Research

1. “How do hedge funds affect stock market quality? Evidence from hedge fund terminations” (Job market paper)

I examine how hedge funds affect stock liquidity and price informativeness using hedge fund terminations as a quasi-natural experiment. I find that price impact declines after closures. Moreover, consistent with a reduction of adverse selection, incorporation of both market- and firm-specific information into stock prices suffers after defunct hedge funds disappear.

2. “Pricing information: Experimental evidence” with Dmitry Chebotarev

We conducted a laboratory experiment in which participants can buy information before making predictions of future stock prices. We find that participants overprice signals. Additionally, signals help participants eliminate of several biases. Yet, more biased participants do not value signals more.

3. “Buy side and sell side: The yin and yang of market efficiency”

I build a theoretical model that endogenizes an agent’s decision to sell or trade on information. The core of the model is substitutability between buy side (traders) and sell side (analysts). The model generates several predictions that are consistent with empirical studies of Regulation Fair Disclosure and MIFID II.