Research

Refereed publications, working papers, and work in progress.

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Refereed publications & book chapters

1. United they fall: Bank risk after the financial crisis
   with Amiyatosh Purnanandam
   Review of Financial Studies Forthcoming
2. International spillover of bank liquidity shocks: Does organizational structure of global banks matter?
   with Elvis Jarnecic and George Issa
   Journal of Banking and Finance, 186 (May 2026)
3. Does being ethical pay: Evidence from the implementation of SOX Section 406
   with Saurabh Ahluwalia, Linda Ferrell, and O.C. Ferrell
   Journal of Business Research, 183 (October 2024)
4. Treasury yield implied volatility and real activity
   with Martijn Cremers and Matthias Fleckenstein
   Journal of Financial Economics, 140 (2), May 2021
5. Equity is cheap for large financial institutions
   with Hanno Lustig and Alberto Plazzi
   Review of Financial Studies, 33 (9), January 2020
6. A taxonomy of financial market misconduct
   with Ai Deng
   In Corruption and Fraud in Financial Markets, eds. Carol Alexander & Douglas Cummings, Wiley, June 2020
7. The analytics of financial market misconduct
   with Ai Deng
   In Corruption and Fraud in Financial Markets, eds. Carol Alexander & Douglas Cummings, Wiley, June 2020
8. Financial market misconduct and public enforcement: The case of Libor manipulation
   with Benjamin Golez, Jens C. Jackwerth, and Alberto Plazzi
   Management Science, 65 (11), February 2019
9. Using annual report sentiment as a proxy for financial distress in U.S. banks
   with Tim Loughran and Bill McDonald
   Journal of Behavioral Finance, 20 (4), March 2019
10. The relation between credit growth and the expected returns of bank stocks
    European Financial Management, Special Issue: Corporate Policies and Asset Prices, 24 (4), September 2018
11. Size anomalies in U.S. bank stock returns
    with Hanno Lustig
    Journal of Finance, 70 (2), April 2015
12. The origins and intent of the Volcker rule
    In Perspectives on Dodd-Frank and Finance, ed. Paul H. Schultz, MIT Press, 2014
13. Counterparty credit risk and the credit default swap market
    with Navneet Arora and Francis Longstaff
    Journal of Financial Economics, 103 (2), February 2012

Working papers

1. Awaiting the prompt? Generative AI uncertainty and firm-level investment
   with Simi Kedia, Juntai Lu, Jasper Pan, and Jia Wei
2. Equity prices the opportunity, debt prices the risk: Generative AI and corporate credit spreads
   with Juntai Lu, Jasper Pan, Alberto Plazzi, and Jia Wei
3. Bank convexity risk: How interest rate uncertainty impacts banks
   with Martijn Cremers and Darius Palia
4. The information premium in asset prices: Evidence from the credit default swap market
   with Pierre Collin-Dufresne, Alberto Plazzi, and Jovan Stojkovic
5. Tax policy uncertainty and asset prices: Evidence of dual-class corporate bonds in the early 20^th century
   with Paul Gao and Matthias Fleckenstein
6. Does a market for credit protection increase employment risk?
   with Guo Chen and Simi Kedia
7. From the depression of 1873 to the recession of 2007: Bank credit, macroeconomic risk, and equity returns
8. Do "measures" of bank diversification measure up?
   with Darius Palia and Jasper Pan

Work in progress

1. Measuring the capital structure of banks
   with Stefan Nagel and Amiyatosh Purnanandam
2. Treasury yield implied volatility and the cross-section of returns
   with Martijn Cremers
3. The cost of capital for banks
   with Darius Palia and Jasper Pan

Permanent working papers

1. Reply to Amit Goyal's comment, "No size anomalies in U.S. bank stock returns"
   with Hanno Lustig
2. On identifying commercial banks in CRSP
   with Hanno Lustig