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Rethinking Volume (coming soon)
(with Lorenzo Bretscher and Zhiyu Julie Fu)
Rethinking Volume (coming soon)
(with Lorenzo Bretscher and Zhiyu Julie Fu)
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.
Gross Trading Volume versus Net Volume
A Bound on Price Impact and Disagreement
(with Lorenzo Bretscher and Zhiyu Julie Fu)
A Bound on Price Impact and Disagreement
(with Lorenzo Bretscher and Zhiyu Julie Fu)
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.
Price Impact Bound for the Cross-Section of US Equities
R&R at Journal of Financial Economics
R&R at Journal of Financial Economics
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.
Stock-specific Dynamic Multipliers
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
Self-Inflated Returns
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: Bloomberg (a), Bloomberg (b), Risk.net, SEC, VettaFi
Cumulative ESG Flows Among Investors
We quantify Robinhood’s market impact and find that retail flows explain up to 18% of stock return variation and lifted small-cap valuations by 20%.
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
Evolution of Robinhood Account Holdings
The Equilibrium Flow-Return Relation
with Antoine Didisheim, Andreas Schrimpf and Semyon Malamud
The Equilibrium Flow-Return Relation
with Antoine Didisheim, Andreas Schrimpf and Semyon Malamud
Returns and flows exhibit a high contemporaneous correlation. How can we identify whether returns are driven by flows or flows simply respond to contemporaneous returns? We develop a simple equilibrium model that disentangles the two channels and leads to an explicit bias-correction formula.
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