1. The CAPM Can Predict Returns
2. Investor Attention and the Cross-Section of Analyst Coverage
3. Noisy FOMC Returns
4. News Selection and its Implication to Financial Markets
With Jordi Mondria
1. Macroeconomic Attention and Announcement Risk Premia Review of Financial Studies, forthcoming
2. Price Revelation from Insider Trading: Evidence from Hacked Earnings News Journal of Financial Economics, 143 (2022), 1162-1184
3. Explaining the Failure of the Unconditional CAPM with the Conditional CAPM Management Science, forthcoming
4. How is Earnings News Transmitted to Stock Prices? Journal of Accounting Research, 60 (2022), 261-297
6. Shaping Expectations and Coordinating Attention: The Unintended Consequences of FOMC Press Conferences, Journal of Financial and Quantitative Analysis, 54 (2019), 2327-2353
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]