Publications

(1)Treasury yield implied volatility and real activity

(with Martijn Cremers and Matthias Fleckenstein)

Journal of Financial Economics, 140, (2), May 2021

(2)Equity is cheap for large financial institutions

(with Hanno Lustig and Alberto Plazzi)

Review of Financial Studies, 33(9), January 2020

(3)A taxonomy of financial market misconduct

(with Ai Deng)

In "Corruption and Fraud in Financial Markets", Edited by Carol Alexander and Douglas Cummings, Wiley Press, June 2020

(4)The analytics of financial market misconduct

(with Ai Deng)

In "Corruption and Fraud in Financial Markets", Edited by Carol Alexander and Douglas Cummings, Wiley Press, June 2020

(5)Using annual report sentiment as a proxy for financial distress in U.S. banks

(with Tim Loughran and Bill McDonald)

Journal of Behavioral Finance, 20 (4), March 2019

(6)Financial market misconduct and public enforcement: The case of Libor manipualation

(with Ben Golez, Jens Jackwerth, and Alberto Plazzi)

Management Science, 65 (11), February 2019

(7)The relation between credit growth and expected returns of bank stocks

European Financial Management, Special Issue, Corporate Policies and Asset Prices, 24 (4), September 2018

(8)Size anomalies in bank stock returns 

(with Hanno Lustig)

Journal of Finance, 70 (2), April 2015

(9)The origins and intent of the Volcker rule

In "Perspectives on Dodd-Frank and Finance", Edited by Paul H. Schultz, MIT Press, 2014

(10)Counterparty credit risk and the credit default swap market

(with Navneet Arora and Francis Longstaff)

Journal of Financial Economics, 103 (2), February 2012

Work in progress

(11) United they fail: Bank  risk after the financial crisis

(with Amiyatosh Purnanandam)

(12) International transmission of bank liquidity shocks: Evidence from bond markets? 

(with George Issa and Elvis Jarnecic)

(13) Tax risk and asset prices: Evidence from dual-class corporate bonds in the early 19th century

(with Matthias Fleckenstein and Paul Gao)

(14) Diversification by U.S. banks: True safety or a false sense of security?

(with Saurabh Ahluwalia and Alberto Plazzi)

(15) Bank convexity risk (Coming soon!)

(with Martijn Cremers and Jun Yang)

(16) Does being ethical pay: Evidence from the implementation of SOX section 406 (Coming soon!)

(with Saurabh Ahluwalia, Linda Ferrell, and O.C. Ferrell)

Commentary and methodology