Working Papers

„Recovering the Information Flow from Prices“ – with Julien Cujean.
We propose a novel method that recovers the flow of private information to the market based on which it constructs a direct measure of price informativeness. This measure captures informed trading, predicts inefficiencies and return surprises ahead of informational events, helps time HML, and indicates that, since the late 1990s, markets have become markedly more inefficient in the post-pandemic period.

„Asset Pricing on FOMC Announcements“ – with Julien Cujean.
Examining asset-pricing facts around FOMC announcements requires conditioning on good and bad news, and market noise. The pre-announcement drift is mostly present and highly informative upon good news, and the striking way in which facts have changed in the last decade corresponds to an equilibrium shift related to the rise of market noise despite the Fed’s improved guidance.