Welcome! I am Associate Professor of Finance at HEC Paris. Please click here to download my CV.
Below you find information on my current research projects. Please click here for a statement summarizing my research.
Information Efficiency, Limited Attention, Portfolio Management, Market Microstructure.
Exploits rich transaction data to identify distraction effects among institutional investors: distracted institutions are less likely to trade and their trades perform worse, but they are not all that rational about allocating their limited attention.
Journal of Financial & Quantitative Analysis, 2019, Vol. 54, pp. 2453-2491
Exploits distracting news events (such as the O.J. Simpson trial) to identify the causal effect of noise trading in financial markets.
Journal of Finance, 2020, Vol. 75, pp. 1083-1133
Develops a cheap talk model to show that short investment horizons can facilitate information sharing between investors.
Review of Financial Studies, 2020, Vol. 33, pp. 3804-3853
Estimates and describes a realistic noise trading process to help theorists calibrate their models.
Journal of Financial Markets, forthcoming
Long-short equity hedge funds resemble constrained arbitrageurs: their trades generate alpha, but positions are closed too early.
Review of Asset Pricing Studies, forthcoming
Passive ownership causally affects equity lending: it increases both the quantity and quality of lendable supply, thereby facilitating short selling and improving market efficiency.
Develops a model in which investors are unsure about whether their signals are novel or stale. The model predicts an asymmetric price impact for buys and sells as a function of past returns, for which we find strong support in the data.
Noise shocks due to mutual fund fire sales spill over onto close economic peers because investors wrongly interpret them as fundamental signals.
revise & resubmit at Review of Asset Pricing Studies
Google searches for sport proxy for investors' inattention to the stock market. In an international sample of 36 countries, they correlate negatively with trading activity and idiosyncratic volatility.