Working Papers

The Dividend Disconnect
    with David Solomon

           Media Coverage: CNBCredditThe Financial ExchangeInvestopediaETF.comChicago Booth Review (VideoForbes

Investors trade as if they consider dividends and capital gains in separate mental accounts, without fully appreciating that dividends come at the expense of price decreases - the free dividends fallacy.Time-varying demand for dividends impacts valuations and a lack of dividend reinvestment leads to predictable market returns. 

A Tough Act to Follow: Contrast Effects in Financial Markets
    with Kelly Shue
    Revise and Resubmit Journal of Finance            

            AQR Insight Award 2016
            Finalist Hillcrest Behavioral Finance Award 2015

           Media Coverage: Alpha ArchitectCapital IdeasAQRFreakonomics 

Contrast effects impact equilibrium asset prices in financial markets. The reaction to earnings announcements are biased by contrast effects with the previous day's earnings surprise.


Rolling Mental Accounts
    with Cary Frydman and David Solomon
    Review of Financial Studies, Forthcoming

           Media Coverage: Capital IdeasIOI 
           Animated Video Summary 

Mental accounts are not always closed when an investor sells a stock – a sale does not always conclude an investing episode. Instead, investors may “roll” an account from one asset to another, by selling the original asset and buying another within a short period of time.

 Being Surprised by the Unsurprising: Earnings Seasonality and Stock Returns
    Review of Financial Studies, 2017, 30(1): 281-323.

            Hillcrest Behavioral Finance Award 2015
  Best paper California Corporate Finance Conference 2015

Many companies have earnings that historically are larger in one quarter of a year. These companies have high returns in this quarter because investors overweight recent low earnings.

   Economic Uncertainty and interest Rates
    (Lead Article) Review of Asset Pricing Studies, 2016, 6(2): 179-220.

       Media Coverage: CFA Institute

The real interest rate has a strong inverse relation with economic uncertainty partially resolving a puzzling lack of relation between the interest rate and economic growth.
    (Lead Article) Journal of Financial Economics, 2015, 116(3): 433-451.
            Fama/DFA Second Prize for Capital Markets and Asset Pricing, Journal of Financial Economics 2015

      Media Coverage: Wall Street JournalValueWalkCapital IdeasETF.comBAM 

Many mutual funds actively trade to artificially enhance their dividend yield (which we call juicing), but do not provide increased returns. Investors reward these funds with flows, but may not have enough information to know the dividend yield is coming from juicing.


The Worst, the Best, Ignoring All the Rest: The Rank Effect and Trading Behavior
    Review of Financial Studies, 2015,  28(4): 1024-1059.    Internet Appendix

Cubist Systematic Strategies PhD Candidate Award for Outstanding Research, WFA 2014
Finalist AQR Insight Award 2014
UBS Global Asset Management Award, Financial Research Association 2013
Michael J. Barclay Award, Financial Research Association 2013

Investors do not view each stock individually, they compare positions across their portfolio and sell their biggest winners and losers. 


The Dividend Month Premium
    with David Solomon
    Journal of Financial Economics, 2013, 109(3), 640-660.

Best paper California Corporate Finance Conference 2011

There is a significant anomaly in months firms are expected to pay dividends due to price-pressure from dividend seeking investors.

    with David Solomon
    Quarterly Journal of Finance, 2012, 2(3), 1250013.

       Media Coverage: Alpha Architect

There is a strong disposition effect in prediction markets for NFL games, which is difficult to explain for many explanations of the disposition effect.