Working papers

1. How is Earnings News Transmitted to Stock Prices?

With Vincent Gregoire [SSRN] [Internet appendix]

2. The Evolution of Market Price Efficiency Around Earnings News (New update: Nov. 2018)

[SSRN] [Internet appendix]

3. Media 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. Can Trading Distort Price Discovery? Evidence from FOMC Announcements

With Oliver Boguth and Vincent Gregoire