I am a financial economist with both theoretical and empirical research interests.
Several projects in corporate finance examine the impact of human capital, collateral constraints, and macroeconomic conditions on financing, risk management, and entrepreneurial activity. Another project measures the impact of ownership of firms by diversified institutional investors on product market competition.
My papers in financial economics explain why Bayesian agents who are uncertainty about systematic risk exposure learn more about risk-adjusted performance of firms and funds in some states of the market 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.
"Can the Cost of Cash Resolve the Corporate Cash Puzzle?" (with José Azar and Jean-François Kagy) shows that changes in the opportunity costs of holding cash explain the secular trends in corporate cash holdings, as well as cross-sectional variation at the firm- and country-level.
"Housing Collateral and Entrepreneurship" (with David Sraer and David Thesmar) provides evidence that collateral constraints restrict entrepreneurial activity. (On the 2014 AFA program. R&R at the Journal of Finance.)
"Managing Human Capital Risk" uses a regression discontinuity design to show that labor adjustment costs can motivate a conservative financial strategy with high cash reserves and low financial leverage. (Based on 2012 job market paper)
"Capital Flows in Rational Markets" (with Francesco Franzoni) shows that rational investors who are uncertain about the risk exposure of projects learn more about their 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. (On the Fall 2013 NBER Asset Pricing program)
"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. (2013 European Meeting of the Econometric Society paper)
"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 institutional responses. (2013 AFA Meetings Paper)
"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.
Work in Progress
"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 and makes new empirical predictions for the term structure of risk premia in equity markets and the market for volatility risk.
"Competitive Effects of Ownership by Diversified Institutions: Evidence from the Airline Industry" (with José Azar and Isabel Tecu) exploits variation in common ownership of routes by institutional investors caused by the acquisition of Barclays Global Investors by BlackRock in 2009 to identify that airline ticket prices are higher in markets where common ownership links among competitors are more prevalent.