Research

Research Interests

Empirical Asset Pricing, Empirical Market Microstructure

Published Papers

• Debt Refinancing and Equity Returns
  Journal of Finance, 2021, Vol. 77 (4), 2287-2329
  with Florian Nagler and Christian Wagner

• Over-the-Counter Market Frictions and Yield Spread Changes
  Journal of Finance, 2019, Vol. 74 (6), 3217-3257
  with Florian Nagler

• Transparency and Liquidity in the Securitized Product Market
  Review of Asset Pricing Studies, 2017, Vol. 7 (2), 316-348
  with Rainer Jankowitsch and Marti G. Subrahmanyam

• Secondary Market Liquidity and Security Design: Theory and Evidence from ABS Markets
  Review of Financial Studies, 2016, Vol. 29 (5), 1254-1290
  with Christopher A. Hennessy and Rainer Jankowitsch

• The Cross-Section of Credit Risk Premia and Equity Returns
  Journal of Finance, 2014, Vol. 69 (6), pp. 2419-2469
  with Christian Wagner and Josef Zechner

• Illiquidity or Credit Deterioration: A Study of Liquidity in the US Corporate Bond Market During Financial Crises
  Journal of Financial Economics, 2012, Vol. 105 (1), pp. 18-36
  with Rainer Jankowitsch and Marti G. Subrahmanyam