Yashar Heydari Barardehi
"All models are wrong, but some are useful."---George Box
Assistant Professor of Finance
Argyros School of Business & EconomicsChapman UniversityE-mail:
barardehi@chapman.eduPhone:
+1 (714) 516 5927Address:
307K Beckman Hall1 University DriveOrange, CA 92866Welcome 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.
Research Papers
Published and Accepted Articles:
The Information in Industry-Neutral Self-Financed Trades, 2024, with Zhi Da and Mitch Warachka, Journal of Financial & Quantitative Analysis, 59(2), 796-829.
Are Short Selling Restrictions Effective?, 2023, with Andrew Bird, Stephen A. Karolyi, and Thomas Ruchti, Management Science, Accepted.
Media coverage: Financial Times
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.
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:
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.
Detecting Informed Trading Risk from Undercutting Activity in Limit Order Markets, with Peter Dixon and Qiyu Liu.
The Tick Size Tradeoff: Implications for Optimal Tick Sizes and Causal Inference, with Peter Dixon, Qiyu Liu, and Ariel Lohr.
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
Uncovering the Impacts of Endogenous Liquidity Consumption in Intraday Trading Patterns, with Dan Bernhardt (R&R, Journal of Financial Markets).
A Test of Speculative Arbitrage: Is the Cross-section of Volatility Invariant?, with Dan Bernhardt and Thomas Ruchti.
Permanent Working Papers:
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.