Research

Published Papers

The Accounting Review (2024)

Abstract: We examine the effects of stock market access, and in particular trading hours, on retail investment performance. Using discontinuities around time zone borders, we find that plausibly exogenous decreases in waking trading hours are associated with meaningful increases in retail investors’ capital gains, as reported on tax returns for the U.S. population. Our results indicate that limiting trading hours curbs active retail trading, leading to improvements in portfolio performance. Our findings identify one negative effect of decreasing barriers to entry for retail investors in trading markets.
Figure Highlight: Density plot of EDGAR downloads geomapped by timezone. Information acquisition shifts with local social time, not just market hours (noted by red vertical lines).

Management Science (2026)

Abstract: Tax wash sale rules prohibit the recognition of capital losses when substantially identical securities are sold and immediately repurchased within short windows. This study examines whether institutional investors use ETFs to circumvent wash sale rules. Consistent with tax-motivated demand for ETFs, incumbent ETFs both create more shares and experience more trading volume upon the introduction of nearly identical ETFs, particularly when recent returns are negative. We show tax-sensitive institutions’ investment in highly correlated ETFs has proliferated in recent years, exceeding a quarter of their AUM. Furthermore, tax-sensitive institutions holding more ETFs are significantly more likely to engage in swapping nearly identical ETFs. This swapping behavior has become widespread, with tax-sensitive institutional investors swapping $417 billion of nearly identical ETFs since 2001. We estimate that tax-sensitive institutions realized more than $84 billion dollars in losses in highly correlated ETFs associated with the swapping activity since 2001.
Figure Highlight: Proportion of institutional trading volume devoted to swapping between Highly Correlated (>.99) ETFs. Tax Sensitive institutions engage in significantly more swapping as a percent of their trading activity.

Working Papers

Abstract: Retail investors are often treated as a homogeneous group. I examine the extent and implications of differences in trading judgments within the retail class. I identify a sophisticated subset (the "Savvy") and an unsophisticated subset (the "Naïve") who trade in starkly different ways in response to the same information about the same firms. The Savvy type appears to process firm disclosures and makes trading judgments consistent with the sign of the news (i.e., buying good news and selling bad news). The Naïve type trades in the opposite direction, buying bad news and selling good news. I also examine each type's judgments about the timeliness and costliness of their trades. I find that even the Savvy type's trades are too late and too expensive to earn returns exceeding transaction costs. These findings suggest generalizations about "retail investor behavior" by academics and regulators risk overlooking meaningful and predictable differences within this investor class.
Figure Highlight: Savvy and Naïve type trade imbalance in response to a bad news firm disclosure at t = 0. Opposite response to the same information.

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