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

2. The Information in Industry-Neutral Self-Financed Trades, 2022, with Zhi Da and Mitch Warachka, Journal of Financial & Quantitative Analysis, Forthcoming.

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 Retail Liquidity Provision, with Dan Bernhardt, Zhi Da and Mitch Warachka (R&R, Journal of Finance).

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

   • Download data here.

2. 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.

3. When Does the Tick Size Help or Harm Market Quality? Evidence from the Tick Size Pilot, 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.

5. Uncovering the Impacts of Endogenous Liquidity Consumption in Intraday Trading Patterns, with Dan Bernhardt.

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

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.

• Autoregressive Conditional Durations in High-Frequency Trading Markets, with Jiaying Gu.

• Are stock markets rigged from slow National Best Bid and Offer price?, with Dan Bernhardt and Xin (Shane) Wang.

• Intermarket Sweep Orders: Informed or Liquidity Trades?, with Dan Bernhardt.