RESEARCH

Working papers


Presentations: NFA 2024, MIT GCFP’s 11th Annual Conference 2024, SFA 2024

I examine the role of In-The-Money (ITM) options, a relatively underexplored yet economically significant segment of the options market, characterized by higher dollar investment. Using a unique options database, I find that ITM trading is concentrated in large-cap stocks, short-maturity options, and is strongly correlated with retail investor activity on social media. Despite their low leverage, ITM options attract unsophisticated investors who view them as bets with a higher probability of exercise and consistent, albeit smaller, profits compared to lottery-like Out-of-the-Money (OTM) options. However, these investors often underperform, as they tend to trade ITM options during periods of increased attention and high stock volatility. I propose a model suggesting an optimal short-term strategy for such investors investing in ITM options, providing new insights into their trading behavior and performance.



With Charles Martineau and Jordi Mondria

Presentations: Future of Financial Information Conference 2023, Transatlantic Doctoral Conference London Business School 2023, Northern Finance Association Annual Meeting 2023, Midwest Finance Association Annual Meeting 2024, FMA 2024.

Media attention: Rotman Insights Hub.

Social media attention before earnings announcements is overly optimistic, fails to predict fundamentals, and generates buying pressure, leading to a 58 bps stock return as intermediaries seek higher returns for providing liquidity. Such price pressure distorts the price informativeness of fundamentals. A return reversal occurs immediately following announcements as markets correct mispricing. How stock prices respond to earning news is endogenous to the effect of social media in the pre-announcement price formation. A pre-announcement trading strategy based on expected social media attention yields 40 bps monthly alphas. When noise trading is systematically driven, it can deter liquidity provision and price revelation.


Pre Ph.D. research


Advisor Charles Calomiris

This thesis aims to find evidence of the “fear of floating” in three Latin American countries: Mexico, Chile, and Brazil. By considering the role of the exchange rate in their monetary policy and describing it as an augmented forward-looking Taylor Rule with interest rate smoothing. If the Taylor Rule does not describe the behavior of their target rates, then evidence of “fear of floating” will be found.



With several members of the Study Group established by the Markets Committee,


This report presents the Group’s findings. Among other sources, it is based on information from structured interviews with market participants, a Markets Committee workshop in January 2018, and a survey of central banks’ current and planned initiatives in market monitoring. The report highlights key recent developments in market structure, includes statistics on notable trends, and outlines the priorities and approaches of central banks in undertaking near-time and medium-term market monitoring.