Publications
The Effect of Female Leadership on Contracting from Capitol Hill to Main Street, with Jonathan Brogaard and Maximilian Rohrer
accepted at the Journal of Financial Economics
Abstract: This paper provides novel evidence that female politicians increase the proportion of US government procurement contracts allocated to women-owned firms. The identification strategy uses close elections for the US House of Representatives. The effect concentrates in local contractors and persists after the female’s politician departure. The more gender-balanced representation in government contracting does not seem to be associated with economic costs, as the firm characteristics of the average contractor and contract performances are unchanged. By analyzing congressional requests from legislators to federal agencies, we show that female politicians affect procurement contract allocation through individual oversight.
Presentations: AEA (New Orleans, January 2023), BI Norwegian Business School (online, May 2022), Boca Conference (online, December 2021), Young Scholars Nordic Finance Workshop (Copenhagen, November 2021), FMA (online, October 2021), 18th Corporate Finance Day (Rotterdam, October 2021), LAMES (online, October 2021), ABF&E (online, September 2021), EEA-ESEM (online, August 2021), CICF (online, July 2021), AMES (online, June 2021), ENTFIN (online, June 2021), AFFI (online, May 2021), Future of Growth Conference (online, May 2021), MFA (online, March 2021), SWFA (online, March 2021), 33rd AFBC (online, December 2020), Paris December Finance Meeting (online, December 2020), NFN Young Scholars Finance Webinar Series (online, October 2020), NHH Finance Brownbag Series (Bergen, June 2020)
Working Papers
It's not easy being green, with Jonathan Brogaard, Daniel Kim and Maximilian Rohrer
Abstract: Being green is not easy, but is it also costly? We use US government procurement contracts to calculate the cost of being green. Comparing contracts that are nearly identical but for one being required by law to be green we find a cost premium of at least 20%. We further show that the quality of green contracts, for otherwise identical products and services, are worse along a variety of dimensions, even though there is no measurable difference in their competitiveness. The green premium does not increase employment but seems to be a wealth transfer to private firms. The green contracts do spur green innovation, but at a cost 50 times per patent versus a direct R&D investment. This paper calls into question the demand that the government leads the green revolution.
Advising the Advisors: Evidence from ETFs, with Jonathan Brogaard and Ying Liu
Abstract: Asset managers play a dual role by simultaneously managing funds and increasingly providing investment model recommendations to third-party financial advisors. Using a novel data set focusing on recommendations by ETF issuers and strategists, we discover that these recommendations have a substantial impact on ETF flows. Model providers recommend their affiliated ETFs more frequently, and these tend to have higher fees and lower performance than recommended unaffiliated ETFs. In addition, investors who follow the recommendations exhibit weaker sensitivity to funds’ prices and returns. We fail to find evidence that recommendations are driven by private information about the future outperformance of affiliated funds.
Media Coverage: Bloomberg, ETF Stream, Financial Planning
Presentations: 14th Annual Hedge Fund Research Conference (Paris, January 2023), FMA (Atlanta, October 2022), DGF (Marburg, September 2022), CICF (online, July 2022), FMA Europe (Lyon, July 2022), 4th Future of Financial Information Conference (Stockholm, May 2022), AFFI (Saint-Malo, May 2022), FMCG (online, April 2022), SHUFE Brownbag Series (Shanghai, December 2021), NHH Finance Brownbag Series (Bergen, October 2021)
Not by Whom but Where: Analyst Reaction to Firms' ESG Incidents, with Maximilian Rohrer
Abstract: We document that financial analysts exhibit a local-event bias. In particular, we find that analysts located in countries affected by ESG incidents start issuing lower recommendations to the committing firms compared to analysts from other countries. The effect lasts for more than a year after the event, concentrates in hard-to-value firms, and is also reflected in financial forecasts. We show that this local-event bias is distinct from the local-firm bias, the general tendency of issuing optimistic forecasts for local firms. Our evidence is consistent with an underlying preference to rely on personal experience combined with attachment to a given geographic place and is not driven by informational advantage.
Presentations: FMA (online, October 2022), 19th Corporate Finance Day (Amsterdam, October 2022), DGF (Marburg, October 2022), 4th Israel Behavioral Finance Conference (Tel-Aviv, June 2022), FMCG (online, April 2022), NHH Macro Brownbag Series (Bergen, November 2021), NFN Webinar Series (online, October 2021), NHH Finance Brownbag Series (Bergen, October 2021),
And the CAR goes to... Shock to Brand Capital: Evidence from the Oscars, with Damiano Maggi
Abstract: We identify the effect of changes in the brand capital on stock market performance. Using hand-collected data on the red carpet outfits during the Academy Awards ceremonies, we find that companies providing outfits to nominees experience a positive stock market performance with respect to a control group of comparables. This outperformance is unlikely to be attributable to differential risk, while Google search trends suggest the Academy Awards ceremonies have a positive impact on investor attention.
