Alexandre Corhay

Publications

Competition, markups, and predictable returns, with H. Kung and L. Schmid.
The Review of Financial Studies, Volume 33, Issue 12, 2020, Pages 5906–5939.
[SSRN] [Journal]

Discount Rates, Debt Maturity, and the Fiscal Theory, with T. Kind, H. Kung and G. Morales
The Journal of Finance, Volume 78, Issue 6, 2023, Pages 3561-3620.
[SSRN] [Journal]

Q: Risks, Rents, or Growth?, with H. Kung and L. Schmid
Journal of Financial Economics, Volume 165, 2025: 103990.
[SSRN] [Journal]

Inflation risk in the Finance-growth nexus, with J. Tong
Review of Economic Studies, Accepted
[SSRN]

Market Power and Finance, with H. Kung and L. Schmid
Annual Review of Financial Economics, in Press
[SSRN] [Journal]

Working Papers

Price Rigidities and Credit Risk, with Patrick Augustin, Linxiao Cong, and Michael Weber.
Revise & Resubmit, Journal of Financial and Quantitative Analysis
[SSRN]

We develop a capital structure model in which firms feature differential flexibility in adjusting output prices to shocks. Inflexible-price firms have lower profits and higher cash-flow volatility, leading in equilibrium to lower financial leverage, shorter debt duration, higher cost of debt, more stringent debt covenants, and higher precautionary cash holdings. Cash-flow volatility shocks increase the cost of debt more for inflexible-price firms. We confirm these predictions empirically: inflexible-price firms experience a significantly larger increase in credit spreads in response to monetary policy shocks and to the 2008 Lehman Brothers bankruptcy, especially when they face higher pre-shock rollover risk. 

Price Markup Shocks and Asset Prices, with Jun E. Li,  and Jincheng Tong.
[SSRN]

We explore the asset pricing implications of shocks that allow firms to extract more rents from consumers. These markup shocks directly impact the representative household’s marginal utility and the firms' cash flow. Using firm-level data, we construct a measure of aggregate markup shocks and show that the price of markup risk is negative, that is, a positive markup shock is associated with high marginal utility states. Markup shocks generate differences in risk premia due to their heterogeneous impact on firms. Firms that have larger exposures to markup shocks are less risky and have lower expected returns. We rationalize these findings in a general equilibrium model with markup shocks.

Firm Product Concentration and Asset Prices., with Nuno Clara, and Howard Kung.
[SSRN]

Average product concentration within firms has been declining since the mid-2000s. We find that lower product concentration is associated with lower productivity, expected returns, and idiosyncratic volatility across firms. These empirical relations are explained in a general equilibrium model of multiproduct firms with endogenous firm boundaries. Parameters governing the flexible production technology are identified using the GIV approach of Gabaix and Koijen (2020) by exploiting fat tails in the distribution of product mix. Overall, this paper highlights the importance of firm boundaries for explaining asset prices and firm dynamics.

Industry competition, credit spreads, and levered equity returns.
Revise & Resubmit, Review of Financial Studies
[SSRN]

This paper examines the relation between industry competition, credit spreads, and levered equity returns. I build a quantitative model where firms make investment, financing, and default decisions subject to aggregate and idiosyncratic risk. Firms operate in heterogeneous industries that differ by the intensity of product market competition. Higher competition reduces profit opportunities and increases default risk for debtholders. Equityholders are protected against default risk due to the option value arising from limited liability. In equilibrium, competitive industries are characterized by higher credit spreads, but lower expected equity returns. I find strong empirical support for these predictions across concentration terciles.

Data,  Markup, and Asset Prices., with Keija Hu, Jun E. Li, Jincheng Tong, and Chi-Yang Tsou.
[SSRN]

This paper investigates how data technology affects firms' market power and asset prices. Using a novel dataset tracking firms' employment of data scientists, we document three key empirical findings: firms with higher proportions of data scientists exhibit larger markups, have higher information quality proxied by lower sales forecast errors, and earn higher stock returns. Specifically, a long-short portfolio strategy based on firms' data scientist ratios generates significant annual excess returns of approximately 4\%. To quantitatively rationalize these empirical findings, we develop a heterogeneous firm model in which firms optimally hire data scientists to learn about unobserved consumer tastes. The model demonstrates how data enables firms to improve demand forecasting accuracy and extract higher markups. Importantly, supply-constrained firms have stronger incentives to hire data scientists, leading to countercyclical data scientist hiring that amplifies their exposures to aggregate risk through an operating leverage channel. We provide empirical evidence supporting our model mechanism.

Work in Progress

discussion