Working Papers


[1] “On the Structure of Financial Contagion: Econometric Tests and Mercosur Evidence” (with James Kolari and David Bessler), under review (second round) at Journal of Applied Economics.

[2] “A Robust Bayesian Analysis of the Stock Market’s Response to Macroeconomic News” (with Antoine Giannetti), under review (second round) at Journal of Financial Markets.

[3] “Learning Banks’ Exposure to Systematic Risk: Evidence from the Financial Crisis of 2008” (with Jeff Madura), under review (second round) at Journal of Financial Research.

[4] “Are Leveraged ETFs a Threat to Financial Stability? Probably Not” (with Antoine Giannetti) under review at Journal of Banking and Finance.

[5] “Idiosyncratic Ambiguity, Robust Asset Pricing, and the Cross-section of Stock Returns” (with Antoine Giannetti).

[6] “A Market-based Incentive-Compatible Contract to Discipline Banks” (single authored).

 

Work in Progress

Understanding the Robust Fisher Equation.

The Value Premium under Knightian Uncertainty.