Research

Research Interests

  • Market microstructure
  • International finance
  • Asset pricing
  • Volatility in financial markets

Publications

  • "Exchange rate variability and the riskiness of U.S. multinational firms: Evidence from the breakdown of the Bretton Woods system," with G.M. Bodnar (Wharton) and E. Bartov (NYU), Journal of Financial Economics, 42, 105-132 (September 1996).

Research In Progress

  • "Inelastic supply of derivative securities: Evidence from the option markets," with R.M. Edelen (Wharton).
  • "Demand curves for stocks do slope down: Evidence from an index weights readjustment," with V. Mehrotra and R. Morck (University of Alberta).
  • "Market activity before volatile periods: A reassessment of the non-trading risk hypothesis."
  • "Private Information, Noisy Prices, and Trading: A Closer Look."