I am a Senior Lecturer in Finance at Queen's Business School. My research interests are in factor investing, empirical asset pricing in stock and futures markets, currency market anomalies, and climate finance. I serve as a council member of the Irish Academy of Finance. I also take the role of Finance PGR Coordinator at Queen's Business School organising and delivering training for our PhD students.

I only consider PhD applicants with excellent quantitative skills who are strong with coding (R, Python, etc). I do not accept research proposals in corporate finance/governance.  

Publications (selected):

1. Momentum and the Cross-section of Stock Volatility,  Journal of Economic Dynamics & Control, 2022, with M. Fan, F. Kearney and Y. Li. [SSRN] 

• • Semifinalist in the Best Paper Awards (Category: Investments), FMA 2020

2. A Reexamination of Factor Momentum: How Strong is It?, Financial Review, 2022, with M. Fan, Y, Li and M. Liao. [SSRN]

• • Media: Quantpedia.com

3. Time Series Reversal in Trend-following Strategies, European Financial Management, 2023, with F. Papailias. [SSRN]

4. Return Signal Momentum, Journal of Banking & Finance, 2021, with F. Papailias and D. D. Thomakos. [SSRN] 

Working Papers:

• Optimising Currency Factors, with M. Fan, F. Kearney and Y. Li.

  • FMA Europe 2024, FMA Asia/Pacific 2024, Irish Academy of Finance 2024, CES 2024

• 'MHT-hacking': Implementing Multiple Hypothesis Tests in FX markets, with M. Fan, F. Kearney and Y. Li.

  • FMA Europe 2023, FMA Europe 2022, BAFA 2022, XJTLU AI and Big Data Research 

• Decomposing Basis-Momentum in Currency Market, with M. Fan, X. Han and A. Li

  • EFMA 2023, BAFA 2022, SWUFE SoF, Irish Academy of Finance 2024, CES 2023

Work in Progress:

• Financial Market Reaction to Environmental Policies and Extreme Weather Events, with Fearghal Kearney and Caterina Santi

• Media, Momentum and the UK Stock Market, with Gareth Campbell, Ran Tao and Clive Walker

  • BA/Leverhulme Small Research Grants SRG2022 awarded (£9,994)