[1] The Ambiguity Premium of Monetary Policy

Solo-authored

The role of financial institutions in the transmission of monetary policy uncertainty to the economy is not fully understood. I construct an index of bank-level monetary policy uncertainty from U.S. bank earnings calls since 2002 and validate the measure with its correlation with past interest rate forecast errors and aggregate disagreement in the Survey of Professional Forecasters. SVAR evidence confirms that monetary policy uncertainty lowers real activity and tightens lending standards, while leaving bank net worth and term premia unaffected. In the cross-section, banks with high uncertainty charge higher interest rates on syndicated loans, and the effect is concentrated among highly leveraged borrowers. Banks that perceive more uncertainty nonetheless earn a lower net interest margin over the following year. A partial-equilibrium model of costly state verification rationalizes these findings: an ambiguity-averse bank prices credit against its worst-case funding cost, which raises the external finance premium for financial constrained firms. The findings demonstrate that banks' beliefs impact both lending conditions and business cycle fluctuations. 

Presentations (for scheduled): WEHIA 2024 | IFABS 2025 | Ghent Empirical Macro Workshop | EFMA 2025 | 2nd Frankfurt Summer School  | Wolpertinger Annual Conference | FDIC Annual Bank Research Conference

Links: Last version

[3] Narrative Forecasts (Journal of Economic Psychology)

With Yuting Chen, Maurizio Montone, Valerio Potì

We propose a novel methodology to identify managerial beliefs from earnings call transcripts using lexicon-based sentiment analysis with machine-learning guided topic modeling. Unlike traditional survey-based approaches, our method extracts managerial beliefs with near-universal coverage. We show that managerial sentiment significantly predicts analyst forecast revisions, with presentation sentiment showing stronger effects than question and answer (Q&A) interactions. The influence of sentiment varies by topic salience and media attention, suggesting that narrative content shapes analyst expectations beyond fundamental information. Our approach offers a scalable alternative to surveys for measuring economic beliefs, providing high-frequency, comprehensive coverage of managerial perspectives across firms and time.

[2] Do actions follow words? How bank sentiment predicts credit growth (R&R Second Round at Journal of Financial Intermediation)

With Martien Lamers

This paper constructs a bank sentiment index using earnings call transcripts of US banks from 2001 to 2023 to analyze its impact on future credit growth. A one standard deviation increase in sentiment leads to a 1.908% rise in credit growth over the next year, lasting up to three years. Optimistic banks overextend credit and take on excessive risk, leading to lower future profitability and higher future provisioning. Using syndicated loans, we find sentiment affects both credit supply and loan pricing. Our results highlight the importance of bank sentiment as a regulatory early-warning indicator and risk-monitoring tool for investors.

Presentations: 49th Eastern Economic Association Conference | 16th Annual Conference of the Behavioural Finance Working Group | 5th Behavioral Macroeconomics Workshop | Belgian Financial Forum

Links: SSRN

[3]  Sentimental Value 

With Yuting Chen, George M. Constantinides, Maurizio Montone, Valerio Potì

Using state-of-the-art machine-learning techniques, we find that managers communicate valuable long-run information about their companies during earnings calls. Optimistic tone (FinBERT) predicts an increase in investment, productivity, and innovation followed by a tapering off over a multi-year horizon, consistent with rational belief updating rather than mood or manipulation. Conversely, stock returns exhibit an initial positive jump followed by partial reversals, indicating investor overreaction to managerial narratives. The asymmetric manager-investor response is amplified in hard-to-value firms, where uncertain fundamentals make reliance on incoming information stronger. Finally, we show that managers exploit investors’ predictable tendency to overreact by timing net equity issuance.

Presentations: 18th Annual Conference of the Behavioural Finance Working Group | 7th Annual RCF-ECGI Corporate Finance and Governance Conference | 23rd Benelux Corporate Finance Days | Research in Behavioral Finance Conference

Work in Progress