Research

Working papers & publications

My research focuses on how financial markets process information, why predictable return patterns arise, and how investor incentives, learning, and systematic risk affect asset prices.

Working papers

Current research

Updated October 23, 2026

Technological Revolutions and Stock Prices Revisited

with Robert Ready

Summary. Pástor and Veronesi (2009) model rational stock-price bubbles during technological revolutions. The bubble depends on two assumptions: a prespecified single date to adopt the technology and simultaneous economy-wide adoption. Contrary to PV’s conclusion, optimal adoption timing eliminates the bubble because the planner prefers to wait for uncertainty to resolve. We extend the model with decentralized adoption. Market prices induce firms to internalize the systematic risk created by adoption, yielding socially optimal individual firm adoptions and eliminating the bubble. Imposing off-equilibrium benefits of adoption can restore the bubble, but adoption then destroys adopting firms’ values and social welfare.

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Working paper · 2024

The Earnings Announcement Premium across an Earnings Season

with Cameron Pfiffer

Recent studies show that using firm-level earnings to systematically learn about a common factor induces a conditional risk premium on announcement days. We find that only the first weeks of quarterly earnings seasons earn the well-documented announcement return premium, as these are the only weeks having a measurable signal about aggregate earnings.

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Working paper · 2023

Observing the Choices of a Delegated Information Monitor

with Charles Gaa

As a delegated information monitor, The Wall Street Journal (WSJ) makes coverage decisions to provide value to its subscribers. We use those choices to reveal how the marginal value of earnings information changes over time, which tracks time-series variation in the informativeness of small-stock prices, because small stocks live at the margins of WSJ coverage.

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Published papers

Publications

The Long-Lasting Momentum in Weekly Returns

with Eric Kelley · The Journal of Finance, 2008, 63(1), 415–447

We document a long-lasting continuation in weekly stock returns that arises after the initial well-known short-horizon reversal. The subsequent momentum is strong enough to offset the initial reversal over the full year after portfolio formation.

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Momentum, Reversal, and the Trading Behaviors of Institutions

with Christo Pirinsky · Journal of Financial Markets, 2007, 10(1), 48–75

We identify two types of momentum — relative-return momentum and momentum in firm-specific abnormal returns — and show that their long-run behaviors differ sharply. We relate both patterns to agency incentives in the money-management industry.

Paper (PDF)

On the Predictability of Stock Returns in Real Time

with Michael Cooper and William Marcum · The Journal of Business, 2005, 78(2), 469–500

We investigate whether a real-time investor could have used book-to-market equity, firm size, and lagged returns to generate portfolio profits. Recursive out-of-sample tests reveal a marked distinction between ex post and ex ante predictability.

Paper (PDF)

Market States and Momentum

with Michael Cooper and Allaudeen Hameed · The Journal of Finance, 2004, 59(3), 1345–1365

We show that momentum profits depend strongly on the prior state of the market. Momentum following up markets is large and later reverses, while momentum following down markets is weak, consistent with overreaction-based theories.

Paper (PDF)