Working Papers

1. How is Earnings News Transmitted to Stock Prices?

With Vincent Gregoire [Available on SSRN] [Internet Appendix]

2. The Evolution of Market Price Efficiency Around Earnings News

[Available on SSRN] [Internet Appendix]

3. Media Attention and the Stock Market

With Adlai Fisher and Jinfei Sheng [Available on SSRN] [Internet Appendix]

4. The CAPM Holds

With Michael Hasler [First draft]

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 [Available on SSRN] [Internet Appendix]

Work in Progress

Can Trading Distort Price Discovery? Evidence from FOMC Announcements

With Oliver Boguth and Vincent Gregoire