Research

Publications

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

Disagreement in the Equity Options Market and Stock Returns

with Benjamin Golez (Notre Dame)

Informed Trading of Options, Option Expiration Risk, and Future Stock Returns

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)

Stock and Bond Pricing with Liquidity Risk