Working papers

1. Macroeconomic Attention and Announcement Risk Premia R&R RFS

With Adlai Fisher and Jinfei Sheng [SSRN] [Internet appendix]

2. Does the CAPM Predict Returns?

With Michael Hasler [SSRN]

3. Investor Attention and the Cross-Section of Analyst Coverage

With Marius Zoican [SSRN]

4. Price Pressure and Efficiency on FOMC Announcements (new version soon)

[SSRN] [Internet appendix]

With Oliver Boguth and Vincent Gregoire

Publications

1. Price Revelation from Insider Trading: Evidence from Hacked Earnings News Journal of Financial Economics, forthcoming

With Pat Akey and Vincent Gregoire [SSRN] Media coverage: Bloomberg, Columbia Law School Blog

2. Explaining the Failure of the Unconditional CAPM with the Conditional CAPM Management Science, forthcoming

With Michael Hasler [SSRN]

3. How is Earnings News Transmitted to Stock Prices? Journal of Accounting Research, forthcoming

With Vincent Gregoire [JAR] [SSRN] [Internet appendix] [Github]

4. Rest in Peace Post-Earnings Announcement Drift Critical Finance Review, forthcoming [CFR] [SSRN] [Internet appendix]

5. Shaping Expectations and Coordinating Attention: The Unintended Consequences of FOMC Press Conferences, Journal of Financial and Quantitative Analysis, 2019

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.

Working paper available on [SSRN]