I am a financial economist with theoretical and empirical research interests.
My latest project at the intersection of industrial organization, finance, and corporate governance measures how common ownership of firms by super-sized asset managers affects product market competition.
Several projects in corporate and entrepreneurial finance examine the impact of labor relations, collateral constraints, and macroeconomic conditions on financing, risk management, and entrepreneurial activity.
My papers in financial economics explain why investors who are uncertain about the degree to which their assets are exposed to systematic risk learn more about the value of their assets in some market states than in others.
An agenda in behavioral finance and asset pricing investigates the role of horizon-dependent risk aversion in financial decision making, asset pricing, and belief formation.
News about my research appear on twitter.
Industrial Organization, Finance, and Corporate Governance
Suppose you owned two firms in the same industry. Would you push them to compete extra hard with each other? Do you think real-world institutional investors, who hold stakes in all major firms in a given industry, do? (Here are some examples.)
"Anti-Competitive Effects of Common Ownership" (with José Azar and Isabel Tecu) shows that product market competition suffers when diversified asset managers hold large stakes in multiple natural competitors. Here is a note detailing a mechanism.
Corporate Finance and Entrepreneurial Finance
"Housing Collateral and Entrepreneurship" (with David Sraer and David Thesmar) provides evidence that collateral constraints restrict entrepreneurial activity. [Slides] [On the 2014 AFA program. R&R at the Journal of Finance]
"Can Changes in the Cost of Carry Explain the Dynamics of Corporate Cash Holdings?" (with José Azar and Jean-François Kagy) shows that changes in the costs of holding cash can explain secular trends in U.S. corporate cash holdings, as well as cross-country variation in the level of cash. [AFA 2015 Slides] [R&R at the Review of Financial Studies]
"Unionization, Cash, and Leverage" uses a regression discontinuity to identify the causal effect of unionization on firms' financial policies.
Bayesian Learning in Financial Economics
"Revealing Downturns" (with Sergey Zhuk) explains theoretically why investors learn more about firm value in bad times, and shows empirically that earnings response coefficients increase in downturns. Negatively skewed stock returns and conditional volatility are a direct consequence of Bayesian parameter learning. [Online Appendix] [AFA 2015 Slides] [R&R at the Review of Financial Studies]
"Performance Measurement with Uncertain Risk Loadings" (with Francesco Franzoni) shows that rational investors who are uncertain about the risk exposure of projects learn more about projects' value, and therefore reallocate more capital across projects, in times with moderate factor realizations, compared to times with more extreme factor realizations. The flow-performance relation in the mutual funds sector exhibits the predicted non-monotonic pattern. [AFA 2015 Slides] [On the Fall 2013 NBER Asset Pricing program. R&R at the Review of Financial Studies.]
"Up Close It Feels Dangerous: Anxiety in the Face of Risk" (with Thomas Eisenbach) describes the behavior of an agent that is more risk-averse for imminent than for distant risks, derives asset pricing implications, and outlines institutional responses. [On the 2013 AFA program. R&R at the Review of Finance.]
"Anxiety, Overconfidence, and Excessive Risk Taking" (with Thomas Eisenbach) shows that dynamically inconsistent risk preferences, combined with a possibility to forget, imply overconfidence and excessive risk-taking. [Featured on Seeking Alpha]
"Asset Pricing with Horizon-dependent Risk Aversion" (with Marianne Andries and Thomas Eisenbach) develops solution techniques for multi-period general equilibrium asset pricing models with dynamically inconsistent risk preferences. The model's predictions for the term structure of risk premia in equity markets and the market for volatility risk find support in the data. [On the Fall 2014 NBER Asset Pricing program]