Research
Research Interests:
Investments, delegated portfolio management, asset pricing and portfolio choice under capital market frictions.
Publications:
Short of capital: Stock Market Implications of Short Sellers' Losses
with Antonio Gargano and Patrick Verwijmeren.
Management Science, accepted. [SSRN version]
The mark-to-market losses of a stock’s short sellers have a strong negative impact on the future shorting of the stock but no significant effect on the transmission of information to prices.
Conferences: ABFER, CEPR and CUHK First Annual Symposium in Financial Economics, Hong Kong - 2019 Chinese International Conference in Finance, China - SFS Cavalcade Asia-Pacific 2019, Hong Kong - 2019 FMA European Conference, Scotland - 27th Finance Forum, Spain - 2019 SECHI Annual Meeting, Chile.
Seminars: RedNIE, Argentina (2022) - Point72 Asset Management, USA (2020) - ESSEC Business School (Singapore) - University of Chile (2019) - University of Technology Sydney (2018) - University of Sydney (2018) - University of New South Wales (2018).
The Value of Growth: Changes in Profitability and Future Stock Returns
with Bryan Lim, Chelsea Yao, and George Wang.
Journal of Banking and Finance, 2024, Vol. 158 (In Press). [SSRN version]
Consistent with simple two-stage models of firm growth, future average returns in the cross-section of stocks increase in current firm profitability growth at a rate decreasing in firm size.
Conferences: 37th International Conference of the French Finance Association (AFFI) - Asian Finance Association 2018 Conference, Japan - The 15th INFINITI Conference on International Finance, Spain - 2017 FMA Annual Meeting, USA - 29th Australasian Finance & Banking Conference, Australia - 24th Conference on the Theories and Practices of Securities and Financial Markets - 11th International CAFM, Korea - 6th FIRN Conference, Australia.
Seminars: Loughborough University (2017) - Lancaster University (2016).
Out of Sync: Disagreement among Short Sellers and the Correction of Mispricing
with Antonio Gargano and Patrick Verwijmeren.
Journal of Financial and Quantitative Analysis, 2023, Vol. 58, 3482-3520. [SSRN version]
Consistent with theories of “synchronization risk” among arbitrageurs, stocks with more desynchronized short sellers experience greater overpricing and longer delays in its correction, even in face of low short-selling costs or other explicit constraints.
Awards: RoZetta Institute Best Paper Award (9th Behavioural Finance and Capital Markets Conference, Australia).
Conferences: 2022 EFMA Meetings, Italy - 2021 Chinese International Conference in Finance (CICF), China - 2021 SECHI Annual Meeting, Chile - 9th Behavioural Finance and Capital Markets Conference, Australia.
Seminars: Universidad Adolfo Ibañez (2020).
Carrot and Stick: A Role for Benchmark-Adjusted Compensation in Active Fund Management
with Fernando Zapatero. [Internet Appendix]
Journal of Financial Intermediation, 2022, Vol. 52 (In Press). [SSRN version]
In presence of competition from inexpensive passive alternatives, active funds run by skilled managers can be highly valuable to delegating investors when their fees depend symmetrically on the performance relative to appropriately chosen benchmarks.
Conferences: 2021 AFA Meetings, USA - 12th Annual Hedge Fund Research Conference, France - Third International Congress on Actuarial Science and Quantitative Finance, Colombia.
Riding the Bubble with Convex Incentives
with Fernando Zapatero. [Internet Appendix]
Review of Financial Studies, 2019, Vol. 32, 1416–1456. [SSRN version]
Asymmetric incentives can go a long way towards explaining overinvestment of sophisticated investors in overpriced, or even “bubble” securities, especially when the securities do not belong to performance evaluation benchmarks.
Conferences: 25th Finance Forum, Spain - 2016 AFA Meetings, USA - Second International Congress on Actuarial Science and Quantitative Finance, Colombia - 2014 EFA Meetings, Switzerland - ANU's RSFAS Summer Camp 2014, Australia - 2014 Jerusalem Finance Conference, Israel.
Seminars: Macquarie University (2018) - Central Bank of Chile (2017).
