Working Papers

  • Trading Costs (with Andrea Frazzini and Ronen Israel)
  • Trading Costs of Asset Pricing Anomalies (with Andrea Frazzini and Ronen Israel)
  • Fake News: Evidence from Financial Markets, 2018, (with Marina Niessner and Shimon Kogan)
  • Asset Pricing and Sports Betting, 2015, Yale University working paper
  • Yield Curve Premia (with Jordan Brooks)
  • Factor Premia and Factor Timing: A Century of Evidence,” 2018, (with Antti Ilmanen, Ronen Israel, Ashwin Thapar, and Franklin Wang)
  • Mispricing Premia,” 2018, (with Todd Hazelkorn and Kaushik Vasudevan)
  • Implementing Momentum: What Have We Learned? 2018, (with Adrienne Ross, Laura Serban, and Ronen Israel)
  • How Tax Efficient are Equity Styles? 2014, (with Ronen Israel)


Works in Progress

  • Gross Flows, 2018, (with Gregor Matvos)
  • Crowding, 2019, (with Sarah Jiang and Ron Alquist)
  • Diversification, 2019, (with Cliff Asness and Lei Xie).
  • Avoiding Terminal Decisions, 2019 (with Kaushik Vasudevan).
  • Understanding Momentum and Reversals, 2018, (with Bryan Kelly and Seth Pruitt)
  • A Unified Framework for Value and Momentum, 2019, (with Jakob Boudoukh and Matthew Richardson)
  • Who is on the Other Side?, 2019, (with Cliff Asness, Antti Ilmanen, Lukasz Pomorski, and Lei Xie)
  • Economic Correlations, 2019, (with Yukun Liu)