Research Interests

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



Illiquidity Premia in the Equity Options Market with Peter Christoffersen, Kris Jacobs and Mehdi Karoui
Review of Financial Studies,  31 (3),  2018,  811–851 (Editor’s Choice, Lead article) 

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.  Informed Trading of Options, Option Expiration Risk, and Stock Return Predictability, with Martijn Cremers (Notre Dame), Paul Schultz (Notre Dame), and Stephen Szaura (McGill)
  2. Options Illiquidity: Determinants and Implications for Stock Returns, with Chayawat Ornthanalai (University of Toronto) and Shengzhe Tang (University of Toronto)