Research
Factor Returns and FOMC Announcements: The Role of Sentiment (with George Dotsis), Quarterly Review of Economics and Finance, forthcoming, 2024.
Understanding Intraday Momentum Strategies, Journal of Futures Markets, 42 (12), 2218-2234, 2022.
A Look Under the Hood of Momentum Funds (with Ayelen Banegas), Economics Letters, 217, 2022.
Constructing Daily Equity Momentum Portfolios Using Corporate Bond Data (with Arik Ben Dor and Jingling Guan), Journal of Portfolio Management, 46 (7), 30-45, 2020.
The Pre-FOMC Announcement Drift: An Empirical Analysis (with Arik Ben Dor), Journal of Fixed Income, 28 (4), 60-72, 2019.
Fiscal Implications of the Federal Reserve’s Balance Sheet Normalization (with Michele Cavallo, Marco Del Negro, Scott Frame, Jamie Grasing and Benjamin Malin), International Journal of Central Banking, 15 (5), 255-306, 2019.
Fedspeak: Who Moves U.S. Asset Prices?, International Journal of Central Banking, 12 (4), 223-261, 2016.
Human Capital and International Portfolio Diversification: A Reappraisal (with Christian Julliard and Lorenzo Bretscher), Journal of International Economics, 99 (S1), S78-S96, 2016.
Walking on Thin Ice: Market Quality around FOMC Announcements, Economics Letters, 138, 5-8, 2016.
The High-Frequency Response of Energy Prices to U.S. Monetary Policy: Understanding the Empirical Evidence, Energy Economics, 45, 295-303, 2014.
Municipal Bonds and Monetary Policy: Evidence from the Fed Funds Futures Market, Journal of Futures Markets, 34 (5), 434-450, 2014.
Market Efficiency Broadcasted Live: ECB Code Words and Euro Exchange Rates, Journal of Macroeconomics, 38 (B), 167-178, 2013.
Words That Shake Traders: The Stock Market's Reaction to Central Bank Communication in Real Time, Journal of Empirical Finance, 18 (5), 915-934, 2011.
The High-Frequency Response of Exchange Rates to Monetary Policy Actions and Statements, Journal of Banking and Finance, 35 (2), 478-489, 2011.
The validity of the Event-Study Approach: Evidence from the Impact of the Fed's Monetary Policy on U.S. and Foreign Asset Prices, Economica, 78 (311), 429-439, 2011.
Talking Less and Moving the Market More: Evidence from the ECB and the Fed, Scottish Journal of Political Economy, 58 (1), 51-81, 2011.
Forecasting the Direction of Policy Rate Changes: The Importance of ECB Words, Economic Notes 38, (1-2), 39-66, 2009.
The Impact of Central Bank Announcements on Asset Prices in Real Time (with Giovanni Verga), International Journal of Central Banking, 4 (2), 175-217, 2008.
On the Consistency and Effectiveness of Central Bank Communication: Evidence from the ECB (with Giovanni Verga), European Journal of Political Economy, 23 (1), 146-175, 2007.