Assistant Professor of Finance
Mendoza College of Business, University of Notre Dame
221 Mendoza, Notre Dame IN, 46556
Publications and Accepted Papers
- Dissecting Characteristics Nonparametrically, with Joachim Freyberger and Michael Weber, Review of Financial Studies, accepted for publication
- Market Reaction to Corporate Press Releases, with Anna Scherbina and Bernd Schlusche, Journal of Financial and Quantitative Analysis, 48, 1207-1240, 2013.
- Growth Optimal Investment Strategy: The Impact of Reallocation Frequency and Heavy Tails, with Günter Bamberg, German Economic Review, 13, 228–240, 2012.
- Data Snooping and Market-Timing Rule Performance, with Bernd Schlusche, Journal of Financial Econometrics, 9, 550-581, 2011.
- On the non-existence of conditional value-at-risk under heavy tails and short sales, with Günter Bamberg, OR Spectrum, 32, 49-60, 2010.