Working papers
1. The CAPM Can Predict Returns
With Michael Hasler [SSRN]
2. Investor Attention and the Cross-Section of Analyst Coverage
With Marius Zoican [SSRN]
3. Price Pressure and Efficiency on FOMC Announcements (new version soon)
With Oliver Boguth and Vincent Gregoire
4. News Selection and its Implication to Financial Markets
Publications
1. Macroeconomic Attention and Announcement Risk Premia Review of Financial Studies, forthcoming
With Adlai Fisher and Jinfei Sheng [RFS] [SSRN] [Internet appendix] [MAI data]
2. Price Revelation from Insider Trading: Evidence from Hacked Earnings News Journal of Financial Economics, 143 (2022), 1162-1184
With Pat Akey and Vincent Gregoire [JFE] [SSRN] [SocArXiv] Media coverage: Bloomberg, Columbia Law School Blog
3. Explaining the Failure of the Unconditional CAPM with the Conditional CAPM Management Science, forthcoming
With Michael Hasler [MS] [SSRN] [Internet Appendix]
4. How is Earnings News Transmitted to Stock Prices? Journal of Accounting Research, 60 (2022), 261-297
With Vincent Gregoire [JAR] [SSRN] [Internet appendix] [Github]
5. Rest in Peace Post-Earnings Announcement Drift Critical Finance Review, forthcoming [CFR] [SSRN] [SocArXiv] [Internet appendix]
6. Shaping Expectations and Coordinating Attention: The Unintended Consequences of FOMC Press Conferences, Journal of Financial and Quantitative Analysis, 54 (2019), 2327-2353
With Oliver Boguth and Vincent Gregoire [JFQA] [SSRN] [Internet appendix]
Note: From January 2019, the Chairman of the Federal Reserve will now hold a press conference after each meeting. A postscript at the end of the paper addresses this point.
Other contributions to research
1. Non-Standard Errors
Dreber, A., Menkveld, A. J., Holzmeister, F., Johannesson, M., Huber, J., Kirchler, M., ... & Lajaunie, Q.
I was a member of one of the 164 research teams in this very interesting paper, which included more than 300 co-authors.
Working paper available on [SSRN]