Publications

ETF options offer a unique device for hedge funds to exploit their information about volatilities in different asset markets.
SSRN

PPS decreases in both short- and long-run volatilities, but only the short-run volatility affects executives' incentive.
SSRN

The delegated OTC nature of the securities lending market plays a critical role in shaping market participants’ payoffs and valuations.
SSRN

When stocks overweighted by active mutual funds outperform other stocks, the S&P 500 tends to do well the next day, and vice-versa.
SSRN

A media outlet issues more positive news coverage of a firm when they have common institutional investors.
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