* 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
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.
Investors lower their expectations of major policy actions on FOMC days without press conferences.
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.