Research

Institutional Investors, Heterogeneous Benchmarks and the Comovement of Asset Prices 

We study the equilibrium implications of a multi-asset economy in which asset managers’ performance is tied to different benchmarks, reflecting heterogeneity in their investment mandates. Fluctuations in the capital asset managers invest for benchmarking purposes, scaled by the size of the economy, induce price pressure that results in negative spillovers across assets. We characterize a rich structure of asset price comovement within and across benchmarks by analyzing shock elasticities and cross-elasticities of price-dividend ratios. Evidence on the heterogeneity of mutual fund mandates and the benchmarking-induced predictability of return comovement across cap-style and industry-sector portfolios corroborates the model assumptions and predictions. 

Asset Pricing Implications of Heterogeneous Investment 

The paper shows that differences in investment horizons between short-term asset managers and long-term value investors rationalize the empirical puzzle stating that short duration assets have larger risk premium, volatility, and Sharpe ratio than high duration assets.  

Listed on SSRN's recent top ten download list for Other Investments Topic

Equity or Future Equity: A Moral Hazard Theory

This paper shows that future equity contracts are optimal for removing misalignments between early-stage investors and entrepreneurs. In contrast, equity contracts become optimal only when valuations are sufficiently high. The paper characterizes the probability of success and tests early-stage investors’ skills. The analysis detects skill in 12% of first seed-round investors and finds that incubators-accelerators have higher skills than first seed-round investors.

Listed on SSRN's recent top ten download lists for Information Asymmetry Models and Science & Technology Topics

Cryptocurrency, Mining Pools' Concentration, and Asset Prices

The paper shows that mining pools' concentration amplifies cryptocurrency volatility and depresses its prices, even when we introduce a pricing bubble. The model builds on the international finance asset pricing literature and connects well with established asset pricing theories.

Asset Pricing Implications of Risk-on and Risk-off Incentives 

The paper shows that mutual funds managers’ incentives contracts lead to momentum and reversal in asset returns. 

Listed on SSRN's recent top ten download lists for several topics