Research

Publications 

1) “Do Market Efficiency Measures Yield Correct Inferences? A Comparison of Developed and Emerging Markets” with John M. Griffin and Federico Nardari, 2010, Review of Financial Studies, 23(8), 3225-3277. Internet appendix. Earlier working paper version. 

2) “Sentiment and Stock Returns: the SAD anomaly revisited” with Felix Meschke, 2010,
Journal of Banking and Finance, 34(6), 1308-1326. View PDF of last working paper version. 
  
3) “How Important is the Financial Media in Global Markets?” with John M. Griffin and Nicholas H. Hirschey, 2011, Review of Financial Studies, 24(12), 3941-3992. Earlier working paper version.

4) “InformationEfficiency and Firm-Specific Return Variation,” 2014, Quarterly Journal of Finance 4 (4), 1450018. Earlier working paper version.

5) "Macroeconomic Expectations and the Size, Value and Momentum Factors," with Mikael C. Bergbrant, 2016, Financial Management 45(4), 809-844 (Lead Article). Earlier working paper version. Awarded “Best paper in the Winter 2016 issue of Financial Management”




Complete Working Papers 

“Fooling the Savvy Investor: Secrecy and Hedge Fund Performance” with Olga Kuzmina at the New Economic School and Sergiy Gorovyy at Ellington Management Group.

“Rivals’ Competitive Activities, Capital Constraints, and Firm Growth” with Mikael Bergbrant at St. Johns University, New York and Delroy Hunter at the University of South Florida.
Status: Under Review.



Research in Progress 
Impact of Media Attention on Career Outcomes Following Corporate Malfeasance with Natalia Volchkova 
The Affect of Macroeconomic News Within and Across Markets - a new measure of integration, with Mikael Bergbrant
Measuring market quality with Carole Comerton-Forde 




Scopus Author ID: 35324800300
ResearcherID: E-8056-2017

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