Revise and Resubmit, Journal of Financial Economics
          2017 SFS Cavalcade North America, 2017 FMA Annual Meeting, 2016 Research in Behavioral Finance Conference
We present empirical evidence on the asset pricing implications of salience theory. In our model, investors overweight salient past returns when forming expectations about future returns. Consequently, investors are attracted to stocks with salient upsides, which are overvalued and earn low subsequent returns. Conversely, stocks with salient downsides are undervalued and yield high future returns. We find strong empirical support for these predictions in the cross-section of U.S. stocks. The salience effect is stronger among stocks with greater limits to arbitrage and during high-sentiment periods and not explained by common risk factors and proxies for lottery demand and investor attention.

  • Work in Progress 
  • "Ownership Crowded with Style: Institutional Investors, Liquidity and Liquidity Risk", with Alessandro Beber, Michael Brandt, and Michela Verardo (new version coming soon)
         Best Paper Award, FMA Consortium on Hedge Fund Research

  • "Insider Trading and the Fairness of Financial Markets", with Rik Frehen

  • "Causes and Consequences of Horizon Effects in Correlations" (new version coming soon)
         Presented at Annual Meetings of the Econometric Society (ES) and Society for Financial Econometrics (SoFiE)