The Invisible Hand of Internal Markets in Mutual Fund Families
with Luis Goncalves-Pinto and Jing Xu.
Journal of Banking and Finance, 2018, vol. 89, 105-124. [SSRN version]
Fund managers that follow sufficiently different styles but are affiliated with the same asset management company can engage in risk-shifting by trading with one another at low cost inside their family, even in the absence of a family-level strategy.
Awards: Mirae Asset Securities Co., Ltd Outstanding Paper Award (The 10th International CAFM 2015, Korea) - Best Paper Award (2015 FIRN Annual Conference, Australia).
Conferences: The 10th International CAFM 2015, Korea - 2015 FIRN Annual Conference, Australia - 28th Australasian Finance and Banking Conference, Australia - 2011 6th Annual Conference of the FIRS, Australia - 2011 FMA European Conference, Portugal - 2011 World Finance Conference, Greece - 6th Portuguese Finance Network Conference, Portugal - LBS 10th Trans-Atlantic Doctoral Conference, UK.
Seminars: Nova School of Business and Economics (2017) - Deakin University (2017) - Pontificia Universidad Católica de Chile - Universidad de los Andes, Chile (2017) - IE Business School (2016) - Manchester Business School (2016).
Starting on the Wrong Foot: Seasonality in Mutual Fund Performance
with Stephen Brown, George Wang and Chelsea Yao.
Journal of Banking and Finance, 2017, vol. 82, 133-150. [SSRN version]
On average, a value-weighted portfolio of active mutual funds underperforms the market and other benchmark portfolios in the first month of each quarter only, posing a challenge to existing explanations of the mutual funds’ underperformance puzzle.
Conferences: 2016 FMA Annual Meeting, USA (Semi-finalist for Best Paper Award in Investments) - 29th Australasian Finance & Banking Conference, Australia - 24th SFM Conference 2016, Taiwan - Asian Finance Association (AsianFA) 2016 Conference, Thailand.
Seminars: Zhongnan University of Economics and Law (2016) - Capital University of Economics and Business (2016) - University of Melbourne (2014) - Lund University (2014).
Working Papers:
Excess Volatility and Mispricing in the Presence of Sentiment and Institutional Investors
with Luis Goncalves-Pinto and Hervé Roche. November 2023.
Accounting for the significant presence of benchmark-concerned institutions in modern financial markets can overturn the well-known positive equilibrium relationship between irrational sentiment and excess return volatility.
Conferences: 2023 FMA European Conference, Denmark - EEA-ESEM Congress 2023, Spain.
Seminars: Universidad de Chile, FEN (2023).
Double Bonus? Implicit Incentives for Money Managers with Explicit Incentives
with Vincent Gregoire, June 2021.
The estimated flow-performance relationships for a large cross-section of performance fee funds reveals that investors favor performance-sensitive but not necessarily asymmetric compensation schedules for asset managers.
Conferences: 2019 Midwest Finance Association Annual Meeting, USA - 2017 FIRN Annual Conference, Australia.
Optimal Trading in Correlated Anomalies
March 2020. [Internet Appendix]
In the presence of correlated and mean-reverting anomalies, the interaction of dynamic market timing, stock selection and diversification considerations can lead a risk-averse investor to optimally take a positive active position in an overpriced asset, and even to increase the allocation in this asset as overpricing worsens.
(Dis)Incentive Effects of Fund Flows in Money Management
February 2019
In the case of skilled fund managers, delegating investors may not need to be concerned about gambling behavior in response to convex flow-performance relationships, but rather about over-conservatism on average as a result of herd behavior.
Conferences: 16th Conference of the Swiss Society for Financial Market Research (SGF), Switzerland - 2012 FIRN Annual Conference, Australia.
Seminars: BlackRock (2012), Boston University (2012), IE Business School (2012), Indiana University (2012), La Trobe University (2012), Sao Paulo School of Economics - Getulio Vargas Foundation (2012), University of Melbourne (2012), University of Miami (2012), University of New South Wales (2012), Virginia Tech (2012) - HEC Lausanne (2011) - University of Southern California (2011).