FIBE Best Paper Award 2020
Presentations: 34th AFBC (online, December 2021), FMA Europe (online, June 2021), PhD Nordic Finance Workshop 2020 (Oslo, May 2020), FIBE 2020 (Bergen, January 2020), Brown Bag Seminar Norwegian School of Economics (Bergen, April 2019)
Abstract: I document that political connections are an important driver of investment strategies of US mutual funds. I collect data on mutual fund holdings of US Congress members and equity holdings of mutual funds from 2004 to 2013. I show that funds whose shares belong to politicians place larger bets and trade more actively in stocks of politically sensitive firms, and in stocks of firms that operate in industries under the scope of politicians' congressional committees. Connected mutual funds perform significantly better on these equity holdings than their non-connected peers.
Presentations: Future of Financial Information Webinar Series (online, April 2020), 2nd Marstrand Finance Conference (Marstrand, June 2019), DGF 2018 (Trier, September 2018), IFABS 2018 (Porto, June 2018), European Conference FMA (Kristiansand, June 2018), 2018 Consortium on Trading Strategies and Institutional Investing (Cambridge, February 2018), Netspar International Pension Workshop 2018 (Leiden, January 2018), 2017 Auckland Finance Meeting (Queenstown, December 2017), 30th AFBC (Sydney, December 2017), 7th Asset Management Conference (Lisbon, November 2017), CICF (Hangzhou, July 2017), Collegio Carlo Alberto (Turin, February 2017), Vienna University of Economics and Business (Vienna, February 2017), University of Vienna (Vienna, February 2017), University of Groningen (Groningen, January 2017), Rotterdam School of Management (Rotterdam, January 2017), Norwegian School of Economics (Bergen, January 2017), Bank of Canada (Ottawa, January 2017), Brown Bag Seminar University of Lausanne (Lausanne, October 2016)
Do Prime Brokers Induce Similarities into Hedge Funds Performance?
Abstract: Hedge fund performance is highly correlated across funds in complex ways. Using a sample of prime brokerage relationships, I document that the performance of hedge funds that deal with the same broker is 53% more correlated. The results are robust to different performance measures, different subperiods, and other possible determinants of performance similarity as the hedge funds’ domicile and investment style. Overall, my results reveal prime brokers’ lending activity and information sharing as important determinants of the cross-sectional correlation of hedge fund performance.
Presentations: CICF (Xiamen, July 2016), Alternative Investments Conference (Monaco, June 2016), Eastern Finance Association (Baltimore, 2016), SFA (Florida, November 2015), Amsterdam DSF/TI PhD Seminars (Amsterdam, November 2014), WFC (Venice, July 2014), 21st Annual MFS Conference (Prague, June 2014), Best Doctoral Paper Award, IFABS 2014 (Lisbon, June 2014), SFI Research Days (Gerzensee, June 2014), Ph.D. Workshop at the 31st International French Finance Association Conference (Aix-en-Provence, May 2014)
Strategic Interaction between Hedge Funds and Prime Brokers, with Eric Jondeau
Abstract: We develop a framework of strategic interaction between prime brokers and hedge funds. The hedge fund optimally determines its cash holdings and the fraction of shorted securities. The prime broker optimally determines its cash holdings, the margin rates, and the rehypothecation rate. The lending rate is determined at the equilibrium. Optimal decisions are obtained when the hedge fund and the prime broker maximize their expected return on equity. To do so, we describe how the evolution of the market return affects the equity of the hedge fund and may force it to delever or even default. As the eventual default of the hedge fund would severely affect the prime broker’s performance, the broker tries to mitigate the risk induced by the fund by fixing the margin rates (or haircuts) it imposes to the hedge fund. We then explore the interaction between the hedge fund and the prime broker decisions by calibrating and solving our model for realistic parametrizations. We find that the interaction between the hedge fund and the prime broker may give rise to some undesirable implications such as an increase in overall risk and/or leverage.
Presentations: Young Scholars Nordic Finance Workshop (Bergen, November 2018), 8th Annual Hedge Fund Research Conference (Paris, January 2016)