CV (in PDF version)

Education

Ph.D. in Finance, Fuqua School of Business, Duke University, Durham, NC, May 2002.

M.A. in Biology, Wesleyan University, Middletown, CT, May 1998.

Position Held

Associate Professor of Finance (tenured), Department of Economics and Finance, Zicklin School of Business, Baruch College, 2008-present.

Doctoral faculty, Graduate School and University Center, City University of New York, 2007-present.

Visiting Associate Professor, Economics Department, Princeton University, Fall 2008-Spring 2009.

Assistant Professor of Finance, Department of Economics and Finance, Zicklin School of Business, Baruch College, 2002-2007.

Visiting Economist, Federal Home Loan Bank of Des Moines, Des Moines, Iowa, Summer, 1999.

Research Interests

Investor Attention, Learning and Asset Pricing; Market Microstructure and Financial Institutions; Corporate Governance and Executive Compensation.

Publication

Learning with Information Capacity Constraints

Journal of Financial and Quantitative Analysis 40, 2005, 307-329.

Investor Attention, Overconfidence and Category Learning (with Wei Xiong)

Journal of Financial Economics 80, 2006, 563-602.

Is There a Risk-Return Tradeoff? Evidence from High-Frequency Data (with Turan Bali)

Journal of Applied Econometrics, 2006, 21, 1169-1198.

Investor Attention and Time-Varying Comovements (with Tim Bollerslev and Wei Xiong).

European Financial Management, 2007, 13, 394-422.

Executive Pay, Earnings Manipulation and Shareholder Lawsuits (with Ailsa Roell).

Review of Finance, 2008, 12, 141-184.

Manipulation and Equity-Based Compensation (with Ailsa Roell).

American Economic Review, 2008, 98(2): 285-90.

Three chapters ("Market Makers," "Market Liquidity," and "The Structure of Security Markets"), (with Robert A. Schwartz)

The Encyclopedia of Finance, C.F. Lee and A. Lee, Editor, Kluwer Academic Press, 2006.

Working Papers

“Managerial Incentives and Stock Price Manipulation” (with Ailsa Roell)

“A Tale of Two Momentum Anomalies: The Implication of Investor Attention for Price and Earnings Momentum” (with Kewei Hou and Wei Xiong).

Winner of Q-Group Research Award

“The Impact of Joint Participation on Liquidity in Equity and Syndicated Bank Loan Markets” (with Linda Allen and Aron Gottesman).

“Market Structure and Intraday Price Volatility: An Event Study on Nasdaq’s Crosses,” with Michael Pagano and Robert Schwartz).
“R² and Momentum,” (with Kewei Hou and Wei Xiong).

“Time to Digest and Volatility Dynamics,” (with Wei Xiong).
“Effects of Brokers’ Coverage Initiations on Stock Prices: Information and Beyond”.

Course Taught

Zicklin School of Business, Baruch College

Fin 3710, Investment Analysis (Undergraduate & Honors program).
Fin 9783, Investment Analysis (MBA & Honors program).
Fin 830, Asset Pricing (PhD)

