A novel corporate bond transaction costs analysis determines which systematic bond strategies remain profitable when fund size increases.
Financial Analysts Journal (forthcoming), 2024.

Among the two primary liquidity providers in OTC corporate bond trading—dealers and institutional investors—the latter are more exposed to adverse selection.
Journal of Financial Markets, 2024.

The paths that researchers choose for analysis are a source of an additional sizable error: non-standard error.
Journal of Finance (forthcoming), 2024.

Issuers do not exercise embedded bond call options timely. Following such missed call opportunities, the bond value increases.
Working paper, 2023.

Bond trading activity evolves in slow-moving, predictable waves with implications for bond liquidity and returns.
Working Paper, 2018.

The part of credit risk premium orthogonal to the state of the economy predicts bond market returns better than the risk premium itself.
Working Paper, 2017.


  • “The Low Frequency Trading Arms Race: Machines Versus Delays” by Dickerson, Nozawa, and Robotti (Bristol Financial Markets Conference 2024, scheduled)
  • “The Cross-Section of Corporate Bond Returns” by Muskens, Verwijmeren, and Baltussen (FMA Europe 2024, scheduled)
  • “Passive Demand and Active Supply: Evidence from Maturity-mandated Corporate Bond Funds” by Bretscher, Schmid, and Ye (Imperial Hedge Fund Conference 2024, scheduled)
  • “Intermediary Balance Sheet Constraints, Bond Mutual Funds’ Strategies, and Bond Returns” by Giannetti, Jotikasthira, Rapp, and Waibel (Dauphine Hedge Fund Conference 2024)
  • “Not by Whom but Where: Analyst Reaction to Firms’ ESG Incidents” by Gerasimova and Rohrer (Corporate Finance Day 2022)
  • “Sustainable Systematic Credit” by Diep, Pomorksi, and Richardson (Imperial Hedge Fund Conference 2022)


I am teaching the following courses at VU Amsterdam:

  • Financial Markets and Institutions, 2020-present
  • Finance Research Project, 2020-present

In the past, I was tutoring the following courses at the Univeristy of Lausanne:

  • Asset Pricing and Long-Term Portfolio Management (instructor: Johan Walden)
  • Fixed Income and Credit Risk (instructors: Michael Rockinger, Artem Neklyudov)
  • Advanced Derivatives (instructor: Michael Rockinger)
  • Corporate Finance (instructor: Emanuele Tarantino)

I also lectured the following courses at the Higher School of Economics (Moscow):

  • Topics in International Finance (Master’s program), 2014-2019