Research

Publications 

1) “Do Market Efficiency Measures Yield Correct Inferences? A Comparison of Developed and Emerging Markets” with John M. Griffin and Federico Nardari, 2010, Review of Financial Studies, 23(8), 3225-3277. Internet appendixEarlier working paper version

2) “Sentiment and Stock Returns: the SAD anomaly revisited” with Felix Meschke, 2010,
Journal of Banking and Finance, 34(6), 1308-1326. View PDF of last working paper version
  
3) “How Important is the Financial Media in Global Markets?” with John M. Griffin and Nicholas H. Hirschey, 2011, Review of Financial Studies, 24(12), 3941-3992. Earlier working paper version.

4) “InformationEfficiency and Firm-Specific Return Variation,” 2014, Quarterly Journal of Finance 4 (4), 1450018. Earlier working paper version.

5) "Macroeconomic Expectations and the Size, Value and Momentum Factors," with Mikael C. Bergbrant, 2016, Forthcoming in Financial Management. 




Complete Working Papers 

“Fooling the Savvy Investor: Secrecy and Hedge Fund Performance” with Olga Kuzmina at the New Economic School and Sergiy Gorovyy at Ellington Management Group.

ProductMarket Competition, Capital Constraints and Firm Growth” with Mikael Bergbrant at St. Johns University, New York and Delroy Hunter at the University of South Florida.

“Emerging Market Liberalization and Monetary Control” with Bill B. Francis and Delroy Hunter.
Status: Under Review.



Research in Progress 
Impact of Media Attention on Career Outcomes Following Corporate Malfeasance with Natalia Volchkova 
The Affect of Macroeconomic News Within and Across Markets - a new measure of integration, with Mikael Bergbrant
Measuring market quality with Carole Comerton-Forde 




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