Link to my Curriculum Vitae

Research Interests
Equilibrium Asset Pricing, Information Economics

Information Percolation, Momentum, and Reversal, Journal of Financial Economics, forthcoming
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(with Daniel Andrei) Word-of-mouth communication accelerates the information flow through prices and generates momentum in asset returns. Word-of-mouth communication can propagate a rumor, which generates price run-ups and reversals.

Working Papers
Social Interactions and the Performance of Mutual Funds, August 2016
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Social interactions among fund managers cause the statistical significance of performance, the separation of skill from luck and performance persistence to concentrate in the worst-performing funds.

Why Does Return Predictability Concentrate in Bad Times?, May 2016, R & R at the Journal of Finance
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(with Michael Hasler) Countercyclical investors' disagreement causes stock return predictability to concentrate in bad times; a time-series momentum strategy crashes after sharp market rebounds.

Asymmetric Information and Inventory Concerns in Over-the-Counter Markets, December 2013
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(with Remy Praz) Transparency increases inventory costs and reduces the incentives to provide liquidity on an OTC market.

Global Public Signals, Heterogenous Beliefs and Stock Markets Co-movement, February 2010
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(with Daniel Andrei) A misinterpretation of a global public signal generates significant co-movement in stock returns in international stock markets.

Dumas & Maenhout (2003) Central-Planning Approach: A Comment, April 2008
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A note that I wrote on the Dumas & Maenhout (2003) Central Planning Approach in Incomplete Markets.

Robert H. Smith School of Business
University of Maryland
4427 Van Munching Hall
College Park, MD 20742
Office: (301) 405-7707
Cell: (301) 458-5380