* I will be on the job market this coming Winter 2017 AFA Meeting.

a. job market paper:
1. How is Earnings News Transmitted to Stock Prices? (copy available soon)

b. working papers:
Media Attention, Macroeconomic Fundamentals, and the Stock Market
(SSRN) With Adlai J. Fisher and Jinfei Sheng
 Latest version, Sept. 2016.

We create nine daily indices of media attention to macroeconomic fundamentals including unemployment, output growth and monetary policy. Attention is linked to variations in stock market implied volatility and trading volume and attention to unemployment predicts unemployment rate surprises.
  • Conferences: ASU Sonoran Winter Conference (2016), CICF (2016), NFA (2016), Econometric Society Asia (2016)
2. Coordinating Attention: The Unintended Consequences of FOMC Press Conferences. (SSRN) With Oliver Boguth and Vincent Grégoire. Latest version, Sept. 2016.

Investors lower their expectations of major policy actions on FOMC days without press conferences.
  • Conferences: FIRCG (2016), FMCGC (2016), FMA (Asia, 2016), CICF (2016), EFA (2016)
  • Award: Best Paper in Financial Institutions and Market at the 7th Financial Markets and Corporate Governance Conference 2016
  • Media coverageLA TimesSkyNews (Australian Business Channel)
  • University coverageUBCUniversity of MelbourneASU

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.