Research

From my time in academia. Dormant.

Research Interests

• Asset pricing theory, financial frictions, commodity markets.

Publication

• Asset Price Dynamics with Limited Attention
  Review of Financial Studies (2021)
  with Terrence Hendershott, Albert Menkveld, and Mark Seasholes
  Structural estimation of an equilibrium model of infrequent trading using NYSE data. Pricing errors for the typical NYSE stock have a standard deviation of 3.2 percentage points and a half-life of 6.2 weeks.

Working Papers

• Equilibrium Asset Pricing with both Liquid and Illiquid Markets
  How do the frictions in OTC markets spill over and affect open interests, trading volumes, and risk premia on liquid markets?

• Asymmetric Information and Inventory Concerns in Over-the-Counter Markets
  with Julien Cujean
  Increasing transparency on an OTC market makes inventories more costly and may cause a discontinuous drop in liquidity, market participation, and welfare.

• Equilibrium Commodity Trading
  with Emmanuel Leclercq
  Feedback effect of commodity futures: Speculation can be beneficial to the end-users of the commodity even though it increases the volatility of the spot market.

PhD Thesis

• Essays in Asset Pricing with Search Frictions
  (Get my thesis from the EPFL library.)