Abstract: Abnormal returns for stocks added to or removed from the S\&P 500 index have been declining, despite a sharp rise in the magnitude of underlying demand shifts by passive funds. I investigate this phenomenon, exploring whether these abnormal returns during index reconstitutions stem from passive demand shifts or information content. Using a novel identification strategy that analyzes “incumbent” stocks—index constituents whose portfolio weights adjust due to the differing sizes of added and deleted firms—my study isolates pure demand-based price impact. My findings indicate that, first, passive demand primarily drives the index effect post-2000, with negligible informational effects, while informational effects dominated the pre-2000 period. Second, the declining index effect pattern results from the flattening of stocks' demand curves in the context of index reconstitutions, independent of the informativeness of the index committee's decisions. Lastly, this flattening, which correlates with reduced arbitrage risk and improved cross-stock substitution, suggests increasing market efficiency over time, albeit with non-monotonic efficiency gains that peak during periods of market stability.


EFA Doctoral Tutorial Best Paper Award (2024)

EEA/UniCredit Econ Job Market Best Paper Runner-Up Award (2024)



Presentations: EFA-Doctoral Tutorial (2024), FIRS PhD Session (2024), IRMC (2024), GFA (2024), Helsinki Finance Summit (2024), LBAW 2024, HEC Finance PhD Workshop (2023), European Doctoral Group in Economics (2023) meeting at LSE (2023), Brownbag Bocconi (2023), meeting at USI Lugano (2023)


with Stefano Rossi (Bocconi), and Lorenzo Bretscher (HEC Lausanne)

Abstract: Combining different datasets for the first time, we reconstruct the debt structure of 10,136 firms operating across 52 countries from 2003 to 2021, which comprise 124,101 corporate bond issues held by 63,323 bondholders and 85,817 bank loans and credit lines extended by 10,154 banks. Total debt ownership is most concentrated in civil law countries, and most dispersed in common law countries. There is considerable heterogeneity: In countries with stronger investor protection the debt structure features dispersed debt ownership, with dispersed arm’s length borrowing coexisting with concentrated bank borrowing. In countries with weaker investor protection, firms mitigate the unfavorable institutional environment by borrowing at shorter maturity, and by borrowing in USD-denominated (foreign) debt. These patterns are strongest for small-to-medium size firms, whereas the largest firms have dispersed debt ownership by international investors almost irrespective of their country of incorporation. The considerable heterogeneity that we uncover along debt types and firm size thus supports the importance of considering at the same time different sources of debt, including bank loans, credit lines, and arm’s length debt, to obtain a full picture of firms’ debt structures around the world. Our results broadly support legal origin and financial contracting theories of corporate debt structure.

with Stefano Rossi (Bocconi), Lorenzo Bretscher (HEC Lausanne)