Ph.D. Candidate, Financial Economics

Yale School of Management

Thank you for visiting my website at the Yale School of Management.

Contact Information

Curriculum Vitae

Research Interests

Behavioral Finance, Empirical Asset Pricing, Investment Management, Financial Institutions

Working Papers

"The Momentum Gap and Return Predictability" (Job Market Paper)

Momentum strategies have historically delivered high Sharpe ratios and large positive alphas. However, returns to these strategies also display significant time-variation that is not very well understood. I show that expected momentum returns vary negatively and monotonically with the formation period return difference between past winners and losers, which I term the momentum gap. A one standard deviation increase in the momentum gap predicts a 1.29 percent decrease in the monthly momentum return after controlling for existing predictors. The momentum gap remains a significant predictor in out-of-sample tests. Conditional momentum strategies using the momentum gap yield substantially higher Sharpe ratios and lower skewness than the unconditional strategy. These findings are less consistent with the notion that past return proxies for the loading on a priced risk factor. I find evidence to support the alternative hypothesis that momentum is a mispricing phenomenon and that the momentum gap measures momentum arbitrage activity.

"Momentum in Imperial Russia" (with William N. Goetzmann)

We use a hand-collected dataset from the St. Petersburg Stock Exchange in the 19th and early 20th century to test hypotheses about momentum. The entirely out-of-sample data has the virtue of different institutional context. In our sample, past medium-term winners outperform past medium-term losers by as much as 9.2% per annum. We find a change in momentum profits around the time of increasing speculation in the Russian market, indicating that momentum profits can have sustained secular shifts. As the market participants were mostly wealthy individuals, our results show that the existence of delegated management is not a necessary condition for price continuation patterns. In addition, we ask whether extreme crashes are an inherent characteristic of the momentum trade and we find no serious crashes in the data extending more than 40 years. Our evidence, therefore, is inconsistent with theories that attribute high momentum profits to compensation for bearing downside risk.

"Short Interest Announcements and Delayed Arbitrage"

This paper provides evidence for a synchronization-based explanation as to how stocks with high short interest subsequently underperform. Consistent with the notion that short interest proxies for the amount of suppressed negative opinions, I find that highly shorted stocks underperform reliably using a newly available, large dataset of monthly reported short interest spanning 34 years. Using both parametric and nonparametric event study methodologies, I show that: 1) highly shorted stocks show significant cumulative abnormal returns only after short interest announcements; and 2) short-sales increase significantly for highly shorted stocks immediately after short interest announcements. Taken together, these results suggest that arbitrageurs use short interest announcements as a coordination mechanism to correct overvaluation.

Work in Progress

"The Industry Expertise of Mutual Fund Managers" (with Lei Xie)

"Firm Boundaries and Predictable Returns"

"Managerial Incentives and Investment Anomalies"


William N. Goetzmann (chair)
Edwin J. Beinecke Professor of Finance and Management Studies
Yale School of Management
william.goetzmann AT
(203) 432-5950

Nicholas C. Barberis
Stephen and Camille Schramm Professor of Finance
Yale School of Management
nick.barberis AT
(203) 436-0777

Andrew Metrick
Deputy Dean for Faculty Development and
Michael H. Jordan Professor of Finance and Management
Yale School of Management
metrick AT
(203) 432-3069

Jacob K. Thomas
Williams Brothers Professor of Accounting and Finance
Yale School of Management
jacob.thomas AT
(203) 432-5977