Working Papers
Available on my SSRN profile
R&D, Innovation, and the Stock Market (with Amit Goyal)
Does the market know how to price R&D and innovation?
Picking Partners: Manager Selection in Private Markets (with Amit Goyal and M. Deniz Yavuz)
LPs chase performance but are also surprisingly willing to invest in GPs without a track record.
Flow Diversification (with Albert Wang)
Diversifying across clients and clienteles is quite beneficial for mutual funds.
On the Conjoint Nature of Value and Profitability (with Eduardo Repetto)
The returns of portfolio strategies at the intersection of value and profitability are higher than either value or profitability alone.
Publications
Choosing Investment Managers (with Amit Goyal and M. Deniz Yavuz), Journal of Financial and Quantitative Analysis (Forthcoming)
Connections help Investment Managers gather assets but connections don’t generate higher returns.
Forbearance in Institutional Investment Management (with Amit Goyal and Ramon Tol), Financial Analysts Journal, 2023
Institutional investors have a surprising tolerance for underperformance.
Is Idiosyncratic Risk Conditionally Priced? (with Rajnish Mehra and Daruo Xie), Quantitative Economics, 2021
Idiosyncratic risk is priced but it is highly state-dependent.
Do properly Anticipated Prices Fluctuate Randomly? Evidence from VIX Futures Markets (with George Aragon and Rajnish Mehra), Journal of Portfolio Management, 2020
Samuelson was right: VIX futures prices properly anticipate predictability in volatility and are themselves unpredictable
The Term Structure of Liquidity Provision (with Jennifer Conrad), Journal of Financial Economics, 2020
Price impact should be measured in milliseconds, and at most, seconds, not minutes.
The Profitability and Investment Premium: Pre-1963 Evidence, Journal of Financial Economics, 2019
Even in the pre-Compustat period, the profitability premium is quite robust. Investment, not so much.
High-Frequency Quoting, Trading, and the Efficiency of Prices (with Jennifer Conrad and Jin Xiang), Journal of Financial Economics, 2015
High frequency quote changes reflect a random walk, not predictability.
Is Momentum an Echo (with Amit Goyal), Journal of Financial and Quantitative Analysis, 2015
There is nothing to see here: there is no “echo” in momentum returns.
Investing in a Global World (with Jeff Busse and Amit Goyal), Review of Finance, 2014
There is little evidence of persistence in performance of active global portfolios.
Style Investing, Comovement and Return Predictability (with M. Deniz Yavuz), Journal of Financial Economics, 2013
Style investment generates comovement and leaves a footprint in momentum.
Competition among Mutual Funds (with Albert Wang), Journal of Financial Economics, 2011
The market for mutual funds is highly competitive. Investors benefit.
Performance and Persistence in Institutional Investment Management (with Jeff Busse and Amit Goyal), Journal of Finance, 2010
Very little persistence in the performance of institutional investment managers.
The Selection and Termination of Investment Management Firms by Plan Sponsors (with Amit Goyal), Journal of Finance, 2008
Plan sponsors chase winners. It doesn’t help.
Grandstanding, Certification and the Underpricing of Venture Capital Backed IPOs (with Peggy M. Lee), Journal of Financial Economics, 2004
VC back IPOs have larger first day returns than non-VC backed IPOs. Why? Grandstanding.
Institutional Trading and Alternative Trading Systems (with Jennifer Conrad and Kevin M. Johnson), Journal of Financial Economics, 2003
Alternative trading systems have lower execution costs.
Momentum Trading by Institutions (with Swaminathan Badrinath), Journal of Finance, 2003
Institutions are momentum traders when they initiate new positions but not otherwise.
Agency Conflicts in Closed-End Funds: The Case of Rights Offerings (with Ajay Khorana and Marc Zenner) Journal of Financial and Quantitative Analysis, 2002
Rights offerings in closed-end funds are just a way to extract rents.
Institutional Trading and Soft Dollars (with Jennifer Conrad and Kevin M. Johnson), Journal of Finance, 2001
Soft dollar brokerage costs more.
Spin-offs, Ex Ante (with John McConnell and Mehmet Ozbilgin), Journal of Business, 2001
Investment strategies always look better ex post than ex ante.
Do institutional investors exacerbate managerial myopia? (with John McConnell), Journal of Corporate Finance, 2000
SS: No, institutions don’t cause corporate managers to behave myopically.
Entry, Exit, Market Makers, and the Bid-Ask Spread Review of Financial Studies, 1997
Free entry is a wonderful thing. Especially in the market making business.
Pension fund activism and firm performance, Journal of Financial and Quantitative Analysis, 1996
One of the earliest studies of pension fund activism. Doesn’t appear to achieve its objectives.
Who Opts Out of State Antitakeover Protection?: The Case of Pennsylvania’s SB 1310 (with Kenneth Wiles and Marc Zenner), Financial Management, 1995
Why do we need state-level antitakeover protection when firms can do it themselves?