a. job market paper:
I analyze high-frequency price dynamics around earnings announcements for the largest 1,500 U.S. stocks between 2011 and 2015. Price discovery following earnings surprises mostly occurs in the after-hours market, following the earnings announcement, and is generally complete by 10 a.m. I find no evidence of slow price reaction at the daily horizon. Eighty percent of the price response to earnings surprises in the after-hours market occurs upon arrival of the first trades. Price reactions are largely explained by earnings surprises and not by order flow, consistent with the theoretical view that news can incorporate prices instantly. Additional evidence regarding volatilities, spreads, and trade volumes suggests that markets anticipate the magnitude of surprises. Hidden orders constitute a larger share of executed limit orders following earnings announcements than at other times. I relate these findings to recent theoretical work on hidden liquidity and price discovery.
b. working papers:
1. with Adlai J. Fisher and Jinfei Sheng. Latest version, Sept. 2016.
We construct indices of media attention to macroeconomic risks including employment, growth, inflation, monetary policy, and oil prices. Attention rises around macroeconomic announcements and following changes in fundamentals over quarterly, annual, and business cycle horizons. The effect is asymmetric, with bad news raising attention more than good news. Attention relates to the stock market in two ways. First, increases in aggregate trade volume and volatility coincide with rising attention, controlling for announcements. Second, changes in attention prior to the unemployment announcement predict both the announcement surprise and stock returns on the announcement day. We conclude that media attention to macroeconomic fundamentals provides useful information beyond the dates and contents of macroeconomic announcements.
2. Shaping Expectations and Coordinating Attention: The Unintended Consequences of FOMC Press Conferences, with Oliver Boguth and Vincent Grégoire. Latest version, Nov. 2016.
In an effort to increase transparency, the Chair of the Federal Reserve now holds a press conference following some, but not all, Federal Open Market Committee announcements. Press conferences are scheduled independently of economic conditions, and we show that they communicate little information. Evidence from equity and derivative markets demonstrates that investors lower their expectations of important announcements on days without press conferences, thereby constraining the actions of a committee that wants to avoid surprising markets. Using media coverage and Google searches, we show that investors shift attention away from announcements without press conferences. This inattention further hinders the Fed's attempts to coordinate market expectations and therefore prevents effective monetary policy. Correspondingly, we show that announcements not followed by press conferences convey significantly less price-relevant information.
*Our results support the arguments brought forward by the former president of the Federal Reserve Bank of Minneapolis Narayana Kocherlakota on the impact of having two classes of FOMC announcements.
c. past research
1. research assistance (at UBC):
Calvet, L., Fearnley, M., Fisher, A., and Leippold, M. (2015) What's Beneath the Surface? Option Pricing with Multifrequency Latent States. Journal of Econometrics.
Calvet, L. and Fisher, A. (2013) Extreme Risk and Fractal Regularity in Finance. Fractals in Applied Mathematics, D. Carfi, M. Lapidus, E. Pearse and M. van Frankenhuijsen eds., Contemporary Mathematics, American Mathematical Society.
2. published research (at HEC Montreal):
Do Political Institutions Affect the Choice of the U.S. Cross-Listing Venue? with Jean-Claude Cosset and Anis Samet. Journal of Multinational Financial Management.
International Involvement of Established SMEs: A Systematic Review of Antecedents, Outcomes, and Moderators with David Pastoriza-Rivas. International Business Review.
3. published business case study (at HEC Montreal):
iMag. with David Pastoriza Rivas. (2013). International Journal of Business Case Studies in Management. Available on Harvard Business Publishing.