Research
"I am a part of all that I have met;
Yet all experience is an arch wherethro’
Gleams that untravell’d world whose margin fades
For ever and forever when I move." –Ulysses, by Alfred Tennyson
"I am a part of all that I have met;
Yet all experience is an arch wherethro’
Gleams that untravell’d world whose margin fades
For ever and forever when I move." –Ulysses, by Alfred Tennyson
My SSRN page is available here
My Google Scholar page is available here
My disclosure page is available here
My CV
Overview of my research
Financial markets are used throughout the world to allocate capital to productive uses. As a result, financial markets have a significant impact on economic activity and the well-being of individuals. My research examines the role of a key group of participants in financial markets who account for nearly 70% of all investment in U.S. public companies: institutional investors. Specifically, my research examines how the actions of short-sellers, hedge funds, mutual funds, and exchange traded funds interact with various market frictions to affect real economic activity and the formation of asset prices.
Industry Service
Guest Editor - Journal of Corporate Finance special issue on non-significant results
Associate Editor - Management Science (2018-present)
Associate Editor - Journal of Financial and Quantitative Analysis (2019-present)
Co-Founder, Four Corners Center for Research on Index Investments
Secretary (2024-2025)
President (2023-2024)
Treasurer (2021-2023)
Selected Research Awards
My article "Does Socially Responsible Investing Change Firm Behavior?" was awarded the Pagano and Zechner Award for the best non-investment paper published in the Review of Finance in 2023
My Journal of Finance article "Reusing Natural Experiments" was awarded a Brattle Group Distinguished Paper Prize in 2023
My article "Do Cross-Sectional Predictors Contain Systematic Information?" was awarded the Sharpe award for the best paper published in the Journal of Financial and Quantitative Analysis in 2023
My article "ETF Arbitrage, Non-Fundamental Demand, and Return Predictability" was runner-up for the Spängler/IQAM award for the best Investments Paper in the Review of Finance in 2021
Published and Accepted Papers
1) How Are Shorts Informed? Short Sellers, News, and Information Processing
with Joseph Engelberg and Adam Reed
[Journal of Financial Economics 105(2), August 2012]
2) A Multiple Lender Approach to Understanding Supply and Search in the Equity Lending Market
with Adam Kolasinski and Adam Reed
[Journal of Finance 68(2), April 2013]
3) Short Interest and Aggregate Stock Returns
with David Rapach and Guofu Zhou
[Journal of Financial Economics 121(1), July 2016]
Link to Appendix
Link to Data
Third party out-of-sample confirmation
More third party evidence that short interest predicts aggregate returns
with Joseph Engelberg and Adam Reed
[Journal of Finance 73(2), April 2018]
5) The Economic Impact of Index Investing
with Jonathan Brogaard and David Sovich
[Review of Financial Studies 32(9), September 2019]
6) ETF Arbitrage, Non-Fundamental Demand, and Return Predictability
with David Brown and Shaun Davies
[Review of Finance 25(4), July 2021 - Lead Article]
*Runner-up for the Spängler/IQAM award for the best Investments Paper in the Review of Finance
with Davidson Heath and Daniele Macciocchi and Roni Michaely
[Review of Financial Studies, January 2022]
Note on Russell-based methodologies
with Jeff Coles and Davidson Heath
[Journal of Financial Economics, September 2022 - Lead Article]
9) Do Cross-Sectional Predictors Contain Systematic Information?
with Joseph Engelberg, David McLean, and Jeffrey Pontiff
[Journal of Financial and Quantitative Analysis, May 2023]
*Winner of the 2023 Sharpe Award
10) Reusing Natural Experiments
with Davidson Heath and Mehrdad Samadi, and Ingrid Werner
[Journal of Finance, August 2023]
*Awarded a 2023 Brattle Group Distinguished Paper Prize
See https://www.reusingnaturalexperiments.com for more information, including a database of reused natural experiments
11) The Information in Asset Fire Sales
with Sheng Huang and Zhe Zhang
[Management Science, September 2023]
12) The Demise of the NYSE and NASDAQ: Market Quality in the Age of Market Fragmentation
with Peter Haslag
[Journal of Financial and Quantitative Analysis, November 2023 - Lead Article]
13) Does Socially Responsible Investing Change Firm Behavior?
with Davidson Heath and Daniele Macciocchi and Roni Michaely
[Review of Finance, November 2023]
*Winner of the Pagano and Zechner Award for the best non-investment paper published in the Review of Finance in 2023
14) Anomaly Time
with Boone Bowles, Adam Reed, and Jake Thornock
[Journal of Finance, July 2024]
Video from the 2019 Jacobs Levy Center Frontiers in Quantitative Finance Conference
15) Does Floor Trading Matter?
with Jonathan Brogaard and Dominik Roesch
[Journal of Finance, October 2024]
16) Zombie Stocks
with Young Jae Choi, Joseph Engelberg , Frank Partnoy, and Adam Reed
[Harvard Business Law Review, Winter 2024]
*Winner of the Best Paper in Securities Law and Finance: American Law and Economics Conference (2023)
17) The Loan Fee Anomaly: A Short Seller's Best Ideas
with Joseph Engelberg, Richard Evans, Gregory Leonard, and Adam Reed
[Management Science, Forthcoming 2025]
Working Papers
18) Voting for Socially Responsible Corporate Policies
with Adam Meirowitz and Shaoting Pi
[Revise and Resubmit]
Presented at the 2023 JCF Special Issue Conference on Ownership and Corporate Social and Sustainable Policies
with Boone Bowles, Adam Reed, and Jake Thornock
[Revise and Resubmit]
To be presented at the 2025 European Winter Finance Summit
20) Short Covering
with Jesse Blocher, Xi Dong, and Pavel Savor
[working paper]
Presented at the 2023 SFS Cavalcade and the 2023 EFA and the 2024 WFA
21) Price Pressure from Short Selling
[working paper]
22) An Information Factor: What Are Skilled Investors Buying and Selling?
with Matthew Ma, Xiumin Martin, and Guofu Zhou
[working paper]
23) Do Interventions in Secondary Markets Affect the Economy?
with Jixing Li
[working paper]
Presented at the 2023 American Finance Association Annual Conference
24) Testing the separability condition: what social policies should firms enact?
with Amy Cyr-Jones and Sara Malik
[working paper]
Presented at the 2023 JCF Special Issue Conference on Ownership and Corporate Social and Sustainable Policies
25) The Politics of Academic Research
with Chong Shu and Ingrid Werner
[working paper]
Presented at the 2023 CEPR Conference on Politics, Corporations, and the Common Good
26) Stock Options, Stock Loans, and the Law of One Price
with Jesse Blocher
[working paper]
Presented at the 2018 Western Finance Association Annual Conference
27) The Economics of Investor Engagement
with Davidson Heath and Daniele Macciocchi
[working paper]
28) The Real Cost of Retail Trading
with Mike Anderson
[working paper]