Conference Presentations

First Paris spring Corporate Finance Conference “Corporate Finance in the Global Economy”, Paris, May 2009. “Managerial Incentives and Stock Price Manipulation”. (scheduled)
Financial Intermediation Research Society’s 2009 meetings, Prague, the Czech Republic, May 2009. “Managerial Incentives and Stock Price Manipulation”. (scheduled)
2009 Mid-Atlantic Research Conference in Finance meeting in Philadelphia, March 2009. “The Impact of Joint Participation on Liquidity in Equity and Syndicated Bank Loan Markets”.*
Midwest Finance Association Meeting, Chicago, March 2009. “Managerial Incentives and Stock Price Manipulation”.
Annual Meeting of the Financial Management Association, Texas, October 2008, “Market Structure and Intraday Price Behavior: An Event Study on Nasdaq’s Crosses”
Industrial Organization of Securities Markets, Frankford, June 2008, “Market Structure and Intra-Day Price Behavior: An Event Study on Nasdaq's Crosses,”*
“Manipulation and Equity-Based Compensation”, American Economic Association Meeting, New Orleans, January 2008.*
“The Impact of Joint Participation on Liquidity in Equity and Syndicated Bank Loan Markets,” Triple Crown Conference, November, 2007, New York.
“The Impact of Joint Participation on Liquidity in Equity and Syndicated Bank Loan Markets,” Financial Management Association Meeting, October, 2007, Florida.
“A Tale of Two Momentum Anomalies: the Effect of Investor Attention on Stock Market Under- and Overreactions,” the 9^th Texas Finance Festival, April, 2007.*
American Finance Association Meetings, Jan. 2007. “A Tale of Two Anomalies: The Implication of Investor Attention for Price and Earnings Momentum.”*
The 17th Annual Conference on Financial Economics and Accounting, Nov. 2006. “A Tale of Two Momentum Anomalies: the Effect of Investor Attention on Stock Market Under- and Overreactions.”*
NY Fed/NYU conference on Financial Intermediation, November, 2006. “The Impact of Joint Participation on Liquidity in Equity and Syndicated Bank Loan Markets.”
The CRSP Forum 2006, Oct. 2006. “A Tale of Two Momentum Anomalies: the Effect of Investor Attention on Stock Market Under- and Overreactions.”
The Financial Intermediation Society Conference on Banking, Corporate Finance and Intermediation, Shanghai, China, June 2006. “Executive Pay and Shareholder Lawsuits”.
Valuation in Financial Markets, University of California, Davis, April, 2006. “A Tale of Two Anomalies: The Implication of Investor Attention for Price and Earnings Momentum”.*
Western Finance Association Meeting, Portland, Oregon, June 2005. “Executive Pay, Earnings Manipulation and Shareholder Lawsuits”
American Finance Association Meeting, Philadelphia, PA. Jan. 2005. “Executive Pay, Earnings Manipulation and Shareholder Lawsuits”
Center for Economic Policy Research (CEPR) European Summer Symposium in Financial Markets, Gerzensee, Switzerland July 2004. “Executive Pay, Earnings Manipulation and Shareholder Lawsuits”
The Financial Intermediation Society Conference on Banking, Insurance and Intermediation, Capri, Italy, May 2004. “Executive Pay, Earnings Manipulation and Shareholder Lawsuits”*
Corporate Governance at the Crossroads, University of Connecticut School of Law, April 2004. “Executive Pay, Earnings Manipulation and Shareholder Lawsuits”
Western Finance Association Meeting, Los Cabos, Mexico June 2003. “Capacity constrained learning and asset price comovements”
The 2003 Summer Meeting of Econometric Society, Chicago, IL, June 2003. “Learning with Information Capacity Constraints”
The 2003 Summer Meeting of Econometric Society, Chicago, IL, June 2003. “Time to Digest and Volatility Dynamics”
The Microstructure Conference in Honor of David K. Whitcomb, Newark, NJ, Oct. 2002. “Capacity Constrained Learning and Asset Price Comovement”
Frank Batten Young Scholars Conference, Williamsburg, June, 2002. “Learning with Information Capacity Constraints,”
Frank Batten Young Scholars Conference, Williamsburg, June, 2002. “Time to Digest and Volatility Dynamics”
Washington Area Finance Association Meeting, Washington DC, April 2002. “Capacity Constrained Learning and Asset Price Comovement”
Midwest Finance Association Meeting, Chicago, IL, March 2002. “Time to Digest and Volatility Dynamics”
12th Annual Conference on Financial Economics and Accounting, New Brunswick, NJ, Sep. 2001. “Time to Digest and Volatility Dynamics”

* Presented by coauthor.

Discussions

International Finance Conference, Dalian, China, July, 2008. “An Intertemporal Model of Strategic Trading Under Asymmetric Information,” Ming Guo, and Hui Ou-Yang.
Law & Finance Conference: Issues in Executive Compensation, New York, NY, May 2, 2008. “Optimal CEO Incentives and Industry Dynamics,” by Dalida Kadyrzhanova, and Antonio Falato.
North American Winter Meeting of the Econometric Society, Boston, MA, Jan. 2006. “Information Acquisition and Portfolio Under-diversification,” By Stijn Van Nieuwerburgh and Laura Veldkamp
International Finance Conference, Kunming, China. July 2005. “Search and Endogenous Concentration of Liquidity in Asset Markets” by Dimitri Vayanos and Tan Wang
American Finance Association Meeting, Washington, DC, Jan. 2003. “News Spillovers in the Sovereign Debt Market” by Amar Gande and David Parsley
International Finance Conference, Beijing, China, July, 2002. "Empirical Analysis of Predicting Financial Distress for Publicly Traded Companies" by Houqi Zhang, Yuepin Liu and Mingbo Jiang
Midwest Finance Association Meeting, Chicago, IL, March 2002. “Value at Risk Equilibrium Pricing Model” by Guy Kaplanski and Kvoll Yovam

