Publications
Disagreement in the Equity Options Market and Stock Returns
with Benjamin Golez
Review of Financial Studies, 35 (3) (2022), 1443–1479
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)
Media
How to Find a Fund Manager Who Can Beat the Market (Wall Street Journal)
January 11, 2013, featuring the paper: “Mutual Fund’s R2 as Predictor of Performance” with Yakov Amihud
Review of Financial Studies, 26 (3) (2013), 667-694
Non-academic Publications
How to Measure the Skills of Your Fund Manager
with Yakov Amihud
The American Association of Individual Investors, April, 2015
Working Papers
Can AI Read the Minds of Corporate Executives?
with Nicolas Chapados (ServiceNow), Zhenzhen Fan(University of Manitoba), Issam Laradji (ServiceNow), Fred Liu (University of Guelph), and Chengyu Zhang (McGill)
Asset Pricing with Attention Guided Deep Learning
with Philippe Chatigny (University of Sherbrooke) and Chengyu Zhang (McGill)
The Joint Cross Section of Option and Stock Returns Predictability with Big Data and Machine Learning
with Chengyu Zhang (McGill)
Liquidity Guided Machine Learning: The Case of the Volatility Risk Premium
with Eric Ghysels (UNC) and Chengyu Zhang (McGill)
Volatility and the Cross-Section of Equity Returns: The Role of Short-Selling Constraint
with Paul Schultz (Notre Dame)
Do Option-Based Measures of Stock Mispricing Find Investment Opportunities or Market Frictions?
with Martijn Cremers (Notre Dame), Paul Schultz (Notre Dame) and Stephen Szaura (McGill)
Options Illiquidity: Determinants and Implications for Stock Returns
with Chay Ornthanalai (University of Toronto) and Shengzhe Tang (University of Toronto)
