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Research Updates

August 2023

My manuscript, "Stock Returns and the Spanish Flu, 1918-1920" (co-authored with Marco Del Angel and Caroline Fohlin), has been accepted for publication. by Explorations in Economic History.


We study the impact of the 1918 Spanish Flu on U.S. stock prices. Using a new weekly hand collected sample of 131 firms that traded on the NYSE, we examine the impact of the four waves of the flu on stock returns using panel regressions. We find that the second and fourth wave of the pandemic significantly lowered stock returns by 65.5 and 21.6 percent relative to the sample mean return, respectively. The large, but temporary impact of the virus on stock returns can probably be attributed to the fact that, unlike Covid-19, the flu hit the working age population particularly hard.

September 2021

My paper "What Makes Uninformed Traders Tick? The Link Between Price Dissemination and Trend Chasing " (co-authored with Barbara Bliss and Mitch Warachka), has been accepted for publication in the Critical Finance Review. Below is an abstract for the paper.

How does access to information affect price efficiency? We address this question by studying the stock ticker; a device that disseminated price changes to brokerage offices with a ticker subscription. We find that an increased number of ticker subscriptions in a state strengthened the return continuation and return co-movement of firms headquartered in the state. Therefore, the increased dissemination of price changes appears to have decreased price efficiency by increasing uninformed trend chasing. Our results challenge the assumption that greater access to information improves price efficiency. 

August 2021

My paper, co-authored with Bryan Taylor and Gustavo Cortes, "Financial Factors and the Propagation of the Great Depression", has been accepted for publication in the Journal of Financial Economics.

Below is an abstract for the paper.

We investigate the role of forward-looking financial factors in propagating the Great Depression given that much of the existing literature employs coincident or lagging indicators such as failed bank deposits and bank failures (Bernanke (1983); Calomiris (1993)). We find that a new hand-collected bank stock index is better at predicting the onset of the Great Depression than the aggregate stock market or failed bank deposits. The bank stock index explains almost one-third (30 percent) of the forecast error variance in industrial production after 5 years. Our results suggest that future studies of the credit channel during the Great Depression and other recessions should incorporate forward-looking bank stock information to better identify the impact of bank shocks on economic activity.

February 2021

Yashar Barardehi, Dan Bernhardt, Tom Ruchti and I had our paper, "The Night and Day of Amihud's Liquidity Measure", published in the Review of Asset Pricing Studies. In this paper, we introduce an improvement in Amihud's liquidity measure by using open to close returns as opposed to close-to-close returns. Our new measure filters out overnight price changes that occur because of the arrival of new information as opposed to trading.

January 2019

My paper coauthored with Gustavo Cortes, 

"Stock Volatility and the Great Depression," is now forthcoming in the Review of Financial Studies.

January 2018

I have joined the Editorial Board of Explorations in Economic History

December 2017

Gustavo Cortes and I have started writing some papers on equity markets during the Great Depression. Our manuscript, "Stock Volatility and the Great Depression," breaks new ground in the study of the "stock volatility puzzle of the Great Depression" identified by Officer (1973), Schwert (1989), and Wilson, Sylla, and Jones (1990). Stock volatility during the Great Depression was two to three times higher than any other period in American history. A convincing explanation for the high level and persistence of stock volatility has eluded scholars for nearly 30 years. We find that a simple two variable model of financial leverage and the volatility of building permit growth can largely explain the behavior of stock volatility during the Great Depression. The manuscript was featured on the home page of the NBER (Research Spotlight section). The paper can be downloaded from the NBER website: http://www.nber.org/papers/w23554.

My paper co-authored with Asaf Bernstein and Eric Hughson, "Counterparty Risk and the Establishment of the NYSE Clearinghouse," has been accepted for publication by the Journal of Political Economy. The manuscript examines the impact of net clearing on counterparty risk using an historical experiment. The Consolidated Stock Exchange established a clearinghouse in the 1880s and was a competitor to the NYSE. The rival exchange, located across the street from the Big Board, traded the most liquid securities on the NYSE. In 1892, the NYSE established a clearinghouse that introduced net settlement on the exchange. Using the Consolidated Stock Exchange as a control, we are able to estimate the impact of changing from a system of gross to net settlement on asset prices. We find that the introduction of net settlement increased asset prices and lowered volatility. The paper can be downloaded from the NBER website: http://www.nber.org/papers/w20459

My paper co-authored with Joseph Davis, "America's First Great Moderation," identifies an earlier period of positive economic growth and low economic volatility during the 1840s and 1850s using Davis (2004) industrial production index. The period lasted 16 years and  is the longest expansion in American economic history. The First (1841-1856) and Second Great Moderations (1984-2007)  generate similar growth-to-volatility ratios using standard Markov regime switching models. America's First Great Moderation, unlike the more recent Great Moderation, occurred despite the absence of a central bank and significant economic policymaking. The paper appeared in the December 2017 issue of the Journal of Economic History. The manuscript can be downloaded from the NBER website: http://www.nber.org/papers/w21856.