Associate Professor of Finance
Department of Finance, Insurance, & Business LawPamplin College of BusinessVirginia TechE-mail:
yashar@vt.eduMailing address:
Pamplin Hall 1016880 West Campus DriveBlacksburg, VA 24061Embedded Files
Welcome to my website!
Welcome to my website!
I hold a PhD in Economics, with concentrations in Financial Economics, Industrial Organization, and Econometrics, from the University of Illinois at Urbana-Champaign. My research explores securities market structure and its impact on market quality, investor behavior, and asset prices. My work has been published in the Journal of Finance, Review of Financial Studies, Management Science, and Journal of Financial and Quantitative Analysis, presented at major academic and practitioner conferences worldwide, recognized by research awards, and referenced in policy debates and media. I have over a decade of experience teaching undergraduate- and graduate-level courses in Investments, Corporate Finance, and Business Statistics. I am currently a tenured Associate Professor of Finance at Virginia Tech - Pamplin College of Business. Previously, from 2018 to 2026, I've been an Assistant Professor of Finance at the Argyros College of Business and Economics at Chapman University. From 2021 to 2024, I have also served as a Financial Economist at the Securities and Exchange Commission. From 2015 to 2018, I was an Assistant Professor of Economics at Ohio University.
Research Papers
Research Papers
Published and Accepted Articles:
What Drives Momentum and Reversal: Evidence from Day and Night Signals, with Vincent Bogousslavsky and Dmitriy Muravyev, Review of Financial Studies, 31(10), 3378-3411.
Download data: Dropbox
Media coverage: Alpha Architect
Watch summary clip.
Detecting Informed Trading Risk from Undercutting Activity, with Peter Dixon and Qiyu Liu, Journal of Finance, 81(4), 2109-2164.
Download data: Dropbox; WRDS Intraday Indicators (coming soon).
Watch summary clip.
When Does the Tick Size Help or Harm Market Quality? Evidence from the Tick Size Pilot, with Peter Dixon, Qiyu Liu, and Ariel Lohr, Journal of Financial Markets, 78, 101024.
Revisiting the U-Shaped Patterns in Volatility and Price Impacts: Novel Results Using Trade-Time Estimates, with Dan Bernhardt, Journal of Financial Markets, 74, 100971.
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, 60(8), 3826-3865. [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.
Watch summary clip.
Are Short Selling Restrictions Effective?, with Andrew Bird, Stephen A. Karolyi, and Thomas Ruchti, Management Science, 71(5), 3641-4531.
Media coverage: Financial Times
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The Information in Industry-Neutral Self-Financed Trades, 2024, with Zhi Da and Mitch Warachka, Journal of Financial & Quantitative Analysis, 59(2), 796-829. [Internet Appendix]
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: Dropbox.
Trade-Time Measures of Liquidity, 2019, with Dan Bernhardt and Ryan Davies, Review of Financial Studies 32 (1), 126-179.
Working Papers:
You Can Only Lend What You Own: Inferring Daily Institutional Trading from Lendable Security Inventory, with Zhi Da, Peter Dixon, and Junbo Wang.
Revise & Resubmit, Journal of Finance
Watch summary clip.
Unpacking Retail Trading Costs: the Role of Options Trading and Limit Order Usage, with Vincent Bogousslavsky and Dmitriy Muravyev.
Media coverage: CNBC
Watch summary clip.
A Test of Speculative Arbitrage: Is the Cross-section of Volatility Invariant?, with Dan Bernhardt and Thomas Ruchti.
Work in Progress
“Using the Tick Size Pilot for Causal Inference in Accounting and Finance,” with Peter Dixon and Thomas G. Ruchti.
“An Intraday Analysis of Information Diffusion Using NYSE Floor Latencies During the 1929 Great Crash,” with Marco DeAngle and Marc Weidenmier.
Financial Disclosure and the Creation of the SEC, with Andrew Bird, Thomas Ruchti and Marc Weidenmier.
Estimating a Dynamic Structural Model of Parasitic Trading, with Dan Bernhardt and Alexei Boulatov.
“A Dynamic Model of Undercutting with Information Asymmetry,” with Dan Bernhardt and Peter Dixon.
“The Value of Hiding Short Positions,” with Andrew Bird, Peter Dixon, Stephen A. Karolyi, and Thomas G. 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.
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