Today, I made the following updates to my research page:

1) Uploaded my new paper, Passive Ownership and the Stock Market. This paper shows that rising passive ownership has reduced the firm-specific earnings information in stock prices.

2) Added slides for What Triggers National Stock Market Jumps?, presented at SITE in August, 2018. The biggest new finding is that volatility and trading volume are lower after jumps with high clarity. We define clarity as the first principal component of (1) agreement across newspapers describing the same jump (2) how confidently the journalist advanced their explanation (3) how easy it was to categorize the article (4) the share of newspapers that give an explanation for the jump (i.e. the share of newspapers that did not have ‘unknown & no explanation’ coding).

3) Added an abstract for a new paper Trade Policy Uncertainty and Stock Market Returns, joint with Marcelo Bianconi and Federico Esposito. We use the U.S. government granting China Permanent Normal Trade Relations (PNTR) in 2000 as a resolution of tariff uncertainty. The main result is that stocks exposed to more tariff uncertainty before the shock have relatively low returns after uncertainty was resolved.