Research

Research Interests

Primary Fields: Asset Pricing, Market Microstructure, Financial Econometrics, Portfolio Management.

Secondary Fields: Artificial Intelligence, Machine Learning, Big Data.

Working Papers

  1. "Revisiting Boehmer et al. (2021): Recent Period, Alternative Method, Different Conclusions" , with D. Ardia and C. Aymard.

Selected Publications

  1. "Reaction of Stock Returns to News about Fundamentals" , Management Science, vol. 61, no. 5, 2015, p. 1072–1093.
  2. "Bid versus Ask Liquidity in the NYSE Limit Order Book" , with G. Grass, Journal of Financial Markets, 38, 2018, 14–38.
  3. "Do Return Prediction Models Add Economic Value?" , with A. Timmermann, Journal of Banking and Finance, vol. 36, no. 11, 2012, p. 2974–2987.
  4. "Return Decomposition over the Business Cycle" , Journal of Banking and Finance, vol. 143, 2022, article 106592.
  5. "Time Variation in Cash Flows and Discount Rates" , with D. Ibrushi, Journal of Financial Econometrics, vol. 21, no. 5, 2023, p. 1557–1589.

All Academic Publications

Publications by Chronological Order

  1. “Revisiting Boehmer et al. (2021): Recent Period, Alternative Method, Different Conclusions” , with D. Ardia and C. Aymard, Financial Markets and Portfolio Management, forthcoming.
  2. "Examining high-frequency patterns in Robinhood users' trading behavior" , with D. Ardia and C. Aymard, International Review of Financial Analysis, vol. 105, 2025, p. 1–16.
  3. "Limit Order Book Shape and Return Distribution" , with G. Grass, Journal of Forecasting, vol. 43, no. 8, 2024, p. 2982–3008.
  4. “Time Variation in Cash Flows and Discount Rates” , with D. Ibrushi, Journal of Financial Econometrics, vol. 21, no. 5, 2023, p. 1557–1589.
  5. “Should We Feed the Trolls? Using Marketer-Generated Content to Explain Average Toxicity and Product Usage” , with M. V. Nepomuceno, H. Rahemi and L. Charlin, Journal of Interactive Marketing, vol. 58, no. 4, 2023, p. 440–462.
  6. “Return Decomposition over the Business Cycle” , Journal of Banking and Finance, vol. 143, 2022, article 106592.
  7. "Asymmetric Effects of the Limit Order Book on Price Dynamics" , with G. Dionne and X. Zhou, Journal of Empirical Finance, vol. 65, 2022, p. 77–98.
  8. "A Model for Investigating the Impact of Owned Social Media Content on Commercial Performance and its Application in Large and Mid-sized Online Communities" , with M. V. Visconti and M. V. Nepomuceno, Journal of Marketing Management, vol. 36, no. 17–18, 2020, p. 1762–1804.
  9. “Predicting Systematic Risk with Macroeconomic and Financial Variables” , with D. Ibrushi, Journal of Financial Research, vol. 43, no. 3, 2020, p. 649–673.
  10. “An Analysis on the Predictability of CAPM Betas for Momentum Returns” , with N. Papageorgiou, J. Reeves and H. Wu, Journal of Forecasting, vol. 38, no. 2, 2019, p. 136–153.
  11. “Conventional Monetary Policy and the Term Structure of Interest Rates during the Financial Crisis” , with D. Larocque and M. Normandin, Macroeconomic Dynamics, 22 (8), 2018, 2032–2069.
  12. “CAPM, Components of Beta and the Cross Section of Expected Returns” , with J. Reeves, Journal of Empirical Finance, 49, 2018, 223–246.
  13. “Bid versus Ask Liquidity in the NYSE Limit Order Book” , with G. Grass, Journal of Financial Markets, 38, 2018, 14–38.
  14. “Beta Forecasting at Long Horizons” , with F. de Oliveira Ferrazoli Ribeiro and J. Reeves, International Journal of Forecasting, 33 (4), 2017, 936–957.
  15. "Monthly Beta Forecasting with Low, Medium and High Frequency Stock Returns" , with Q. Liu, J. Reeves and H. Wu, Journal of Forecasting, vol. 35 (6), 2016, p. 528–541.
  16. “Assessing the Value of Power Interconnections under Climate and Natural Gas Price Risks” , with P.-O. Pineau and D. Dupuis, Energy, vol. 82, 2015, p. 128–137.
  17. “Reaction of Stock Returns to News about Fundamentals” , Management Science, vol. 61, no. 5, 2015, p. 1072–1093.
  18. “Do Return Prediction Models Add Economic Value?” , with A. Timmermann, Journal of Banking and Finance, vol. 36, no. 11, 2012, p. 2974–2987.
  19. “The Effect of Monetary Policy on Credit Spreads” , with B.-O. Essid, Journal of Financial Research, vol. 35, no. 4, 2012, p. 581–613.
  20. “Size, Book-to-Market Ratio, and Macroeconomic News” , Journal of Empirical Finance, vol. 18, no. 2, 2011, p. 248–270.
  21. “Forecasting (Aggregate) Demand for U.S. Commercial Air Travel” , with R. T. Carson and R. A. Parker, International Journal of Forecasting, vol. 27, no. 3, 2011, p. 923–941.

