Working Papers

Market-Level Tug of War and Asset Pricing

with Lei Zhao and Chardin Wese Simen.

Presentations: Paris December (2024), ESCP Asset Pricing Workshop (2024), FMA Asia (2022)

Award: The Best Pitch Award of the 2024 FMA Europe Conference

Abstract: We propose a simple indicator function based on the aggregate tug-of-war between overnight and intraday traders, and use it to identify two types of trading days: quiet and noisy days. We analyze these days and document that the security market line is upward sloping on quiet days and downward sloping on noisy days. This result is robust to a number of additional tests. Moreover, the result holds on both (i) important macroeconomic and earnings news days and (ii) other days, challenging some proposed explanations in the literature. We present and test a mechanism based on the over-correction hypothesis to rationalize the finding.

Journal Articles

The Female Finance Penalty: Why Are Women Less Successful in Academic Finance Than Related Fields?

with Chris Brooks, Lisa Schopohl, James Walkers, and Millie Zhu. (Research Policy, Volume 54, Issue 4, May 2025, 105207)

Competitive Categorization and Networks: Cognitive Strategic Groups

Code and Data are both available

with Tian Han, Abby Ghobadian, Andrew Yim, and Howard Thomas. (British Journal of Management, Volume 34, Issue 4, October 2023, Pages 1687-1713)

When is a MAX not the MAX? How News Resolves Information Uncertainty

Media coverage by Dow Jones.com

with Chris Brooks and Adrian R. Bell. (Journal of Empirical Finance, Volume 57, June 2020, Pages 33-51)

Tomorrow's Fish and Chip Paper? Slowly-incorporated News and the Cross-section of Stock Returns

Media coverage by Dow Jones.com

with Chris Brooks and Adrian R Bell. (European Journal of Finance, Volume 27, 2021 – Issue 8)

Books and Chapters

Python Guide to Accompany Introductory Econometrics for Finance

Data and code are available here

Funded Projects

Media, Momentum and the UK Stock Market: 1888–2021

Co-investigator with Clive Walker (PI) and Jiadong Liu, £ 9,994 funded by 22-23 BA/Leverhulme Small Research Grants scheme.

From Pen to Print: Tracing the Evolution of Poverty Narratives in The Times Over Centuries

Principal investigator with Jin Zheng (Co-I) and Adrian Bell (Co-I), £5,933.03 funded by 23-24 Bristol Poverty Institute Seedcorn Fund.

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