Seminar Presentations

Princeton University, February 2009, “Managerial Incentives and Stock Price Manipulation”.
Fordham University, February 2009, “Managerial Incentives and Stock Price Manipulation”.
Baruch College, Dec. 2008, “Managerial Incentives and Stock Price Manipulation”.
Baruch College, April 2008, “The Impact of Joint Participation on Liquidity in Equity and Syndicated Bank Loan Markets”.
Baruch College, Nov. 2007, “Manipulation and Equity-Based Compensation”.
DePaul University, Oct. 2006, “R² and Price Inefficiency”.
Federal Reserve Bank of Chicago, Oct. 2006, “R² and Price Inefficiency”.
Baruch College, March 2006, “A Tale of Two Anomalies: The Implication of Investor Attention for Price and Earnings Momentum”.
Baruch College, Dec. 2005, “Information Diffusion and Volatility Dynamics”.
Peking University, June 2005, “Executive Pay and Shareholder Lawsuits”.
University of Notre Dame, April 2005, “R² and Momentum”.
Baruch College, March 2005, “R² and Momentum”.
University of Washington, Seattle, Nov. 2004, “Executive Pay, Earnings Manipulation and Shareholder Lawsuits”.
Northwestern University, Aug. 2004, “Executive Pay, Earnings Manipulation and Shareholder Lawsuits”.
Ohio State University, June 2004, “Executive Pay, Earnings Manipulation and Shareholder Lawsuits”.
Baruch College, March 2004, “Executive Pay, Earnings Manipulation and Shareholder Lawsuits”.
University of Hong Kong, January 2004, “Executive Pay, Earnings Manipulation and Shareholder Lawsuits”.
Baruch College, November 2003, “An Investigation of Risk-Return Tradeoff”.
Princeton University, July 2003, “Executive Pay and Shareholder Lawsuits”.
Baruch College, April 2003, “Information Flow and Asset Price Comovement”.
UNC-Chapel Hill macroeconomics workshop, March 2002, “Time to Digest and Volatility Dynamics”.
Baruch College, Feb. 2002, “Learning with Information Capacity Constraints”.
Columbia University, Feb. 2002, “Learning with Information Capacity Constraints”.
Cornell University, Feb. 2002, “Learning with Information Capacity Constraints”.
Indiana University at Bloomington, Feb. 2002, “Learning with Information Capacity Constraints”.
Northwestern University, Feb. 2002. “Learning with Information Capacity Constraints”.
NYU, Feb. 2002, “Learning with Information Capacity Constraints”.
UNC-CH Kenan-Flagler Business School, Feb. 2002, “Learning with Information Capacity Constraints”.
Yale University, Feb. 2002, “Learning with Information Capacity Constraints”.
Federal Reserve Bank, Board of Governors, Jan. 2002, “Learning with Information Capacity Constraints”.
Penn. State University, Jan. 2002, “Learning with Information Capacity Constraints”.
University of Notre Dame, Jan. 2002, “Learning with Information Capacity Constraints”.
Duke University econometrics workshop, Nov. 2001, “Learning with Information Capacity Constraints”.
Duke University Finance workshop, Oct. 2001, “Learning with Information Capacity Constraints”.
Duke University Finance workshop, June 2001, “Time to Digest and Volatility Dynamics”.
Duke University econometrics workshop, May 2001, “Time to Digest and Volatility Dynamics”.

Academic Honors and Awards

Teaching

Award for Teaching Excellence, Baruch College, Zicklin School of Business, 2007
Dean’s Letter for Teaching Excellence, Zicklin School of Business, 2005
Dean’s Letter for Teaching Excellence, Zicklin School of Business, 2004
Dean’s Letter for Teaching Excellence, Zicklin School of Business, 2003

Research

Faculty Recognition Award for research excellence, Baruch College, 2008
Faculty Recognition Award for research excellence, Baruch College, 2007
Faculty Recognition Award for research excellence, Baruch College, 2006

Grants and Fellowships

Professional Staff Congress-CUNY Research Award, 2008
Professional Staff Congress-CUNY Research Award, 2007
Institute for Quantitative Research in Finance (Q-Group) Research Award, 2006
Professional Staff Congress-CUNY Research Award, 2006
Eugene M. Lang Junior Faculty Research Fellowship, 2005
Professional Staff Congress-CUNY Research Award, 2005
Professional Staff Congress-CUNY Research Award, 2004
Professional Staff Congress-CUNY Research Award, 2003
Duke University Doctoral Fellowship, 1997-2002
Ph.D. student fellowship, Wesleyan University, 1995-1997

Professional Activities

Referee

Journal of Political Economy, Journal of Finance, Review of Financial Studies, Journal of the European Economic Association, Review of Finance, Journal of Financial Markets, , Journal of Banking and Finance, Journal of Economic Dynamics and Control, Journal of Empirical Finance, Journal of Financial Econometrics, Financial Review, Southern Economic Journal, Southern Economic Journal, Review of Quantitative Finance and Accounting

Program Committee

Financial Management Association Annual Meeting, 2008.

Conference Session Chair/Moderator

Annual Meeting of the Financial Management Association, Texas, October 2008, “Herding and Investor Behavior”

International Finance Conference, Dalian, China, July, 2008. “Asset Pricing: Empirical V”.

Western Finance Association Meeting, Hawaii, June, 2008. Session chair: “Information Trading”.

The 2003 Summer Meeting of Econometric Society, Chicago, IL, June 2003. Session Chair: “Uncertainty and Information: Theory”

Baruch College Conference: Coping with Institutional Order Flow, NY, NY, April 2003. Session Moderator: “Coping with Institutional Trading Practices”

Baruch College Equity Markets Seminar, NY, NY, November 2003. Session Moderator: “Order Driven & Quote Driven Markets – Discussion” (joint with Robert A. Schwartz)

Grant committee

PSC-CUNY research grant, 2007-2008, 2008-2009.

Eugene Lang Fellowship Committee, 2006-2007, 2007-2008.

Grant Reviewer

National Science Foundation.

PSC-CUNY research foundation

Research Grants Council of Hong Kong.

Member of American Finance Association, Western Finance Association, Econometric Society