Research Interests

  • Empirical Asset Pricing
  • Liquidity
  • Market Microstructure
  • Mutual Funds Performance
  • Evaluation and Predictability
  • Equity Options Pricing



Treasury Bond Illiquidity and Global Equity Returns with Sergei Sarkissian

Journal of Financial and Quantitative Analysis, (49) (2014), 1227-1253

Mutual Fund’s R2 as Predictor of Performance with Yakov Amihud

Review of Financial Studies, 26 (3) (2013), 667-694

The Term Structure of Bond Market Liquidity and Its Implications for Expected Bond Returns with Avanidhar Subrahmanyam and Andrey Ukhov

Journal of Financial and Quantitative Analysis, 46 (2011), 111-139

Stock and Bond Market Liquidity: A Long-Run Empirical Analysis with Andrey Ukhov

Journal of Financial and Quantitative Analysis, 44 (2009), 189-212

Do Liquidity Measures Measure Liquidity? with Craig Holden and Charles Trzcinka

Journal of Financial Economics, 92 (2009), 153-181

Winner of the Fama/DFA Prize for the best paper in the Journal of Financial Economics in the Areas of Capital Markets and Asset Pricing (second prize)

Working Papers

  1. Illiquidity Premia in Equity Option Markets, with Peter Christoffersen (University of Toronto), Kris Jacobs (University of Houston) and Mehdi Karoui (McGill University). Revise & Resubmit at the Review of Financial Studies
  2. Treasury Liquidity, Funding Liquidity and Asset Returns
  3. Options Illiquidity: Determinants and Implications for Stock Returns, with Chayawat Ornthanalai (University of Toronto) and Shengzhe Tang (University of Toronto)
  4. Who is Informed in Options Market?
  5. When Options Market Disagrees, with Mathieu Fournier (HEC Montreal)
  6. Permanent working paper: Stock and Bond Pricing with Liquidity Risk