Working Papers

“Performance Constraints as Limits to Securities Lending: Evidence from Public Pension Funds” (with Mario Pascoa), Job Market Paper

click here for the latest version

Abstract: This paper develops a general equilibrium model in which internal minimum-return requirements endogenously constrain securities lending and generate positive borrowing fees. Using U.S. public pension fund data from 2001 to 2024, we show that greater performance shortfalls relative to actuarial return targets are associated with significantly lower lending activity, highlighting internal performance mandates as a source of lending scarcity.

“Short Selling through Securities Lending and Repo"

available upon request

Abstract: This theoretical paper compares securities lending and repo as mechanisms for supporting short selling under heterogeneous beliefs and financial constraints. Market-specific capacity limits, a lending cap in securities lending and a balance sheet constraint in repo, generate distinct equilibrium quantities, prices, and borrowing costs.

"Economics students are demanding better disabilities support and we can provide it: the results of a pilot support programme" (with Eric Golson, Mariia Burmistrova, Leonardo Barros Torres, and Jaime Velasco Sanchez)

available upon request

Abstract: This paper evaluates a subject-specific disability support programme for undergraduate economics students at a UK university. Using five years of examination data, we document higher failure rates among disability-registered students, particularly in quantitatively demanding modules, and show that targeted one-to-one tutoring is associated with improved progression and lower failure rates at relatively low cost.

Works in Progress

"Investigating the Negativity Bias in the News Media and Twitter towards the Stock and Foreign Exchange Markets" (with Mohamad Hosein Dehghani)

English version in progress

Abstract: In this paper we estimate negativity bias in public and media sentiment toward Iran’s stock and foreign exchange markets, using Persian Twitter and news data. Findings show stronger public reactions to negative stock market changes, while news tone correlates mainly with positive market changes. Results also reveal lagged relationships between exchange rate movements and social media sentiment, as well as significant alignment between news and Twitter tone.

"Interconnection Between the Securities Lending and Repo Markets During Macroeconomic Stress''

in progress