RESEARCH INTERESTS  (read more):
 

Information Economics, International Finance, Market Microstructure

 
MAIN PUBLICATIONS  (read more):



The On-The-Run Liquidity Phenomenon, with Clara Vega
Journal of Financial Economics (2009), 92, pp. 1-24 (Lead Article).



Does Asymmetric Information Drive Capital Structure Decisions?, with Sreedhar Bharath and Guojun Wu
Review of Financial Studies (2009), 22, pp. 3211-3243.



On the Volatility and Comovement of U.S. Financial markets 
Around Macroeconomic News Announcements, with Menachem Brenner and Marti Subrahmanyam
Journal of Financial and Quantitative Analysis (2008), forthcoming.



The Anatomy of Financial Crises: Evidence from the Emerging ADR Market
Journal of International Economics (2008), 76, pp. 193-207.



Updating Expectations: An Analysis of Post-9/11 Returns, with Jarl Kallberg and Crocker Liu
Journal of Financial Markets (2008), 11, pp. 400-432.



Time-Series and Cross-Sectional Excess Comovement in Stock Indexes, with Jarl Kallberg
Journal of Empirical Finance (2008), 15, pp. 481-502.



Informed and Strategic Order Flow in the Bond Markets, with Clara Vega
Review of Financial Studies (2007), 20, pp. 1975-2019.



Imperfect Competition, Information Heterogeneity, and Financial Contagion
Review of Financial Studies (2007), 20, pp. 391-426.



Informative Trading or Just Costly Noise? An Analysis of Central Bank Interventions
Journal of Financial Markets (2007), 10, pp. 107-143 (Lead Article).



An Examination of the Asian Crisis: Regime Shifts in Currency and Equity Markets, with Jarl Kallberg and Crocker Liu
Journal of Business (2005), 78, pp. 169-211.



Regime Shifts in Asian Equity and Real Estate Markets, with Jarl Kallberg and Crocker Liu
Real Estate Economics (2002), 30, pp. 263-291.

 
WORKING PAPERS  (read more):



Strategic Cross-Trading in the U.S. Stock Market (2009), with Clara Vega
Revise and Resubmit, Journal of Financial Economics.



Prospect Theory and Market Liquidity (2009)
Revise and Resubmit, Journal of Finance.



Central Bank Intervention and the Intraday Process of Price Formation in Currency Markets (2009)
Second Round, Journal of International Money and Finance.



On the Price Comovement of U.S. Residential Real Estate Markets (2009), with Jarl Kallberg and Crocker Liu
NEW PAPER



Is There Timing Ability in the Currency Market? Evidence from ADR Issuances (2006), with Kathy Yuan and Qiaoqiao Zhu

 
SELECTED MEDIA MENTIONS:


Financial Crisis Panel
Ross School of Business, October 10, 2008.


Crisis has hit home, University of Michigan experts say
Ann Arbor News, October 10, 2008.


Stock Market Crash: Understanding the Panic
Business Week, October 10, 2008.


Stocks: A Place Called Vertigo
Business Week, March 18, 2008.


Remembering Black Monday
CIO Magazine, October 18, 2007.


Lessons from the ’87 Crash
Business Week, October 11, 2007.


Markets: Keeping the Bears at Bay
Business Week, August 10, 2007.


Il "pacchetto Paulson" e la democrazia alle corde
NewsItaliaPress (in Italian), September 24, 2008.


Tremonti: Speculazione finanziaria? "La peste del secolo"
NewsItaliaPress (in Italian), July 15, 2008.

 
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