Research
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Hedge Funds With(out) Edge: A New Measure of Hedge Fund Manager Skill
Job Market Paper
Introduces a new measure of hedge fund manager skill that predicts hedge fund performance out-of-sample.
Select Conferences: Northern Finance Association Annual Meeting 2023 (Ph.D. Session), 15th Annual Hedge Fund Research Conference 2024 (Poster Session), Financial Management Association Annual Meeting 2024, Eastern Finance Association Annual Meeting 2024
The Value of Economic Regularization for Stock Return Predictability
With Yoontae Jeon (McMaster University) and Laleh Samarbakhsh (TMU)
Introduces an economically motivated loss function for predicting market risk premia for asset allocation.
Winner of the SoFiE (Pre-Conference for Early-Career Scholars) Best Paper Prize, 2024
Select Conferences: 16th Annual Society for Financial Econometrics (SoFiE) Meeting 2024 (Pre-Conference for Early-Career Scholars)
What is the Implied Upper Bound of the Stochastic Discount Factor?
The 153 anomaly portfolios from Jensen et al. (2023) do not appear to span the SDF. The factor structure of anomaly portfolios is largely driven by the 2000 Technology Bubble.
Finalist for The Bank of Canada Graduate Student Paper Award, 2024
Conferences: Bank of Canada GSPA Workshop 2024, Midwest Finance Association 2025, Financial Management Association Annual Meeting 2025 (Scheduled)
Work in Progress
“Dispersion Trading," with Yoontae Jeon (McMaster University) and Chay Ornthanalai (University of Toronto)
Documents the pervasiveness of dispersion trading by developing a new methodology to identify dispersion trades.
“Gamma Exposure of Delta Hedgers," with Yoontae Jeon (McMaster University) and Chay Ornthanalai (University of Toronto)
Examines the asset pricing implications of the options market via the hedging activity of intermediaries.
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