Publications

Empirical Asset Pricing & International Finance

• Demographic Trends, the Dividend-Price Ratio and the Predictability of Long-Run Stock Market Returns (joint with Carlo A. Favero and Andrea Tamoni), Journal of Financial and Quantitative Analysis, 2011, vol. 46 (5), 1493-1520. JFQA link, VOX article, CFA digest.

• Demographics and the Behaviour of Interest Rates (with Carlo A. Favero and Haoxi Yang), IMF Economic Review, 2016, vol 64(4), 732-776. Presented at 'Secular Stagnation, Growth and Real Interest Rates' Conference in Florence and at SoFiE conference in Hong Kong, SSRN link, Springer link.

• Global Political Risk and Currency Momentum (with Ilias Filippou and Mark P. Taylor), Journal of Financial and Quantitative Analysis, 2018, 53, 5, 2227-2259. SSRN link of the paper, presented at 2015 FMA European Conference in Venice, 2015 International French Finance Conference, 2015 China International Conference in Finance (CICF), 2015 Finance Forum in Madrid.

• Stock vs. Bond Yields, and Demographic Fluctuations (with Annaig Morin), Journal of Banking and Finance, 2019, 109, ScienceDirect link, Online Appendix. Presented at the University of Piraeus, 2018. Core Magazine summary

• Exchange Rates and Binary Political Events (with Pedro Venturi, Alex Ferreira and Yujing Gong), Oxford Economic Papers, Volume 76, Issue 3, 2024, Pages 797–822.  Presented at the Brazilian Economics Meeting 2017, the University of Sao Paulo.

• New ETF Arbitrage and International Diversification (with Ilias Filippou and Hari Rozental), available on SSRN, accepted for presentation at the AFA 2022 (Boston), presented at FMA 2019, CICF 2019, Finance Forum 2019, Fulcrum Asset Management, Hebrew University of Jerusalem 2019. Media Coverage: seekingalpha.com, quantpedia,institutional-money.com., Semi-finalist for Best Paper Award in Investments, FMA 2019, forthcoming in Journal of Banking and Finance.

      Market Microstructure

• Lot Size Constraints and Market Quality: Evidence from the Borsa Italiana (joint with Pietro Perotti, Barbara Rindi and Roberta Fredella), Financial Management, 2015, vol. 44 (4), 905-945. SSRN link of the paper, FM link.

• Intraday Rallies and Crashes: Spillovers of Trading Halts (with Bei Cui), International Journal of Finance and Economics, 2016, 21(4), 472-501. Presented at the FIRN UTS Market Microstructure Meeting in Sydney, SSRN link, FMA Asia/Pacific CMCRC Research Award.

• Banning Dark Pools: Venue Selection and Investor Trading Costs (with Christian Neumeier, Peter Hoffmann, Peter O'Neill, and Felix Suntheim), FCA Occasional Paper,  Media Coverage: Reuters, presented at the EFA 2021,  Journal of Financial Markets, Volume 65, 2023, 100831.

      Experimental Finance

• Pre-trade Transparency and Informed Trading: Experimental Evidence on Undisclosed Orders, Journal of Financial Markets, 2016, 28, 91-115, SSRN link, ScienceDirect link.

       Book Chapter

• Empirical and Experimental Research on Transparency and Disclosure, Chapter 20 in Market Microstructure in Emerging and Developed Markets edited by Kent Baker and Halil Kiymaz, Kolb Series in Finance, 2013.

Household Finance

• Initial Returns and Stock Market Re-Entry Decisions (with Ozlem Arikan, Gi Kim and Hiroaki Sakaguchi), European Journal of Finance, 2019, 25, 10, 883-909. Presented at FMA European Conference in Helsinki, FMA Asia Pacific Conference in Sydney, 2016 Finance Forum in Madrid, and World Finance Conference in New York, SSRN.

Interdisciplinary Research

• The American Spirit: The Performativity of Folk Economics in Global Financial Markets (with Emre Tarim and Gulnur Muradoglu, forthcoming in EPA: Economy and Space.

Personal

• My Journey on the Sephardic Route,  in This is My New Homeland Life Stories of Turkish Jewish Immigrants - IV edited by Rifat Bali, Libra Kitap, 2019.