Academic Research - Papers

• The Finance Uncertainty Multiplier -- Journal of Political Economy, Volume 132, Number 2, February 2024     (with Nick Bloom [Stanford] and Xiaoji Lin [Minnesota])  [DATA UPDATED TO 2023: firm-level instruments for uncertainty] [CODE: Empirics replication code] [CODE: Matlab model code]

Abstract: We show how real and financial frictions amplify, prolong and propagate the impact of uncertainty shocks. We first use a novel instrumentation strategy to address endogeneity in estimating the impact of uncertainty, by exploiting differential firm exposure to exchange rate, policy, and energy price volatility in a panel of US firms. Furthermore, using common proxies for financial constraints, we show that ex-ante financially constrained firms cut their investment more than unconstrained firms following an uncertainty shock. We then build a general equilibrium heterogeneous firms model with real and financial frictions. We show that adding financial frictions: i) amplifies uncertainty shocks by doubling their impact on output; ii) increases persistence by extending the duration of the drop by a half; and iii) propagates uncertainty shocks by spreading their impact onto financial variables. These results highlight why in periods of greater financial frictions uncertainty can be particularly damaging. 

• Firm Uncertainty and Households: Spending, Savings, and Risks -- Accepted for Publication     (with Hoonsuk Park [University of Melbourne]) 

                *Prize for Best Paper at The Fourteenth Conference on Asia-Pacific Financial Markets (CAFM) Seoul, Korea, December 6~7, 2019  (US$2,000)

  *Semifinalist for Best Paper Award in Corporate Finance at the 2021 Financial Management Association Annual Meeting

Abstract: Using daily banking and credit card data for thousands of households linked to U.S. publicly listed employers, we find novel evidence that firm-specific uncertainty persistently reduces future spending and spurs precautionary savings. A one-standard-deviation rise in option-implied firm volatility—akin to the S&P 500 VIX—predicts a $106 monthly spending drop (8 hours of wages) and a $193 increase in bank balances, reflecting notable cutbacks in typical non-durable goods and services. The mechanism operates through heightened household risks: firm uncertainty expands both income and consumption risk over the next year, with the largest effects among lower and top earners (notably the top 1%). Employers only partly shield earnings, while households only partly self-insulate consumption via smoothing channels. Detrimental uncertainty effects on households are stronger than declines in firm stock prices, up to one year.

• Production-Based Exchange Rates: The q-Theory of Multinationals  -- (revised June 2024)   Under review

Abstract: I derive a novel production-based asset pricing result that relates exchange rates to the intertemporal marginal rates of transformation of capital (i.e., returns on investment) within multinational firms with headquarters at home and foreign affiliates abroad. This q-theory of multinationals is analogous to a standard international  consumption-based model, but uses multinational producers and production functions rather than consumers and stochastic discount factors. Its structural estimation infers exchange rates from US multinational aggregates on real investment, output, and capital stocks. Tested across 44 countries since the 1980s, it successfully prices cross-sectional carry trade spreads through the fundamentals of US foreign affiliates.

• Decomposing and Reassembling the Investment CAPM: The Role of Intangible Capital --  (August 2024) (with Alessandro Graniero [BI Norwegian] and Kevin Schneider [University of Cambridge]) 

Abstract: We decompose cum-dividend stock returns into capital gains and dividend yields and assess the performance of investment-based asset pricing models to match their average cross-section. Even when directly targeting the return components, our structural estimations of state-of-the-art models reveal surprisingly large pricing errors in both capital gains and dividend yields. Incorporating intangible capital as a second capital input factor and refining the accuracy of corporate dividend yield measurements significantly enhances the pricing performance of the model. Our model goes a long way in resolving several further challenges posed to investment-based asset pricing. 

• Uncertainty and International Asset Pricing

Abstract: Recent models with Kreps-Porteus [1978] recursive preferences highlight the role of long-run mean risk in accounting for many stylized facts in international finance and international macroeconomics. These recursive preferences are a special case of the generalized disappointment-aversion preferences (GDA) recently introduced by Routledge and Zin [2010]. I examine GDA preferences in a setting that exhibits both country-specific and global economic uncertainty in a fully specified production economy. By nature of the GDA preferences, economic uncertainty plays a more important role than long-run mean risk and is the main source behind time-variation in the probability of disappointing economic outcomes. This time-varying probability drives productivities, risk-sharing arrangements between representative agents, and exchange rate movements. The model highlights how domestic and international uncertainty is relevant for asset prices and cross-border flows. I present the model with two countries, two goods, and asymmetric investment frictions.

