Research Interests: Beliefs, Incentives, Derivatives

CV
SSRN | Google scholar

Data:

• VIX Premium Data  (7 Apr 2025) [Paper] [COVID-19]

Working Papers:

1. Understanding the Excess Bond Premium (November 2024)
   (with Kevin Benson, John Hull, Charles Martineau, Yoshio Nozawa, Vasily Strela, Yuntao Wu, and Jun Yuan)
   
   • News about banks, crises, and politics predicts macroeconomic movements.
   
   
2. Uninsured Depositors, Commercial Lending, and the Regional Banking Crisis (April 2025)
   (with Briana Chang and Harrison Hong)
   
   • Banks with more uninsured deposits take more risk in equilibrium.
   • Coverage: [FT]
   
   
3. Bayesian Doublespeak (March 2025)
   (with Alice Hsiaw)
   
   • Should policymakers restrict perceived sources of misinformation?
   
   
4. Hedging Pressure and Commodity Option Prices (July 2021)
   (with Jiarui Feng, Ke Tang, and Lei Yan)
   
   • Providing liquidity to hedging demand earns substantial returns.
   
   

Papers:

5. Do Managers Do Good With Other People's Money?
   (with Harrison Hong and Kelly Shue)
   
   • Review of Corporate Finance Studies, 2023, 12(3), 443-487, Lead article (Editor's Choice).
   • 2024 Review of Corporate Finance Studies Best Paper Award
   • Is corporate social responsibility symptomatic of agency problems?
     
   
   
6. Reporting Sexual Misconduct in the #MeToo Era   [video]   [SSRN-ungated]
   (with Alice Hsiaw)
   
   • American Economic Journal: Microeconomics, 2022, 14(4), 761-803.
   • Strategic uncertainty leads to under-reporting of sexual misconduct.
   
   
7. Distrust in Experts and the Origins of Disagreement
   (with Alice Hsiaw)
   
   • Journal of Economic Theory, 2022, 200.
   • Why do individuals interpret the same information differently?
   
   
8. Volmageddon and the Failure of Short Volatility Products   [SSRN-ungated]
   (with Patrick Augustin and Ludovic Van den Bergen)
   
   • Financial Analysts Journal, 2021, 77(3), 35-51.
   • A closer look at the February 2018 volatility spike.
   
   
9. How Do Consumers Fare When Dealing with Debt Collectors?
   Evidence from Out-of-Court Settlements
   (with Felipe Severino and Richard Townsend)
   
   • Review of Financial Studies, 2021, 34(4), 1617-1660, Lead article (Editor's Choice).
   • Settlements appear to increase financial distress by draining liquidity.
   
   
10. Volatility Markets Underreacted to the Early Stages of the COVID-19 Pandemic
    
    • Review of Asset Pricing Studies, 2020, 10(4), 635-668.
    • Coverage: [Risk.Net]
    
    
11. The VIX Premium
    
    • Review of Financial Studies, 2019, 32(1), 180-227.
    • Appendix: [online] [data - see above]
    • Why do volatility risk premiums fluctuate?
    • Coverage: [FT Alphaville (Gated, Ungated)] [MarketWatch (Published, Unedited)]
    
    
12. Convective Risk Flows in Commodity Futures Markets
    (with Wei Xiong and Andrei Kirilenko)
    • Review of Finance, 2015, 19(5), 1733-1781, Lead article.
    • Appendix [online]
    • Who bears risk in commodity futures markets?
      
      
13. Yesterday's Heroes: Compensation and Risk at Financial Firms
    (with Harrison Hong and Jose Scheinkman)
    • Journal of Finance, 2015, 70(2), 839-879.
    • Appendix: [online]
    • Is the cross-section of pay levels among finance firms consistent with principal-agent theory?
    • 2011 Standard Life Investments ECGI Best Finance Working Paper Prize
    • Coverage: [WSJ]
      
      
14. Wall Street and the Housing Bubble
    (with Sahil Raina and Wei Xiong)
    • American Economic Review, 2014, 104(9), 2797-2829.
    • Appendices: [A] [B] [C] [download as one file] [data]
    • Did Wall Street know about the housing bubble?
    • Coverage: [VoxEU] [Hamilton@Econbrowser] [FT] [WSJ] [TheStreet.com] [Matt Levine]
      
      
15. Why Do Hedgers Trade So Much?
    (with Wei Xiong)
    • Journal of Legal Studies, 2014, 43(S2), S183-S207.
    • Labeling traders as either hedgers or speculators may be misleading.
    
    
16. The Hazards of Debt: Rollover Freezes, Incentives, and Bailouts
    (with Konstantin Milbradt)
    • Review of Financial Studies 2012, 25(4), 1070-1110.
    • How should debt be structured to balance debt runs and risk-shifting?
      
      
17. The Effect of the Run-Up in the Stock Market on Labor Supply
    (with Eric French)
    • Economic Perspectives (Federal Reserve Bank of Chicago) 2000, Q4 48-65.

Reviews / Chapters:

18. The Financialization of Commodity Markets
    (with Wei Xiong)
    • Annual Review of Financial Economics, 2014, 6, 419-441.
    • Commodities are now a popular asset class. How does this affect futures prices?
    • Coverage: [FT Alphaville]

Inactive papers:

19. Corporate Governance Spillovers (April 2011)
    • Accounting fraud is linked to poor corporate governance at competitors.