annual News and Finance Conference (Columbia), 3rd Future of Financial Information Conference , CICF 2021, EFA 2021 annual meeting, MFA 2022 annual meeting
[13] “Should I Stay or Should I Go? Trading Behavior under Ambiguity” with Yehuda Izhakian [PAPER]
[14] “Show Me!” The Informativeness of Images" with Joshua Ronen, Tavy Ronen and Mi Zhou [PAPER]
(*) previously circulated under the title "Do Images Provide Relevant Information to Investors? An Exploratory Study"
Presented at: Rutgers University, Shanghai Advanced Institute of Finance (SAIF), 2022 MFA international meeting, CFEA 2022 meeting, 2023 ITAM Finance Conference, NBER Big Data and High-Performance Computing for Financial Economics, Summer 2023
[15] “Mind the Gap: The Non-Fundamental Role of Earnings Days" with Steffen Hitzemann, and Yuanyuan Xiao [PAPER]
(*) previously circulated under the title "Investor (Mis)Reaction, Biased Beliefs, and the Mispricing Cycle"
Presented at: Rutgers University, Texas A&M, The 2022 TBEAR Workshop Karlsruhe - Germany, MFA 2022 annual meeting, CICF 2022, Research in Behavioral Finance Conference 2022 meeting, VU Amsterdam, FMA annual meeting, Finance Down Under 2023 meeting, Bristol Financial Markets Conference 2023
[16] “Do I Really Want to Hear The News? Public Information Arrival and Ambiguity" with Tony Cookson and Yehuda Izhakian [PAPER]
(*) previously circulated under the title "Do I Really Want to Hear The News? Public Information Arrival, Ambiguity and Investor Beliefs"
Presented at: University of Amsterdam, University of Boulder Colorado, Erasmus University, University of Manheim, Rotterdam, Rutgers University, Tilburg University, Virginia Tech, EFA 2022 annual meeting, NFA 2002 annual meeting, Santiago Finance Workshop 2022
[17] “Security Analysis and the Collection of Hard and Soft Information" with Bruce Carlin, Zhi Da and Ryan Israelsen [PAPER]
(*) previously circulated under the title "All in a Day’s Work: What Do We Learn From Analysts’ Bloomberg Usage?"
Presented at: Michigan State, Notre dame, Rutgers, Boston college, York University, 5th Future of Financial Information Conference, ABFER 10th Annual Conference
[18] “Trading, Ambiguity and Information in the Options Market" with Tony Cookson and Yehuda Izhakian [PAPER]
Presented at: MFA 2023 annual meeting, The 30th Finance Forum, Spain, 2023 FMA Conference on Derivatives and Volatility,2024 Stern/Salomon Microstructure Meeting Program
Older Working Papers
[19] “How Do Short Sellers Interact with Other Professional Investors? Evidence from the Daily Trades of Active Fund Managers”
with Salman Arif and Charles M.C. Lee [PAPER]
- 2015 AQR Research Insight Award, one of five finalists
- Best Paper Award Down Under Finance Conference 2016
Presented at: Bloomington Indiana, MIT Seminar Series, UC Irvine, State of Indiana Finance Conference 2014, CFEA 2014, NBER 2014 Market Microstructure Meeting, the AQR Insight Award Conference, University of Minnesota Empirical Conference, the Korean Securities Association Annual Conference, 6th Tel Aviv Finance Conference, Finance Down Under conference 2016