Publications by Topic

Market Microstructure

  1. "Revisiting Boehmer et al. (2021): Recent Period, Alternative Method, Different Conclusions" , with D. Ardia and C. Aymard, Financial Markets and Portfolio Management, forthcoming.
  2. "Examining high-frequency patterns in Robinhood users' trading behavior" , with D. Ardia and C. Aymard, International Review of Financial Analysis, vol. 105, 2025, p. 1–16.
  3. "Limit Order Book Shape and Return Distribution" , with G. Grass, Journal of Forecasting, vol. 43, no. 8, 2024, p. 2982–3008.
  4. "Asymmetric Effects of the Limit Order Book on Price Dynamics" , with G. Dionne and X. Zhou, Journal of Empirical Finance, vol. 65, 2022, p. 77–98.
  5. "Bid versus Ask Liquidity in the NYSE Limit Order Book" , with G. Grass, Journal of Financial Markets, 38, 2018, 14–38.

Asset Pricing

  1. "Time Variation in Cash Flows and Discount Rates" , with D. Ibrushi, Journal of Financial Econometrics, vol. 21, no. 5, 2023, p. 1557–1589.
  2. "Return Decomposition over the Business Cycle" , Journal of Banking and Finance, vol. 143, 2022, article 106592.
  3. "Reaction of Stock Returns to News about Fundamentals" , Management Science, vol. 61, no. 5, 2015, p. 1072–1093.
  4. "Size, Book-to-Market Ratio, and Macroeconomic News" , Journal of Empirical Finance, vol. 18, no. 2, 2011, p. 248–270.

Financial Econometrics

  1. "Conventional Monetary Policy and the Term Structure of Interest Rates during the Financial Crisis" , with D. Larocque and M. Normandin, Macroeconomic Dynamics, 22 (8), 2018, 2032–2069.
  2. "Monthly Beta Forecasting with Low, Medium and High Frequency Stock Returns" , with Q. Liu, J. Reeves and H. Wu, Journal of Forecasting, vol. 35 (6), 2016, p. 528–541.
  3. "Beta Forecasting at Long Horizons" , with F. de Oliveira Ferrazoli Ribeiro and J. Reeves, International Journal of Forecasting, 33 (4), 2017, 936–957.
  4. "CAPM, Components of Beta and the Cross Section of Expected Returns" , with J. Reeves, Journal of Empirical Finance, 49, 2018, 223–246.
  5. "An Analysis on the Predictability of CAPM Betas for Momentum Returns" , with N. Papageorgiou, J. Reeves and H. Wu, Journal of Forecasting, vol. 38, no. 2, 2019, p. 136–153.
  6. "Predicting Systematic Risk with Macroeconomic and Financial Variables" , with D. Ibrushi, Journal of Financial Research, vol. 43, no. 3, 2020, p. 649–673.
  7. "Do Return Prediction Models Add Economic Value?" , with A. Timmermann, Journal of Banking and Finance, vol. 36, no. 11, 2012, p. 2974–2987.

Machine Learning, AI and Big Data

  1. "Should We Feed the Trolls? Using Marketer-Generated Content to Explain Average Toxicity and Product Usage" , with M. V. Nepomuceno, H. Rahemi and L. Charlin, Journal of Interactive Marketing, vol. 58, no. 4, 2023, p. 440–462.
  2. "A Model for Investigating the Impact of Owned Social Media Content on Commercial Performance and its Application in Large and Mid-sized Online Communities" , with M. V. Visconti and M. V. Nepomuceno, Journal of Marketing Management, vol. 36, no. 17–18, 2020, p. 1762–1804.
  3. "Forecasting (Aggregate) Demand for U.S. Commercial Air Travel" , with R. T. Carson and R. A. Parker, International Journal of Forecasting, vol. 27, no. 3, 2011, p. 923–941.

Non-Academic Publications