Research

Publications

The Mortgage-Cash Premium Puzzle (with Rossen Valkanov)

Journal of Finance, 2024, 79(5):3149-3201.

We show that mortgaged homebuyers pay a puzzlingly large 11% premium relative to all-cash buyers.  

Robo Advisors and Access to Wealth Management (with Stanislav Sokolinski)

Journal of Financial Economics, 2024, 155:103829.

We calculate the distribution of welfare gains from expanding access to sophisticated wealth management. 

Finance and the Supply of Housing Quality

Journal of Financial Economics, 2021, 142(1):357-376.

I show how bank capital requirements channel financing toward renovations that increase housing rents.

Mortgage Securitization and Shadow Bank Lending (with Pedro Gete)

Review of Financial Studies, 2021, 34(5):2236-2274.

We show how greater MBS liquidity lowers shadow banks’ lending standards in the primary mortgage market. 

Mortgage Supply and Housing Rents (with Pedro Gete)

Review of Financial Studies, 2018, 31(12):4884-4911.

We show how a contraction of mortgage credit supply after the Great Recession increases housing rents. 

Two Extensive Margins of Credit and Loan‐to‐Value Policies (with Pedro Gete)

Journal of Money, Credit, and Banking, 2016, 48(7):1397-1438.

We study optimal loan-to-value regulation in a partial equilibrium model with two extensive margins of credit.

Automated Financial Management: Diversification and Account Size Flexibility (with Celine Sun)

Journal of Investment Management, 2019, 17(2):1-13.

We use portfolio-level data to document the value added of robo-advisors for household diversification.

Working Papers

Real Effects of Rollover Risk: Evidence from Hotels in Crisis (with Anthony A. DeFusco and Charles G. Nathanson)

We show empirically and theoretically how CMBS borrowers strategically cut operations and labor when their debt matures in a crisis.

Cropland Investment Booms and Groundwater (with Pedro Gete and Athena Tsouderou)

We show how an optimistic investment boom in tree nuts, driven by non-specialist investors, increases groundwater well-drilling during a drought.

Agricultural and Residential Real Estate Returns (with Pedro Gete and Athena Tsouderou)

We document a long-run spread in the price growth of agricultural relative to residential real estate. We explain it in a model that emphasizes how agricultural real estate produces a tradable good using a scarce natural resource, fertile soil.