Selected Publications
Vestigial Tails? Floor Brokers at the Close in Modern Electronic Markets
(with Edwin Hu; accepted at Management Science)
Closing auction price efficiency is significantly worse on NYSE compared to Nasdaq because NYSE floor brokers have the flexibility to modify or cancel auction orders until seconds before the close, highlighting an important tradeoff between flexibility and efficiency.
Good for your Fiscal Health? The Effect of the Affordable Care Act on Healthcare Borrowing Costs (Slides)
(with Pengjie Gao and Chang Lee; Journal of Financial Economics (2022), vol. 145(2), 464-488)
The Affordable Care Act (ACA) significantly reduced hospital borrowing costs and increased hospital investment. The borrowing cost reduction is largest in Medicaid-expansion states and insignificant from zero in rural counties of non-expansion states.
Financing Dies in Darkness? The Impact of Newspaper Closures on Public Finance
(Internet Appendix | Slides | Video)
(with Pengjie Gao and Chang Lee; Journal of Financial Economics (2020), vol. 135(2), 445-467; best paper, Brookings Municipal Finance Conference)
Newspaper closures lead to higher municipal borrowing costs in the long-run through the government inefficiency channel.
High-Frequency Market Making to Large Institutional Trades (Internet Appendix | Slides | Video)
(with Robert Korajczyk; Review of Financial Studies (2019), vol. 32(3), 1034-1067)
HFT is associated with higher transaction costs for large, informed trades and lower transaction costs for small, uninformed trades.
Municipal Borrowing Costs and State Policies for Distressed Municipalities (Slides | Video)
(with Pengjie Gao and Chang Lee; Journal of Financial Economics (2019), vol. 132(2), 404-426)
Municipal borrowing costs are lower and secondary yields are less sensitive to default in states with laws in place for assisting financially distressed municipalities.
Other Publications
Non-Standard Errors (Slides | Video | Comedy)
(a crowdsourced research project with the #fincap academy; Journal of Finance (2024), vol. 79(3), 2239-2390)
164 research teams tested six microstructure hypotheses using the same data. (Bob Koraczyk and I comprised one of these teams.) Across teams, there is sizable variation in sample estimates ("non-standard errors") that is approximately on par with regular standard errors.
Do High-Frequency Traders Improve your Implementation Shortfall?
(with Robert Korajczyk; Journal of Investment Management (2020), vol. 18(1), 18-33)
A practitioner study showing that HFT is associated with higher transaction costs for large, informed trades.
(with Roland Eisenhuth and Andreas Neuhierl; The Handbook of Behavioral Industrial Organization (2018), Chapter 10, pp. 257-290, Edward Elgar Publishing)
We analyze behavioral models that can explain why agents accept unfair gambles, place high wagers, and chase losses.
Short-Term Return Predictability and Repetitive Institutional Net Order Activity
(with Ramabhadran Thirumalai; Journal of Financial Research (2017), vol. 40(4), 455-477)
Half-hour returns predict same-half-hour returns on subsequent days, and this is partially attributed to institutional traders who execute multi-day orders.