Research Interest: Asset Pricing, Financial Econometrics, Forecasting, Market Microstructure
CAPM, Components of Beta and the Cross Section of Expected Returns, (with Jonathan Reeves), forthcoming at Journal of Empirical Finance
Jonathan Reeves, Haifeng Wu), forthcoming at Journal of Forecasting, (with Nicolas Papageorgiou,
Bid- and ask-side liquidity in the NYSE limit order book (with Gunnar Grass), Journal of Financial Markets, 38, 2018, 14-38.
Monthly Beta Forecasting with Low, Medium and High Frequency Stock Returns, (with Qianqiu Liu, Jonathan Reeves, Haifeng Wu), Journal of Forecasting, 35 (6), 2016, 528–541.
, 2015, Management Science, 61, 1072-1093
Assessing the value of power interconnections under climate and natural gas price risks (with Pierre-Olivier Pineau and Debbie J. Dupuis), 2015, Energy, 82, 128-137.
Allan Timmermann), 2012, Journal of Banking and Finance, 36, 2974-2987., (with
Winner of the Outstanding Article Award published by Journal of Financial Research in 2012), (with Badye Omar Essid), 2012, Journal of Financial Research, 35, 581-613. (
Size, Book-to-Market Ratio and Macroeconomic News, 2011, Journal of Empirical Finance, 18, 248-270.
(with and Roger Parker), 2011, International Journal of Forecasting, 27, 923-941.
Time Variation in Cash Flows and Discount Rates (with Denada Ibrushi)