Voluntary bankruptcy as preemptive persuasion (2017)
Job Market Paper; full PDF is available on SSRN or directly here
Abstract: This paper tackles the issue of court-supervised reorganization of non-viable companies in US bankruptcy court. The proposed in-court persuasion mechanism reconciles excessive reorganizations (and subsequent repeat failures) with management-initiated filings and a judge that aims to always take appropriate action. In the model, management makes a preemptive voluntary filing to retain control of the process and thereby engage in a game of Bayesian Persuasion with asymmetric information vis-a-vis the judge. This mechanism endogenously results in the reorganization of some non-viable companies and exclusively management-initiated (i.e., voluntary) bankruptcy filings. 
 
Off to the races: an international comparison of asset pricing models (2017) 
Abstract: We look at four different proposed non-standard preference specifications from the asset pricing literature—generalized disappointment aversion, robust control, min/max preferences, and smooth ambiguity aversion. We conduct a “horse race” of these models in a consumption capital asset pricing model using U.S. and international data. The use of international data, in particular, allows us to have a bigger data sample than previous research. Our work uses both empirical and theoretical advances in the asset pricing literature and has the goal of differentiating which modeling approach fits real-world data best. The resulting single-country calibrations to US and non-US data suggest that there is limited consistency in best-fit results across countries. Additionally, we investigate how the increasing integration of financial markets by studying the correlation of the stochastic discount factors for the markets over time. 
 
The role of states in the Ross Recovery Theorem (2017) 
with Bill Zame and Michael Topf
Abstract: Ross (2015) introduced a theoretical framework for recovering the natural probability measure from market prices given a finite Markovian structure of the market. Additionally, Ross (2015) makes first steps in empirically implementing the framework. Hansen et al. (2016) interpret these results as a long-term risk-neutral measure rather than the market’s expectation for the natural measure. We review the claims of these two papers and the ensuing literature. Furthermore, the empirical implementation of the Ross model is a hard problem because it requires knowledge of the states of nature. We investigate how fragile the model is without exact knowledge of these states.