Working Papers
The Cross-section of Subjective Expectations: Understanding Prices and Anomalies, with Ricardo De la O and Sean Myers, 2023
Presented at: EFA (scheduled), Helsinki Finance Summit (scheduled), CICF (scheduled), SFS Cavalcade NA 2024, AFA 2024, USC, Wharton, UCI Finance Conference, Barcelona GSE Summer Forum, 11th Helsinki Finance Summit
Awards: Best Paper Award in Investments at Eastern Finance Association
The Return of Return Dominance: Decomposing the Cross-section of Prices, with Ricardo De la O and Sean Myers, 2022, Revise & Resubmit
Presented at: NBER SI 2024 Asset Pricing (scheduled), WFA 2024 (scheduled), SFS Cavalcade NA 2024, Utah Winter Finance Conference, Warwick Business School, Peking University, IESEG School of Management, University of Edinburgh, Wharton School, Tilburg University, USC Marshall, CUHK Business School, Copenhagen Business School, Columbia Business School, Dartmouth Tuck School of Business, CICF 2023
Awards: Jacobs Levy Center Research Best Paper Prize 2023; Marshall Blume Prize in Financial Research 2023
Textual Analysis of Short-seller Research Reports, with Jules H. van Binsbergen and Alejandro Lopez-Lira, 2021
Presented at: AFA 2023, CICF 2023, SFS Cavalcade NA 2023, EFA 2022, 4th Future of Financial Information Conference, Swedish House of Finance FinTech Conference, University of Bath, Kings College London
Featured by: Financial Times
Mutual Fund Risk Shifting and Risk Anomalies, with Nikolai Roussanov and Hongxun Ruan, 2021, Revise & Resubmit
Presented at: AFA 2023, Harvard Business School, NYU Stern, 10th Helsinki Finance Summit, Tel Avivi University, Cardiff University, University of Utah, Bayes Business School, Stockholm School of Economics, EFA 2021, CICF 2021, Wharton School, Shanghai University of Finance and Economics, Fanhai International School of Finance, Peking University.
Awards: Jacobs Levy Center Research Paper Prize 2021
Featured by: Knowledge@Wharton
5. Risks versus Mispricing: Decomposing Asset Pricing Anomalies via Classification, 2020
Publications
Man vs. Machine Learning: The Term Structure of Earnings Expectations and Conditional Biases, with Jules H. van Binsbergen and Alejandro Lopez-Lira, NBER working paper 27843, Review of Financial Studies, 2022
Sentiment-scaled CAPM and Market Mispricing, first-year PhD paper with John Doukas, European Financial Management, 2021