Publications

1. Time variation in the news-returns relationship

with Paul Glasserman and Fulin Li

Journal of Financial and Quantitative Analysis, forthcoming

(online appendix, presentation)

2. News and markets in the time of COVID-19

Journal of Financial and Quantitative Analysis, forthcoming

(online appendix)

3. Dynamic information regimes in financial markets

with Paul Glasserman and Yiwen Shen

Management Science, forthcoming

(online appendix)

4. Investor information choice with macro and micro information

with Paul Glasserman

Review of Asset Pricing Studies, 2023 (Editor's Choice)

(online appendix)

5. Choosing news topics to explain stock market returns

with Paul Glasserman, Kriste Krstovski, and Paul Laliberte

Proceedings of ACM International Conference on AI in Finance (ICAIF ’20), 2020

6. How news and its context drive risk and returns around the world

with Charles Calomiris

Journal of Financial Economics, 2019

(online appendix)

7. Does unusual news forecast market stress?

with Paul Glasserman

Journal of Financial and Quantitative Analysis, 2019

(online appendix)

8. The time horizon of price responses to quantitative easing

Journal of Banking & Finance, 2018

9. How useful are aggregate measures of systemic risk?

Journal of Alternative Investments, 2016

10. Estimating the dynamics of mutual fund alphas and betas

with Matt Spiegel and Hong Zhang

Review of Financial Studies, 2008

11. Improved forecasting of mutual fund alphas and betas

with Matt Spiegel and Hong Zhang

Review of Finance, 2007

12. Dynamic trading policies with price impact

with Hua He

Journal of Economic Dynamics & Control, 2005

13. Asset prices and trading volume under fixed transactions costs

with Andrew Lo and Jiang Wang

Journal of Political Economy, 2004

14. Foundations of technical analysis: Computational algorithms, statistical inference, and empirical implementation

with Andrew Lo and Jiang Wang

Journal of Finance, 2000

Working Papers

1. Measuring the cost of regulation

with Charles Calomiris and Ruoke Yang

Revise and resubmit at Journal of Financial and Quantitative Analysis

(online appendix)

2. Big data meets the turbulent oil market

with Charles Calomiris and Nida Çakir Melek

Reject and resubmit at Management Science

(online appendix)

3. Credit information in earnings calls

with Yiwen Shen and Hongyu Wu

(online appendix)

4. New news is bad news

with Paul Glasserman and Jimmy Qin

(online appendix, presentation)

5. Fed implied market prices and risk premia

with Charles Calomiris, Joanna Harris, and Cristina Tessari

(online appendix)

6. Investment advisors to individual investors

with Yuqi Zhang

(online appendix)

7. Tax-loss harvesting: A primer

8. Monetary policy and exchange rate returns: Time-varying risk regimes

with Charles Calomiris

(online appendix)

Work In Progress

1. Paul Glasserman, Kriste Krstovski, and Paul Laliberte -- "Does Overnight News Explain Overnight Returns?"

2. Paul Glasserman and Jeremias Huber -- Robust tests of the ICAPM

Other Publications

1. Is there still a value effect?

Advisor Perspectives, January 29, 24

2. What goes up may not come down, but it has a low Sharpe ratio

Advisor Perspectives, January 8, 24

3. The impending economic slowdown should be good for markets

Advisor Perspectives, December 4, 2023

4. Long-dated, low-coupon Treasury bonds are attractive

Advisor Perspectives, November 14, 2023

5.  Asset class performance in 2023 and into 2024

Advisor Perspectives, October 26, 2023

6. The higher-rates narrative: A rebuttal

Advisor Perspectives, October 5, 2023

7. The compelling opportunity in midcaps

Advisor Perspectives, September 25, 2023

8. When the Fed begins to ease, markets respond positively

Advisor Perspectives, September 11, 2023

9. How well does tax-loss harvesting work?

Advisor Perspectives, August 15, 2023

10. A framework for deciding whether to annuitize

Advisor Perspectives, August 1, 2023

11. The opportunity in healthcare stocks

Advisor Perspectives, July 18, 2023

12. The data shows no evidence of a tech bubble

Advisor Perspectives, June 29, 2023

13. Are tech stocks in a bubble?

Advisor Perspectives, June 26, 2023

14. The debt ceiling deal and its economic fallout

Columbia News, June 2, 2023

15. Bank stocks have dodged a bullet. They may not be so lucky next time.

MarketWatch, June 1, 2023

16. Financial markets and news about the coronavirus

Covid Economics, 2020

17. Financial markets and news about the coronavirus

VOXeu CEPR, 2020

18. How natural language processing will improve central bank accountability and policy

with Charles Calomiris

Cato Journal, 2020

19. Measuring the cost of regulation: A text-based approach

with Charles Calomiris and Ruoke Yang

CATO Institute Research Briefs, 2020