My research focuses on empirical asset pricing questions related to market efficiency and anomalies and the influence of balance sheet liquidity on stock prices.

I examine movements in the closing price that are different than the movements of the high and low prices on a given day. Instances in which the closing price deviates from the movements in the high-low midpoint are a strong predictor of future abnormal returns. The predictive power of my variable of interest, HLDiff, holds across size groups and sub-periods as well as in the presence of other common determinants of stock returns. I also find that the HLDiff factor is consistent with mispricing and is capable of explaining the pricing errors of six well-known anomalies.

This paper proposes a simple and complete measure of balance sheet illiquidity and studies the real effects of firm illiquidity. I find that more illiquid firms reduce investment and net debt issuance and experience higher cost of debt and cost of equity. These results are consistent with the fact that illiquid firms are less flexible and less capable of redeploying assets to other ends including using them as stores of capital or as collateral to finance debt agreements. I also include the exogenous shock of the Lehman Brothers collapse and again find that more illiquid firms are disproportionately impacted by the shock to liquidity. All of these results highlight the importance of asset liquidity for firm decisions.

MGMT 310: Financial Management - Instructor

Undergraduate, 2017 - (Teaching Evaluations 5.0/5.0)

Distinguished Graduate Student Instructor