Working Papers

  • Read Between the Filings: Daily Mutual Fund Holdings and Liquidity Provision (2018) SSRN Link
    (Job Market Paper)

      Many questions about mutual fund trading require daily holdings, yet mutual funds are only required to report quarterly holdings. I model intraquarter trading and use the genetic algorithm to estimate the trade pattern that is most consistent with the fund's daily reported returns. I validate the model empirically on a sample of institutional trades from Ancerno and I confirm that the method more accurately predicts daily holdings when compared to existing naive assumptions. Further, my method is substantially more accurate in classifying a fund’s tendency to supply liquidity, and this increased precision has important implications for identifying superior performing funds. Specifically, a long-short strategy based on the model’s liquidity provision measures earns significant abnormal returns, while a similar strategy that relies on quarterly holdings does not exhibit any outperformance.

  • The Democratization of Investment Research: Implications for Retail Investor Profitability and Firm Liquidity (with T. Clifton Green, Russell Jame, and Stanimir Markov) (2018) SSRN Link

      We find evidence that crowdsourced investment research facilitates informed trading by retail investors and enhances market liquidity. Specifically, retail order imbalances are correlated with the tone of Seeking Alpha research article, and the ability of retail order imbalances to predict returns is significantly larger on research article days. Firms with exogenous reductions in crowdsourced research coverage experience significant increases in price impact and bid-ask spreads, and the effect is stronger for high retail ownership firms. Our findings suggest that technological innovations have helped democratize access to investment research with important implications for firm liquidity.

  • Price Impact of Share Repurchases

      I use a sample of dual class firms to isolate the magnitude and duration of the demand driven price effect from stock repurchases. In this novel setting, the non-repurchased class serves as a near perfect counter factual to the repurchased stock and controls for any private information about firm value contained in the repurchases. On average, repurchasing 0.5% of shares within a month increases the stock price by 40 bps relative to the non-repurchased class of stock. This demand driven price effect dissipates completely over the subsequent two months unless extended by continued repurchases.