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. Noisy FOMC Returns
With Oliver Boguth and Vincent Gregoire [SSRN] [SocArXiv]
4. News Selection and its Implication to Financial Markets
With Jordi Mondria
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]