Research

Job Market Paper

Awkward Silence: Is Manager Hesitation Informative?

Teaser Figure Abstract:I investigate whether managers’ hesitations provide insights into the future behavior of investors and analysts. Hesitation is defined as the response time (RT) between analyst questions and managerial answers, measured using AI-based speaker diarization and transcript alignment over 7,000 S&P 500 earnings calls (2019–2023). I find that longer RT is associated with lower contemporaneous and 1-quarter-ahead cumulative abnormal returns. A split sample analysis provides empirical evidence for the information uncertainty explanation of Post-Earnings Announcement Drift (PEAD). Analysts revise earnings forecasts downward and show increased uncertainty through higher dispersion. RT does not predict earning surprises, consistent with analysts promptly incorporating the hesitation signal. This paper shows that managerial response time is an additional non-verbal information channel.

Working Papers

Growth of Income Funds and Fade of Volatility: A Study of Inelastic Option Supply and Market Impact with Taeyoung Park

Teaser Figure 2 Abstract: We examine whether the rapid growth of income funds employing covered-call strategies generates non-informational supply pressure that affects market outcomes. Using N-PORT disclosures, we show that aggregate call selling predicts lower future implied and realized volatility, as well as lower option returns. This predictability is driven by non-informational supply pressure from repetitive overwrite funds. We further show that investor inflows into repetitive overwrite funds intensify this supply pressure, unlike discretion-based flows. These findings extend demand-based asset pricing by showing that flow-driven, inelastic option supply compresses option premia.

Leniency Laws and Lucrative Trades: The Impact of Antitrust Policy on Insider Profits with Berk Yayvak and Vikram Nanda

Teaser Figure 3 Abstract: We study the impact of antitrust enforcement on insiders' trading profits. The notion is that trading profits and product market collusion are related because collusion enhances insiders' informational advantage. Using staggered crosscountry adoption of leniency laws, we show stronger enforcement curbs trading profits. Likewise, trading profits increase when enforcement decreases due to nearby DOJ office closures. Sensitivity of trading profits to antitrust enforcement varies with a firm's likely role in collusive arrangements, its monitoring effectiveness, degree of information asymmetry between insiders and outsiders, and the industry's propensity for collusion. We also document that stronger antitrust enforcement lowers the informativeness of insider trades.

Publications

Estimating the hedging value of an energy exchange in Turkey to a retail power consumer with Anastasia Shcherbakova

Energy, 2016, Vol. 101, pp. 16–26.

Work in Progress

Can textual and vocal cues help predict the likelihood of collusive behavior?