Research Interests: Capital Markets, Financial Crises, Derivatives, Applications of AI/ML
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Data and Code
VIX Premium
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Data (7 Apr 2025) and Code
- Reference papers: [VIX Premium (RFS)], [COVID-19 (RAPS)]
Daily Expected Returns
Research
Working Papers
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Understanding the Excess Bond Premium (June 2025)
- News about banks, crises, and politics predicts macroeconomic movements.
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Uninsured Depositors, Commercial Lending, and the Regional Banking Crisis (April 2025)
- Banks with more uninsured deposits take more risk in equilibrium.
- Coverage: [FT]
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Bayesian Doublespeak (March 2025)
- Should policymakers restrict perceived sources of misinformation?
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Hedging Pressure and Commodity Option Prices (July 2021)
- Providing liquidity to hedging demand earns substantial returns.
Papers
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Do Managers Do Good With Other People's Money?
- 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?
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Reporting Sexual Misconduct in the #MeToo Era
[video]
[SSRN-ungated]
- American Economic Journal: Microeconomics, 2022, 14(4), 761-803.
- Strategic uncertainty leads to under-reporting of sexual misconduct.
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Distrust in Experts and the Origins of Disagreement
- Journal of Economic Theory, 2022, 200.
- Why do individuals interpret the same information differently?
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Volmageddon and the Failure of Short Volatility Products
[SSRN-ungated]
- Financial Analysts Journal, 2021, 77(3), 35-51.
- A closer look at the February 2018 volatility spike.
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How Do Consumers Fare When Dealing with Debt Collectors? Evidence from Out-of-Court Settlements
- Review of Financial Studies, 2021, 34(4), 1617-1660, Lead article (Editor's Choice).
- Settlements appear to increase financial distress by draining liquidity.
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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]
- The VIX Premium
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Convective Risk Flows in Commodity Futures Markets
- Review of Finance, 2015, 19(5), 1733-1781, Lead article.
- Appendix [online]
- Who bears risk in commodity futures markets?
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Yesterday's Heroes: Compensation and Risk at Financial Firms
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Wall Street and the Housing Bubble
- 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]
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Why Do Hedgers Trade So Much?
- Journal of Legal Studies, 2014, 43(S2), S183-S207.
- Labeling traders as either hedgers or speculators may be misleading.
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The Hazards of Debt: Rollover Freezes, Incentives, and Bailouts
- Review of Financial Studies 2012, 25(4), 1070-1110.
- How should debt be structured to balance debt runs and risk-shifting?
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The Effect of the Run-Up in the Stock Market on Labor Supply
- Economic Perspectives (Federal Reserve Bank of Chicago) 2000, Q4 48-65.
Reviews / Chapters
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The Financialization of Commodity Markets
- 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
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Corporate Governance Spillovers (April 2011)
- Accounting fraud is linked to poor corporate governance at competitors.