Research

Working Papers

1. "Heterogenous Beliefs and Leverage."(2021)

The objective of this paper is to develop a simple two agent macroeconomic model consisting of lenders and borrowers with heterogenous beliefs or risk-tolerance levels to understand their interaction in a financial market. This paper discusses how heterogeneity in beliefs among lenders and borrowers can contribute to accumulation of leverage, out- come of the financial cycles and entry and exit within the financial market. We show that heterogeneity in beliefs or risk-tolerance among the two types of agents can lead to endogenous borrowing constraints and at the same time may shift the concentration of risk into some riskier balance sheets leading to financial instability. This paper ar- gues that borrowers with optimistic beliefs can only accumulate higher leverage provided they match with a creditor with an optimistic belief too. In contrast, a creditor with pessimistic belief or low risk-tolerance level will be reluctant to lend to an optimistic borrower with high risk appetite leading to endogenous borrowing constraint. The proposition that this study states is that the stronger of the two belief sets binds.

2.  A Model of Investor Belief and Redemption (previously title; "A Theory of Investor Runs") (2022), Slides

How does investor belief influence the decision to redeem an investment in an open end fund? In this paper we present a model with the dynamics of the decision making process of an investor and a fund manager in an open-end fund market using a relationship game of repeated interaction with beliefs to understand the conditions that induces an investor to quit. This theoretical framework lays importance on investor belief and its evolution over time highlighting the key role of factors that determines formation and the length of the stay of the investor with the fund; asymmetric information, outside option available to the investor and cost from non-participation and quitting the fund.

3. Do outflows increase carbon risk? Evidence from open-end funds.  (2023) , Slides

The observed and impending consequences of climate change are a concern for both the investors and managers of the open-end funds on how to re-structure their portfolios which face serious threat from climate change risks such as physical risks, transition risks and indirect risks which signicantly impact portfolio management. Existing studies show that the availability of information in the form of sustainability and carbon ratings have resulted in the open-end green funds experiencing significant inflows compared to the brown counterpart since 2016. But the onset of covid in 2020, led to significant outflows from the investment funds. In this paper, I investigate whether the outflows from these green open-ended investment funds affected and increased the carbon risk score of the portfolios of these funds. Additionally, I focus on the outflows happened during the onset of covid pandemic and discuss the following question, "Did the fund managers re-orient capital flows to a high carbon direction after covid?"

Conferences, Seminars and Workshops

1. PhD Economics and Finance Conference (organized by LUISS, EIEF and Tor Vergata), September 9, 2022.

Paper - "A Theory of Investor Runs", slides

2. PhD Economics Virtual Seminar (organized by PhD students from Vienna, Birmingham, IMT Lucca, Washington University in St. Louis and Padova), October 20, 2022. 

3. 7th International Conference on Applied Theory, Macro and Empirical Finance (organized by University of Macedonia, Thessaloniki, Greece), April 10-11, 2023.

4. XXIV Quantitative Finance Workshop (QFW 2023) (organized by University of Cassino, Gaeta, Italy; previous editions were held by Tor Vergata, Napoli and Zurich), April 20-22, 2023.

5. Midwest International Trade and Theory Conference (organized by Haslam College of Business, University of Tennessee, Knoxville, USA), April 28 - 30, 2023 - Accepted. 

6. 14th International Conference - "Challenges of Europe" (organized by University of Split, Bol, Croatia), May 17 - 19, 2023 - Accepted.

7. LUISS PhD Internal Seminar - LUISS, Rome, April 27, 2023 

8. SASCA PhD Conference, 2023 (organized by University of Sassari and Ca' Foscari University, Venice), September 12-12, 2023 - Upcoming

9. 2nd Rome PhD in Economics and Finance Conference(organized by Tor Vergata University of Rome, Rome), September 15, 2023 - Upcoming

10. 45th EBES Conference (hosted by Mathius Corvinus Collegium and Istanbul Economic Association, Budapest), October 11 - 13, 2023 - Accepted

11. 64th Annual Conference Societa Italiana di Economia (organized by Gran Sasso Science Institute (GSSI), L’Aquila), October 19 - 21, 2023 - Accepted