"Volatility Forecasting Using Financial Statement Information"

The Accounting Review 90(5), September 2015

I hypothesize that financial statement information, by providing information about economic events correlated with future volatility, are informative in the prediction of future volatility and are not fully incorporated in either past volatility or the market's expectation of future volatility.

"Is there a dark side to ETFs? An information perspective"

Review of Accounting Studies 22(3), September 2017

Co-authored with Doron Israeli and Charles M.C. Lee

We find that increased ETF ownership is accompanied by a decline in pricing efficiency for the underlying component securities.

"Partisanship, Political Institutions, and Debt Issues"

We investigate the causal effect of gubernatorial partisanship on municipal bond issues in the United States using a regression discontinuity design and find that the election of Democratic governors results in higher levels of debt issuance, with an annual per capita increase of approximately $73 to $147 in states that lack debt referenda requirements

"The Real Side of the High-Volume Return Premium"

Consistent with Merton's (1987) investor recognition hypothesis, we find that shocks to trading volume play an important role in enhancing corporate investment activity.

"Unexpected distractions and investor attention to corporate announcements"

Using a daily news pressure index that is largely unpredictable and thus unrelated to managerial strategic disclosure timing decisions, we find that retail but not institutional investors are particularly susceptible to unexpected distractions but that this reduced attention does not impact overall price efficiency.

"Hedging on the Hill: Does political hedging reduce firm risk?"

We find that greater political hedging, measured as the degree to which firms' political connections are balanced across Republican and Democratic candidates, is associated with reduced firm risk, particularly during periods of higher policy uncertainty.