(July 2021), with James Weston.
- Firms whose dividends cluster amounts ending in "5" have lower risk-adjusted returns and lower operating performance than firms that exhibit no clustering. We interpret this clustering as a signal that the firm's managers exert lower effort than otherwise comparable firms.
Does Trading Anonymously Enhance Liquidity?,
with Patrik Sandås, Journal of Financial and Quantitative Analysis, Volume 55, Number 7, November 2020, pp. 2372-2396.
- Yes, it does. Compared with a control group, stocks that switch to trading anonymously show improved liquidity. One-year later, the stocks that were trading anonymously switch back to trading transparently and their liquidity deteriorates.
Risk-Neutral Skewness: Evidence From Stock Options,
with Stewart Mayhew. Journal of Financial and Quantitative Analysis, Volume 37, 2002, pp. 471-493.
- Firm-specific factors seem to be more important than systematic factors in explaining the variation in the risk-neutral skew for individual firms.
Specifically, risk-neutral skewness for individual stocks tends to be more negative for those firms that have large market capitalization, lower trading volume, high betas, and lower leverage.
The Effects of Rebalancing on Size And Book-To-Market Ratio Portfolio Returns,
with Stephen Perfect, Karl Snow, and Kenneth Wiles. Financial Analysts Journal, May-June 1995, pp. 47-57.
- We investigate the effect of transaction costs on a portfolio that is long value stocks and short growth stocks. As rebalancing frequency increases, tracking error deciles but trading costs erode returns. We find the optimal rebalancing period is two years.