Research

ETF Arbitrage and International Diversification (2024), with Arie E. Gozluklu and Hari Rozental

Journal of Banking and Finance, November 2024, Vol. 168, 107274

Importance of Transaction Costs for Asset Allocations Foreign Exchange Markets (2024), with Thomas Maurer, Luca Pezzo and Mark P. Taylor 

Journal of Financial Economics, September 2024, Vol. 159, 103886

Data: Bid-Ask, Amihud for 26 FX rates; Before & After Cost Portfolio Returns, 1986-2024

Media Sentiment and Currency Reversals (2024), with Mark P. Taylor and Zigan Wang 

Journal of Financial and Quantitative Analysis, May 2024, Vol. 59 (3), pp. 1401-1429

CEPR Discussion Paper No. 16049 

Overcoming Arbitrage Limits: Options Trading and Momentum Returns, with Abhay Abhyankar and Pedro A. Garcia-Ares,

Journal of Financial and Quantitative Analysis, February 2024, Vol. 59 (1), pp. 97-120

Forward-Looking Policy Rules and Currency Premia, with Mark P. Taylor, 

Journal of Financial and Quantitative Analysis, February 2023, Vol. 58 (1), pp. 449-483

CEPR Discussion Paper No. DP13835 

Pricing Ethics in the Foreign Exchange Market: Environmental, Social and Governance Ratings and Currency Premia, with Mark P. Taylor, 

Journal of Economic Behavior and Organization, November 2021, Vol. 191, pp. 66-77

CEPR Discussion Paper No. 16392 

Global Political Risk and Currency Momentum, with Arie E. Gozluklu and Mark P. Taylor, 

Journal of Financial and Quantitative Analysis, October 2018, Vol. 53 (5), pp. 2227-2259    

Common Macro Factors and Currency Premia, with Mark P. Taylor,  

Journal of Financial and Quantitative Analysis, August 2017, Vol. 52 (4), pp. 1731-1763

CEPR Discussion Paper No. DP10016 

Investor Attention to News on Financial Integration and Currency Returns (2024), with My T. Nguyen and Mark P. Taylor 

Handbook of Financial Integration, Edward Elgar Publishing (EEP), chapter 3, forthcoming

Regional economic sentiment: Constructing quantitative estimates from the Beige Book and testing their ability to forecast recessions (2024), with Christian Garciga, My T. Nguyen and James Mitchell 

Economic Commentary, Federal Reserve Bank of Cleveland, no. 2024-08 (April)