Research Interests: Capital Markets, Financial Crises, Derivatives, Applications of AI/ML

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Data and Code

VIX Premium

  1. Data (7 Apr 2025) and Code
Daily Expected Returns
Research

Working Papers

  1. Understanding the Excess Bond Premium (June 2025)
    (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

  1. 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?
  2. 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.
  3. 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?
  4. 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.
  5. 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.
  6. 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]
  7. 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)]
  8. 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?
  9. 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]
  10. Wall Street and the Housing Bubble
    (with Sahil Raina and Wei Xiong)
  11. 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.
  12. 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?
  13. 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

  1. 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

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