Ph. D., University of British Columbia, 2010
M. Sc. Mathematical Finance, University of Southern California, 2004
Dipl. Wirtschaftsmathematiker, Universitaet Ulm, 2004
Theoretical and empirical asset pricing, Performance evaluation, Mutual funds, Investor information and conditional asset pricing tests, Risk-return tradeoff in dynamic settings, Volatility and its pricing implications
"Leverage and the Limits of Arbitrage Pricing: Implications for Dividend Strips and the Term Structure of Equity Risk Premia", with Murray Carlson, Adlai Fisher, and Mike Simutin
"Leverage Constraints and Asset Prices: Insights from Mutual Fund Risk Taking", with Mike Simutin
"Dissecting Conglomerates", with Ran Duchin and Mike Simutin
"Coordinating Attention: The Unintended Consequences of FOMC Press Conferences", with Vincent Grégoire and Charles Martineau
"Heterogeneous Information Diffusion and Horizon Effects in Average Returns", with Murray Carlson, Adlai Fisher, and Mike Simutin, Review of Financial Studies, forthcoming
"Idiosyncratic Cash Flows and Systematic Risk", with Ilona Babenko and Yuri Tserlukevich. Journal of Finance 71, 2016, 425-456
“Consumption Volatility Risk”, with Lars-Alexander Kuehn. Journal of Finance 68, 2013, 2589-2615.
"Conditional Risk and Performance Evaluation: Volatility Timing, Overconditioning, and New Estimates of Momentum Alphas", with Murray Carlson, Adlai Fisher, and Mike Simutin, Journal of Financial Economics, 2011, 102, 363-389.