Link to my
Curriculum Vitae
Academic Appointments
University of Bern, Associate Professor
CEPR, Research Affiliate
Research Interests
"The capitalist mystery par excellence: that of price formation" (M. Houellebecq, La carte et Le territoire, p.93)
Publications
Information Percolation, Momentum, and Reversal,
Journal of Financial Economics,
2017 [Slides]
[download pdf]
(
with )
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.
Why Does Return Predictability Concentrate in Bad Times?,
Journal of Finance,
2017 [Slides]
[internet appendix]
[download pdf]
(
with )
Countercyclical investors' disagreement causes stock return predictability to concentrate in bad times; a time-series momentum strategy crashes after sharp market rebounds.
Idea Sharing and the Performance of Mutual Funds,
Journal of Financial Economics,
2021 [Slides]
[download pdf]
Idea sharing causes the statistical significance of performance, the separation of skill from luck and performance persistence to concentrate in the worst-performing funds.
The Lost Capital Asset Pricing Model,
Review of Economic Studies,
forthcoming [Slides]
[download pdf]
(
with and )
Variation in expected returns across investors leaves a mark on traditional CAPM tests, providing a novel explanation for the empirical failure of the CAPM despite widespread practical use.
Working Papersยจ
Knowledge Cycles and Corporate Investment,
(Major revision),
December 2022[Slides]
[download pdf]
(
with )
Because investment creates knowledge, serendipitously, it is high early and late in a firm's knowledge cycle, and its relation with value spikes before new cycles start and declines thereafter, a pattern we uncover in the data.
The Low-Minus-High Portfolio and the Factor Zoo,
May 2021[Slides]
[download pdf]
(
with )
A single long-short portfolio will always explain, together with the market, 100% of
cross-sectional variation in returns. The empiricist may uncover an infinity of proxies for this portfolio, thus unleashing the factor zoo.
Asymmetric Information and Inventory Concerns in Over-the-Counter Markets,
December 2013[Slides]
[download pdf]
(
with )
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 [download pdf]
(
with )
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[download pdf]
A note that I wrote on the Dumas & Maenhout (2003) Central Planning Approach in Incomplete Markets.