Publications
(1)Treasury yield implied volatility and real activity
(with Martijn Cremers and Matthias Fleckenstein)
Accepted, Journal of Financial Economics
(2)Equity is cheap for large financial institutions
(with Hanno Lustig and Alberto Plazzi)
Accepted, Review of Financial Studies
(3)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), 2019
(4)Financial market misconduct and public enforcement: The case of Libor manipualation
(with Ben Golez, Jens Jackwerth, and Alberto Plazzi)
Management Science, 65 (11), November 2019
(5)A taxonomy of financial market misconduct
(with Ai Deng)
Forthcoming In "Corruption and Fraud in Financial Markets", Edited by Carol Alexander and Douglas Cummings, Wiley Press
(6)The analytics of financial market misconduct
(with Ai Deng)
Forthcoming in "Corruption and Fraud in Financial Markets", Edited by Carol Alexander and Douglas Cummings, Wiley Press
(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
Working papers
(with Matthias Fleckenstein and Paul Gao)
International shock transmissions: Does bank organizational structure matter?
(with George Issa and Elvis Jarnecic)
Diversification by U.S. banks: True safety or a false sense of security?
(with Patrick C. Kiefer and Alberto Plazzi)