Work in Progress

• • Multinational Firm-level Dynamics of Production and Exchange Rates 

  • Business Groups, Media Ownership, and Media Bias  (with Isil Erel [Fisher OSU] and Serdar Dinc [Rutgers])

  • Exposure to Macroeconomic Fundamentals and Stock Returns 

Presentations: Seminars & Conferences

• Norges Bank, Seminar, 2025

• Financial Management Association International Annual Meeting, 2024

• Stanford Institute of Theoretical Economics, Asset Pricing Session, Stanford University, 2024

• University of Oxford Saıd–VU SBE 2024 Macro-finance Conference

• Norwegian School of Economics, 2024

• Finance Forum of the 2024 Annual Meeting of the Spanish Finance Association, 2024

• Universidad de La Laguna, Tenerife, 2024

• University of Oslo, 2024

• BI-Swedish House of Finance Conference in Asset Pricing and Financial Econometrics, 2023

• Workshop on Production-based Asset Pricing, BI Norwegian Business School, 2023

• Oslo Macro Group Seminar, 2022

• Norges Bank, 2022

• University of Stavanger, 2022

• NBER Corporate Finance Program Meeting Spring, 2021

• Western Finance Association Annual Meeting, 2021

• University of Cambridge, 2021

• Financial Management Association International Annual Meeting, 2021

• Oslo Macro Group Seminar, 2021

• American Finance Association Annual Meeting, 2021

• European Financial Association Annual Meeting, 2020

• Oslo Macro Workshop, 2020

• SFS Cavalcade North America, 2020

• Centre for Economic Policy Research Conference on New Consumption Data, 2020

• The Ohio State University 2020 Alumni Finance Conference, 2020

• HEC Paris 2020 Spring Finance Conference, 2020

• Midwest Finance Association Annual Meeting, Chicago, 2020

• NFN Young Scholars Nordic Finance Workshop, Stockholm, 2019

• Stanford Institute of Theoretical Economics, Stanford University, 2019

• NBER Summer Institute, 2019

• Workshop on Production-based Asset Pricing, BI Norwegian Business School, 2018

• Adam Smith Workshop in Asset Pricing, LBS, London, 2018

• Society for Nonlinear Dynamics and Econometrics, Tokyo Japan, 2018

• American Finance Association Annual Meeting, Philadelphia, 2018

• European Finance Association Annual Meeting, Mannheim, 2017

• Society for Economic Dynamics, Edinburgh, 2017

• Midwest Finance Association, Chicago, 2017,

• Workshop on Time Varying Uncertainty in Macro, University of St. Andrews, Scotland, 2017 Stanford Institute of Theoretical Economics, Stanford University, 2016

• Macro Finance Society, University of Chicago, 2017

• The Charles A. Dice Center Seminar, The Ohio State University, 2016

• Stanford Institute of Theoretical Economics, Stanford University, 2015

• The Charles A. Dice Center Corporate Finance Conference, The Ohio State University, 2015

Academic Discussions

• Finance Forum of the 2024 Annual Meeting of the Spanish Finance Association, 2024

• European Finance Association Annual Meeting, Amsterdam Netherlands, 2023

• BI-Swedish House of Finance Conference in Asset Pricing and Financial Econometrics, 2023

• Workshop on Production-based Asset Pricing, BI Norwegian Business School, 2023

• Workshop on Production-based Asset Pricing, BI Norwegian Business School, 2021

• Swedish House of Finance 9th National PhD Workshop in Finance, 2020

• BI-SHoF Conference in Asset Pricing and Financial Econometrics

• BI Norwegian Business School, 2019

• Workshop on Production-based Asset Pricing, BI Norwegian Business School, 2019

• Workshop on Production-based Asset Pricing, BI Norwegian Business School, 2018

• European Finance Association Annual Meeting, Warsaw Poland, 2018

• Workshop on Production-based Asset Pricing, BI Norwegian Business School, 2017

Grants, Honors, and Awards

• Research Grant from the Provost for Research and Academic Resources, 2020, 2022, 2023, 2024

• Prize for Best Paper at The Fourteenth Conference on Asia-Pacific Financial Markets (CAFM) Seoul, Korea, December 6~7, 2019  (US$2,000)

• Macro Finance Society 8th Workshop, Sloan Foundation, Ph.D Student Travel Grant, 2016

• Stanford Institute of Theoretical Economics, Travel Grant, 2016

• Charles A. Dice Center, The Ohio State University, Seminar Travel Grant, 2016

• Becker-Friedman Institute, University of Chicago, Travel Grant, 2015

• American Finance Association, Doctoral Student Travel Grant, 2015

Education

• The Ohio State University - Ph.D. in Finance, 2017 

• INCAE Business School - MBA, 2007

• IE Business School  - International MBA Exchange Program, 2006

• Galileo University  -  B.S., Engineering and Computer Science, 2005

Non-Refereed Publications

• • "SMEs as Backbone of Economies: Opportunities, Constraints and Challenges". INCAE Business Review, Jan-April Edition, Vol. 1. No. 10, 2010 [with Anna Lucia Alfaro and Luis Noel Alfaro Gramajo]

  • "The Case of BANRURAL: A Development Bank". INCAE Business Review, Jan-April Edition, Vol. 1. No. 10, 2010 [with Anna Lucia Alfaro]

Teaching Experience

• BI Norwegian Business School

  • • Theory of Financial Markets (Masters of Finance Program), Fall 2017 & 2018, BI Norwegian Business School

    • Strategic Asset Allocation (Masters of Finance Program), Fall 2019, BI Norwegian Business School

    • Financial Modeling in Practice (Bachelors in Business and Finance), Spring 2021-2024, BI Norwegian Business School

• • The Ohio State University, Undergraduate

    • • Investment I, Spring 2015, Department of Finance, The Ohio State University

      • Problems and Policies in World Population, Food, and Environment, Summer 2012, Department of International Studies and AEDE, The Ohio State University