Working papers
1. How is Earnings News Transmitted to Stock Prices?
With Vincent Gregoire [SSRN] [Internet appendix]
2. The Evolution of Financial Market Efficiency: Evidence from Earnings Announcements (New update: Jan. 2019)
3. Macroeconomic Attention and the Stock Market
With Adlai Fisher and Jinfei Sheng [SSRN] [Internet appendix]
4. The CAPM Holds
With Michael Hasler [First draft] [Internet appendix]
Publication
1. Shaping Expectations and Coordinating Attention: The Unintended Consequences of FOMC Press Conferences, Journal of Financial and Quantitative Analysis, Forthcoming
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.
Work in progress
1. Price Pressure and Efficiency on FOMC Announcements
With Oliver Boguth and Vincent Gregoire