Research

I show that the recent returns to ESG investing are strongly driven by price impact from flows towards ESG portfolios. 

• Winner of the Swiss Finance Institute Best Paper Doctoral Award 2022

• Media Coverage:  SEC, Bloomberg (a), Bloomberg (b), Risk.net

I propose a model to recover dynamic elasticities from portfolio inertia and find that price impacts are three times larger at quarterly horizons than in the long-run equilibrium.

We quantify the impact of Robinhood traders on the US equity market. While their aggregate impact is small on a value-weighted basis, per dollar of invested wealth Robinhood traders exert the largest price impact of any investor group, including hedge funds

• Winner of the Swiss Finance Institute Best Paper Doctoral Award 2021

• Media Coverage: The Wall Street Journal, Morningstar, Bloomberg, Risk.net, Handelsblatt (a) , Handelsblatt (b), Market Watch, Institutional Money, Quantpedia

Prices are volatile, portfolio flows are not. This can be due to large agreement among investors, or high price impact of small flows. We provide a bound on price impact, conditional on the level of disagreement among investors. 

The prolonged period of low long-term interest rates collapsed life-insurer inflows and bond demand by nearly €2 trillion, reshaping Europe’s sovereign-debt investor base by weakening its largest private long-term holders and making markets more dependent on central-bank demand.

We show that fund's  liquidity choice is inelastic with respect to their size, causing self-inflated returns and subsequent crashes.

• Media Coverage:  The Wall Street Journal, Morningstar, Yahoo Finance, Global Trading

Over the past 40 years, gross trading volume has exploded, but net volume from portfolio reallocations, which excludes transitory round-trip trades, has remained unchanged. We show that, conditional on the horizon, net volume, not gross volume, is a superior measure of liquidity.