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 have been an Assistant Professor of Finance at the Argyros College of Business and Economics at Chapman University since 2018 (I was on leave 2021-2022). I have also served as a Financial Economist at the Securities & Exchange Commission from 2021 to 2024. Before joining Argyros College, I was an Assistant Professor of Economics at Ohio University from 2015 to 2018. My research interests include Market Microstructure, Security Markets Regulations, and Behavioral Asset Pricing. I have taught undergraduate- and graduate-level courses in Investments, Corporate Finance, and Business Statistics.

CV            Teaching

Research Papers

Published and Accepted Articles:

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

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

   • Download data here.

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

   • Solicited by The Review of Asset Pricing Studies. 

   • Download data here.

3. 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.

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

   • Media coverage: Financial Times

5. Institutional Liquidity Costs, Internalized Retail Trade Imbalances, and the Cross-Section of Stock Returns, with Dan Bernhardt, Zhi Da and Mitch Warachka, Journal of Financial & Quantitative Analysis, Forthcoming. [Internet Appendix]

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

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

   • Download data here.

6. Revisiting the U-Shaped Patterns in Volatility and Price Impacts: Novel Results Using Trade-Time Estimates, with Dan Bernhardt, Journal of Financial Markets, Accepted.

Working Papers:

7. What Drives Momentum and Reversal: Evidence from Day and Night Signals, with Vincent Bogousslavsky and Dmitriy Muravyev (2nd round R&R, Review of Financial Studies).

   • Media coverage: Alpha Architect

8. Detecting Informed Trading Risk from Undercutting Activity in Limit Order Markets, with Peter Dixon and  Qiyu Liu (R&R, Journal of Finance).

   • Download data here.

9. You Can Only Lend What You Own: Inferring Daily Institutional Trading from Security Lending Supply, with Zhi Da, Peter Dixon, and Junbo Wang. 

10. When Does the Tick Size Help or Harm Market Quality? Evidence from the Tick Size Pilot, with Peter Dixon,  Qiyu Liu, and Ariel Lohr (R&R, Journal of Financial Markets).

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

Permanent Working Papers: 

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

1. • 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.