Research

"I am a part of all that I have met;

Yet all experience is an arch wherethro’

Gleams that untravell’d world whose margin fades

For ever and forever when I move."  –Ulysses, by Alfred Tennyson

My SSRN page is available here

My Google Scholar page is available here

My disclosure page is available here

My CV


Overview of my research

Financial markets are used throughout the world to allocate capital to productive uses. As a result, financial markets have a significant impact on economic activity and the well-being of individuals. My research examines the role of a key group of participants in financial markets who account for nearly 70% of all investment in U.S. public companies: institutional investors. Specifically, my research examines how the actions of short-sellers, hedge funds, mutual funds, and exchange traded funds interact with various market frictions to affect real economic activity and the formation of asset prices.


Industry Service


Selected Research Awards

Published and Accepted Papers

1) How Are Shorts Informed?  Short Sellers, News, and Information Processing

   with Joseph Engelberg and Adam Reed

   [Journal of Financial Economics 105(2), August 2012]


2) A Multiple Lender Approach to Understanding Supply and Search in the Equity Lending Market                           

   with Adam Kolasinski and Adam Reed

   [Journal of Finance 68(2), April 2013]  


3) Short Interest and Aggregate Stock Returns

   with David Rapach and Guofu Zhou

   [Journal of Financial Economics 121(1), July 2016]

   Link to Appendix

   Link to Data

   Third party out-of-sample confirmation

   More third party evidence that short interest predicts aggregate returns


4) Short Selling Risk

   with Joseph Engelberg and Adam Reed

   [Journal of Finance 73(2), April 2018]


5) The Economic Impact of Index Investing

   with Jonathan Brogaard and David Sovich

   [Review of Financial Studies 32(9), September 2019]


6) ETF Arbitrage, Non-Fundamental Demand, and Return Predictability 

   with David Brown and Shaun Davies

   [Review of Finance 25(4), July 2021 - Lead Article]

   Runner-up for the Spängler/IQAM award for the best Investments Paper in the Review of Finance


7) Do Index Funds Monitor? 

   with Davidson Heath and Daniele Macciocchi and Roni Michaely 

   [Review of Financial Studies, January 2022]

   Note on Russell-based methodologies

  

8) On Index Investing

   with Jeff Coles and Davidson Heath

   [Journal of Financial Economics, September 2022 - Lead Article]


9) Do Cross-Sectional Predictors Contain Systematic Information?

   with Joseph Engelberg, David McLean, and Jeffrey Pontiff

   [Journal of Financial and Quantitative Analysis, May 2023]

    2023 Sharpe Award


10) Reusing Natural Experiments

   with Davidson Heath and Mehrdad Samadi, and Ingrid Werner 

   [Journal of Finance, August 2023]

    2023 Brattle Group Distinguished Paper Prize

   See https://www.reusingnaturalexperiments.com for more information, including a database of reused natural experiments


11) The Information in Asset Fire Sales

   with Sheng Huang and Zhe Zhang

   [Management Science, September 2023]


12) The Demise of the NYSE and NASDAQ: Market Quality in the Age of Market Fragmentation

   with Peter Haslag

 [Journal of Financial and Quantitative Analysis, November 2023 - Lead Article]


13) Does Socially Responsible Investing Change Firm Behavior?

    with Davidson Heath and Daniele Macciocchi and Roni Michaely  

    [Review of Finance, November 2023]


14) Does Floor Trading Matter?

   with Jonathan Brogaard and Dominik Roesch

   [Journal of Finance, Forthcoming 2024]


15) Zombie Stocks

   with Young Jae ChoiJoseph Engelberg , Frank Partnoy, and Adam Reed

   [Harvard Business Law Review, Forthcoming 2024]


16) Anomaly Time

   with Boone Bowles, Adam Reed, and Jake Thornock

   [Journal of Finance, Forthcoming]

   Video from the 2019 Jacobs Levy Center Frontiers in Quantitative Finance Conference 


Working Papers

17) The Loan Fee Anomaly: A Short Seller's Best Ideas

   with Joseph Engelberg, Richard Evans, Gregory Leonard, and Adam Reed

   [Management Science, Conditionally Accepted]


18) An Information Factor: What Are Skilled Investors Buying and Selling?

   with Matthew Ma, Xiumin Martin, and Guofu Zhou

   [working paper]


19) Short  Covering

   with Jesse Blocher, Xi Dong, and Pavel Savor

   [working paper]

   To be presented at the 2023 SFS Cavalcade and the 2023 EFA


20) Stock Options, Stock Loans, and the Law of One Price

   with Jesse Blocher

   [working paper]

   Presented at the 2018 Western Finance Association Annual Conference


21) Price Pressure from Short Selling

   [working paper]


22) Voting for Socially Responsible Corporate Policies

   with Adam Meirowitz and Shaoting Pi

   [working paper]

   To be presented at the 2023 JCF Special Issue Conference on Ownership and Corporate Social and Sustainable Policies


23) Does Secondary Market Liquidity Affect the Economy?

   with Jixing Li

   [working paper]

   Presented at the 2023 American Finance Association Annual Conference


24) Testing the Separability Condition: Do Investors Price Social Policy Disclosures Correctly?

   with Amy Cyr-Jones and Sara Malik

   [working paper]

   To be presented at the 2023 JCF Special Issue Conference on Ownership and Corporate Social and Sustainable Policies


25) The Politics of Academic Research

   with Chong Shu and Ingrid Werner 

   [working paper]

   To be presented at the 2023 CEPR Conference on Politics, Corporations, and the Common Good


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