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


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

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

4. The Time Series of CAPM-Implied Returns

With Michael Hasler [SSRN]

5. Does the CAPM Predict Returns?

With Michael Hasler [SSRN]

6. Price Pressure and Efficiency on FOMC Announcements

[SSRN] [Internet appendix]

With Oliver Boguth and Vincent Gregoire

7. Price Revelation from Insider Trading: Evidence from Hacked Earnings News

With Pat Akey and Vincent Gregoire [SSRN]

Media coverage: Bloomberg, Columbia Law School Blog

8. Crowded Analyst Coverage

With Marius Zoican [SSRN]


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.