Beta Ambiguity and Asymmetric Mispricing

After bad market news, the empirical Security Market Line is steep and closely aligned with the CAPM, while after good news it slopes downward. I show that beta ambiguity can account for this asymmetry and generates new predictions for betting-against-beta strategies.

Recovering the Information Flow from Prices

with Julien Cujean

We develop a new measure of the flow of private information to the market and use it to quantify price informativeness. The measure captures informed trading and helps identify market inefficiencies.

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.