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. Please click here for a statement summarizing my research.
Information Efficiency, Limited Attention, Portfolio Management, Market Microstructure.
Exploits distracting news events (such as the O.J. Simpson trial) to identify the causal effect of noise trading in financial markets.
Journal of Finance (forthcoming)
Develops a cheap talk model to show that short investment horizons can facilitate information sharing between investors.
Review of Financial Studies (forthcoming)
Exploits rich transaction data to identify distraction effects among institutional investors: distracted institutions are less likely to trade and their trades perform worse, but they are not all that rational about allocating their limited attention.
Journal of Financial & Quantitative Analysis (forthcoming)
Develops a model in which investors are unsure about whether their signals are novel or stale. The model predicts and asymmetric price response to past returns, for which we find strong support in the data.
Long-short equity hedge funds resemble constrained arbitrageurs: their trades generate alpha, but positions are closed too early.
reject & resubmit at Review of Financial Studies
Noise shocks due to mutual fund fire sales spill over onto close economic peers because investors wrongly interpret them as fundamental signals.
reject & resubmit at Management Science
Estimates and describes a realistic noise trading process to help theorists calibrate their models.
revise & resubmit at Journal of Financial Markets
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 Journal of Financial & Quantitative Analysis