Presented at: WFA (2026), Adam Smith Workshop (2025), SFS Cavalcade Asia-Pacific (2024), Boston University Seminar (2024), FIRS Conference (2024), SAFE Asset Pricing Workshop at Goethe Univeristy (2024), SFA Annual Meeting (2024), BI-SHoF Asset Pricing Conference (2024), Behavioral Finance Working Group Conference (2024), Finance and Accounting Annual Research Symposium (2024), EFA Annual Meeting (2023), Oslo Macro Conference (2023), BI Norwegian Business School Seminar (2023), Bulgarian Council for Economic Research Conference (2023), BI Workshop on Uncertainty (2023), Corvinus University Seminar (2023)
Recent survey evidence suggests that personal experiences have a strong influence on the individual's attitude towards time and impatience. Embedding this feature in a general equilibrium model, we show that even a small fraction of time-inconsistent investors with time-varying degree of short-termism cause variation in discount rates over time. As a result, the consumption of time-consistent agents is negatively correlated with discount rates, and therefore they require a compensation for this extra risk. In a setting with Epstein-Zin utility and constant risk preferences this risk helps to explain a plethora of asset pricing puzzles, even when consumption and dividend growth are i.i.d. In particular, it generates a substantial time-varying risk premium, variance premium, cross-sectional predictability, upward sloping yield curve, and high trading volume. A unique prediction of our model is that the forecast error of expected consumption growth, proxied by the subjective consumption growth mean and standard deviation, can forecast the excess market return and real risk-free rate, which we show finds support in actual US survey data.
Presented at: Paris December Finance Meeting (2026, scheduled), Alpine Finance Summit (2026, scheduled), St. Gallen Financial Economics Workshop (2026), Frontiers of Factor Investing (2026), BI Norwegian Business School (2026), Tilburg University (2025), NFN Young Scholars Nordic Finance (2022), Bristol Financial Markets (2022), EFA (2020), FMA European Conference (2018), Tias Business School (2018), Nova-BPI Asset Management Conference (2017, coauthor, keynote speech)
Awards: Winner of Inquire Europe Research Grant, Winner of Quoniam Asset Management Innovation in Data-Driven Investing Prize
We develop and empirically test theoretical conditions for time-series momentum (TSM) and reversal across the capital structure. The conditions organize a unified pattern of predictability: equity returns exhibit either TSM or reversal depending on firms’ underlying risk characteristics, corporate bonds reverse, and past equity returns predict future bond returns. The mechanism arises in a model where equity is a call option on firm assets and variance risk is priced. Variance risk generates momentum, leverage generates reversal, and the former dominates in sufficiently levered or high-variance firms. Aggregating these firm-level forces at the portfolio level explains and predicts momentum crashes.
We provide a robust and accurate numerical solution methodology for discrete-time, complete markets, general equilibrium risk-sharing problems when agents have recursive preferences. The agents can differ both in terms of preference parameters and beliefs. The methodology can easily handle multiple aggregate shocks and state variables. To illustrate the methodology, we consider an economy where aggregate consumption dynamics follow those in Bansal and Yaron (2004) and there are two Epstein-Zin agents with different preference parameters.
Presented at: Paris December Finance Meeting EUROFIDAI -- ESSEC (scheduled, 2019), Tilburg University Finance and Econometrics (2018, 2019), University of Zurich (2019), NFA Annual Meeting -- PhD Session (2018), EFMA "Merton H. Miller" Doctoral Seminar (2018), FMA Annual Doctoral Student Consortium (2017), FMA European Doctoral Student Consortium (2017)
I examine the role of time inconsistency, modeled by hyperbolic discounting, for the dynamics of asset prices and the wealth distribution between agents. Naive time-inconsistent investors with recursive preferences overconsume and have a lower effective elasticity of intertemporal substitution (EIS) than otherwise similar investors who are time-consistent. In both survival and overlapping-generations economies with i.i.d. consumption growth, I show that the suboptimal consumption and saving decisions of the naive time-inconsistent investors endogenously generate long-run risks in the consumption dynamics of the time-consistent agents. As a result, the presence of naive shortsighted investors increases the risk-free rate, volatility, and risk premium in the economy.