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.
During sensational news episodes like the O.J. Simpson trial, retail investors forego trading. The effect is more pronounced for biased investors who end up better off by being distracted. Exploiting such distraction events as shocks to retail trades in financial markets, we find evidence of reduced market liquidity and volatility among stocks with high retail ownership.
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 Journal of Financial Economics
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.
Impact-reversal patterns from mutual fund fire sales spill over to close economic peers, consistent with cross-asset learning from stock prices.
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