ASSET PRICING

PUBLICATIONS

“Economic Links and Predictable Returns” (with Andrea Frazzini)

2008

Journal of Finance, 63, 1977-2011

  • Winner of the Smith Breeden Prize for the best paper published in the Journal of Finance (Distinguished Paper)

  • Winner of the Emerald Citation of Excellence Award

  • Winner of the First Prize, Chicago Quantitative Alliance Academic Paper Competition

“Supply and Demand Shifts in the Shorting Market” (with Karl Diether and Christopher Malloy)

2007

Journal of Finance 62, 2061-2096

  • Winner of the Smith Breeden Prize, for the best paper published in the Journal of Finance (Distinguished Paper)

“Attracting Flows by Attracting Big Clients” (with Breno Schmidt)

2009

Journal of Finance, 64, 1225- 1252

  • Winner of the SQA Award, Best Paper in Quantitative Investments at the Western Finance Association Conference

  • Winner of the BGI Best Paper Prize, Asset Allocation Symposium at the European Finance Association Conference

“Decoding Inside Information” (with Christopher Malloy and Lukasz Pomorski)

2012

Journal of Finance 67, 1009-1044

  • Winner of the First Prize, Chicago Quantitative Alliance Academic Paper Competition

  • Winner of the Institute for Quantitative Investment Research (INQUIRE) Grant

“Cloaked Trading” (with Dong Lou and Christopher Malloy)

2016

Journal of Investment Consulting 17, 207–248

  • Winner of the Best Paper Prize of the Journal of Investment Consulting Academic Paper Competition

  • Winner of the Institute for Quantitative Investment Research (INQUIRE) Grant

“Legislating Stock Prices” (with Karl Diether and Christopher Malloy)

2013

Journal of Financial Economics 110, 574-595

  • Winner of the Fama-DFA Prize for the Best Paper Published in the Journal of Financial Economics (Distinguished Paper)

COURSE MATERIAL

“Domeyard: Starting a High-Frequency Trading (HFT) Hedge Fund,” with Matthew Foreman and Christopher Malloy

Harvard Business School Case 215-036

DOWNLOAD VIEW