Published/Accepted papers

Non-Standard Errors [SSRN]
Journal of Finance (2024)
with Albert Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Sebastian Neusüss, Michael Razen, Utz Weitzel, and others (300+ co-authors)

In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation across researchers adds uncertainty—nonstandard errors (NSEs). We study NSEs by letting 164 teams test the same hypotheses on the same data. NSEs turn out to be sizable, but smaller for more reproducible or higher rated research. Adding peer-review stages reduces NSEs. We further find that this type of uncertainty is underestimated by participants.

Short Interest and Aggregate Stock Returns: International Evidence [SSRN]
Review of Asset Pricing Studies (2023)

Awards: 2024 Rising Scholar Award, Review of Asset Pricing Studies
Media mentions: Barron's

I find that short interest significantly and negatively predicts aggregate stock returns in 24 of 32 countries examined. This predictability survives out-of-sample tests, persists outside of recessions, and is not subsumed by other well-known return predictors. The results indicate that short interest contains valuable information for forecasting international market returns that is distinct and more powerful than that of other available predictors. However, the predictive power of short interest varies over time and across regions. It is higher around economic downturns when margin requirements tighten and in regions where short selling is constrained by regulations or equity lending market frictions.  

Working papers

Short Selling Around News in International Stock Markets - Updated Jun 2024

Presented at: 2024 Monash Q Group Colloquium, 2023 FIRN Annual Meeting, 2023 EasternFA, 2023 SWFA, 2022 CAFM,  2022 NZFM, Monash

Engelberg, Reed, and Ringgenberg (2012) demonstrate that short sales on days with public news predict future returns better than other shorts, suggesting that short sellers profit from processing public information. I show that these results significantly vary across countries. News-day shorting only predicts returns in countries with high-quality public information and country-level governance, which make news trading strategies more reliable. The evidence in this paper suggests that short sellers’ informational advantage in most countries comes from their access to private information, as indicated by their ability to anticipate future negative news and their trading in unison with insiders.

Scale and Price Efficiency - Updated Jan 2024
with Oleg Chuprinin and Chang-Mo Kang 

Awards: Amery Partners Best Paper Award, 2019 BFCM Conference

Presented at: 2021 CAFM, 2019 Paris December Finance Meeting, 2019 FIRN Annual Meeting, 2019 BFCM Conference, 2019 IFABS Angers Conference, 2019 SIRCA Young Researchers Workshop, UNSW

We describe a mechanism whereby rational learning and trading by investors induce a specific pattern of mispricing in the cross-section of stocks. In equilibrium, less capital-constrained investors allocate proportionately more learning resources to larger stocks and extract more profits, while price efficiency increases monotonically with stock size. Empirical investigation of institutional trading, mutual fund portfolios, and information acquisition activities supports these predictions. In the cross-section of stocks, size tends to explain mispricing better than any explicitly measured friction documented in prior literature, suggesting that most of the variation in mispricing can be attributed to scale-induced incentives.  

Can Slow and Steady Win the Race? Examining Slow and Fast Liquidity Providers in Modern Equity Markets
with Sean Foley and Thomas Ruf

Awards: Best Poster Award, 2019 UNSW Business School Research Fair

Presented at: 2019 AFBC, 2019 SBFC, 2019 UNSW Business School Research Fair

We find that increased speed competition from high-frequency market makers (HFT MMs) reduces but does not entirely eliminate the participation of slower liquidity-providing MMs. The presence of HFT MMs reduces slower MMs’ profits without impacting the profitability of executed trades. These results indicate that HFT MMs do not expose slower MMs to increased adverse selection. However, these findings only hold when the bid-ask spread is constrained by the minimum tick size. Tick-constrained spreads help slower MMs to retain profitability in their market-making business and remain as liquidity providers.