Extreme Inflation and Time-Varying Disaster Risk (2023), Management Science
(with Christoph Meinerding and Christian Schlag)
Informational role of inflation for asset pricing and for sign switching in the time series of stock-bond return correlation.
Selected Presentations: Wharton, BI Oslo, WFA 2018, Paris December Finance Meeting 2017
International Capital Markets with Interdependent Preferences: Theory and Empirical Evidence (2023), Journal of Economic Behavior & Organization
(with Giuliano Curatola)
Time-varying preferences are a plausible driver of key macroeconomic variables and stock returns and account for home bias in consumption and portfolios.
Selected Presentations: Paris December Finance Meeting 2018, EEA 2018, Bank of Lithuania and University of Zurich
Whose forecast matters? The risk premium of optimistic and pessimistic disagreements (2023) (with Giuliano Curatola and Christian Schlag)
We propose to decompose total disagreement of professional forecasters into the disagreement among optimists and pessimists and show empirically that both disagreement measures are priced and command different risk premia with a negative (positive) premium for pessimistic (optimistic) disagreement.
Selected Presentations: 7th Asset Pricing Workshop LTI@UniTO, Paris Finance December Meeting 2023, EEA 2021 , MFA 2021, SGF 2021, Leibniz Institute for Financial Research SAFE
Risk Aversion in Corporate Bond Markets (2022) (with Antje Berndt and Jean Helwedge)
We examine the time variation of risk aversion in corporate bond markets and its relationship with monetary policy, using data from 1974 to 2020.
Paper offers insight into the impact of hedge fund activism on credit default swap (CDS) and corporate bond market investors.
and corporate bond market investors
Selected Presentations: FMA Asia/Pacific 2024
Production and Endogenous Preferences (2018)
Consumer preferences for goods can explain wealth allocations across different sectors and their excess returns in U.S. economy.
Selected Presentations: Eastern FA 2021, EEA 2020, PMFC 2019, New Economic School
The variation in bailout subsidies to large European banks across stakeholders and over time (with Antje Berndt, Darrell Duffie and Yichao Zhu)
Predictability in Central and Eastern European Countries (2017)
Stock return predictability in emerging markets. Out-of-sample decomposition of predictability shows that time-varying macroeconomic risk premium can be captured by the conditional CAPM model.
Presented at: PFMC 2018, WIEM 2018, World Finance & Banking Symposium in Bangkok 2017