Welcome to my website! 

About me:

I hold a PhD in Economics, with concentrations in Financial Economics, Industrial Organization, and Econometrics, from the University of Illinois at Urbana-Champaign. I am an Assistant Professor of Finance at the Argyros School of Business and Economics at Chapman University and a Financial Economist at the Securities & Exchange Commission. My research interests include Market Microstructure, Security Markets Regulations, Empirical and Behavioral Asset Pricing, and Financial Econometrics. My teaching experience includes undergraduate- and graduate-level courses in Investments, Corporate Finance, and Business Statistics.

CV            Research            Teaching

Research Papers

Published and Accepted Articles:

1. The Information in Industry-Neutral Self-Financed Trades, 2024, with Zhi Da and Mitch Warachka, Journal of Financial & Quantitative Analysis, 59(2), 796-829.

   • Online Appendix.

2. Are Short Selling Restrictions Effective?, 2023, with Andrew Bird, Stephen A. Karolyi, and Thomas Ruchti, Management Science, Accepted.

   • Media coverage: Financial Times

3. The Night and Day of Amihud's (2002) Liquidity Measure, 2021, with Dan Bernhardt, Thomas Ruchti and Marc Weidenmier, The Review of Asset Pricing Studies 11(2), 269-308.

   • Solicited by The Review of Asset Pricing Studies. 

   • Download data here.

4. Trade-Time Measures of Liquidity, 2019, with Dan Bernhardt and Ryan Davies, The Review of Financial Studies 32 (1), 126-179. 

   • Best Paper Award in Market Microstructure, Semi-finalist, 2016 FMA annual meetings.

   • Download data here.

Working Papers: 

1. Uncovering the Liquidity Premium in Stock Returns Using Sub-Penny Trade Executions, with Dan Bernhardt, Zhi Da and Mitch Warachka.

   • Best Paper Award in Investments, Semi-finalist, 2022 FMA annual meetings.

   • Some secondary analysis in this paper include revisited results from "Internalized Retail Imbalances and Institutional Liquidity Demand" by the same group of co-authors.

   • Download data here.

2. Detecting Informed Trading Risk from Undercutting Activity in Limit Order Markets, with Peter Dixon and  Qiyu Liu.

3. The Tick Size Tradeoff:  Implications for Optimal Tick Sizes and Causal Inference, with Peter Dixon,  Qiyu Liu, and Ariel Lohr.

4. What Drives Momentum and Reversal: Evidence from Day and Night Signals, with Vincent Bogousslavsky and Dmitriy Muravyev (R&R, Review of Financial Studies).

   • Media coverage: Alpha Architect

5. Uncovering the Impacts of Endogenous Liquidity Consumption in Intraday Trading Patterns, with Dan Bernhardt (R&R, Journal of Financial Markets).

6. A Test of Speculative Arbitrage: Is the Cross-section of Volatility Invariant?, with Dan Bernhardt and Thomas Ruchti.

Permanent Working Papers: 

7. Internalized Retail Order Imbalances and Institutional Liquidity Demand, with  Dan Bernhardt, Zhi Da and Mitch Warachka.

   • Best Paper Award in Market Microstructure, Semi-finalist, 2022 FMA annual meetings.

Work in Progress

• Financial Disclosure and the Creation of the SEC, with Thomas Ruchti and Marc Weidenmier.

• Estimating a Dynamic Structural Model of Parasitic Trading, with Dan Bernhardt and Alexei Boulatov.