I am an assistant professor of finance at the University of Illinois at Urbana-Champaign.
H.L. Mencken once claimed that puritanism is nothing more than the sneaking suspicion that somebody somewhere might be having a good time. If this is true, then being a good arbitrageur is much harder than being a good puritan. It’s not enough for arbitrageurs to suspect that some asset somewhere in the market might be mispriced. They’ve got to be able find this pricing error. They’ve got to be able to verify that it’s actually an error. And, they’ve got to be able to do both these things before this arbitrage opportunity winks out of existence. My research investigates the consequences of this simple observation for the fields of asset pricing, behavioral finance, and real-estate finance.
Phone: (916) 709-9934