Welcome! I am Assistant Professor of Finance at HEC Paris. Please click here to download my CV.
Below you find information on my current research projects.
Information in Financial Markets, Limited Attention, Behavioral Finance, Liquidity, Insider Trading.
Long-short equity hedge funds resemble constrained arbitrageurs: their trades generate alpha, but positions are closed too early.
Impact-reversal patterns from mutual fund fire sales spill over to close economic peers, consistent with cross-asset learning from stock prices.
Exploits distracting news events (such as the O.J. Simpson trial) to identify the causal effect of noise trading in financial markets.
revise & resubmit at the Journal of Finance
Develops a cheap talk model to show that short investment horizons can facilitate information sharing between investors.
revise & resubmit at the Review of Financial Studies
Exploits rich transaction data to identify distraction effects among institutional investors: distracted institutions are less likely to trade a stock, but are not all that rational about allocating their limited attention. They are less likely to close losing positions, exacerbating the disposition effect.
Estimates and describes a realistic noise trading process to help theorists calibrate their models.
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.
Loan trading benefits the holders of outstanding corporate bonds by reducing information asymmetry.
revise & resubmit at the Journal of Financial & Quantitative Analysis