Risk-based Interest Rate Expectations (job market paper)

I develop a method to extract interest-rate expectations from options markets by connecting interest-rate risk premia to interest-rate variance risk premia, with no assumptions on interest-rate stationarity. I find first that historical excess bond returns mostly reflected risk premia, not forecast errors. Second, risk-based forecasts outperform surveys and term-structure models out of sample. Third, risk-neutral variance drops sharply around FOMC announcements, suggesting a risk-premium explanation for the  FOMC-announcement decline in long-term rates. Fourth, the recent positive stock-yield correlation is driven by expectations and not risk premia.

Equity Valuation without DCF with Christopher Polk and Thummim Cho

• Conferences: NBER Summer Institute 2025 (presenting author), SFS Cavalcade 2025 (presenting author), Red Rock 2025, AFA 2026 (scheduled), Junior Finance Conference on Valuation 2025 (presenting author)

We introduce discounted alpha – a novel framework for equity valuation. By correcting market prices rather than discounting long-duration cash flows, our approach avoids the discount-rate sensitivity that undermines DCF and uncovers fundamental variation missed by leading methods. Applying our estimates, we  find that private equity funds appear to capture substantial CAPM misvaluation, both initially at buyout and subsequently at exit, and that fundamental buy-and-hold funds tilt toward characteristics that predict underpricing but not short-term alphas. Furthermore, biased beliefs embedded in analyst estimates appear to be an important driver of model-implied price distortions. However, despite these pockets of misvaluation, firm equity values are "almost efficient" by Black's (1986) definition. .

Bye Bye Beta: Deposit Duration with Fixed Spreads 

This paper demonstrates that very low interest rates reduce bank deposit franchise value. I make three empirical claims: First, long-term deposit pass-through is high when rates are high, but near zero when rates are near zero. Second, modeling this non-linearity reveals that deposit franchise duration becomes negative at low rates, even without any deposit runoff or fixed costs. Third, this measure accurately predicts bank stock responses to monetary policy shocks, while other bank duration measures fail. This time-varying sensitivity helps explain why banks accumulated long-term securities during low-rate periods: to hedge against rates staying low.

Deposit Insurance & Bank Lending

Over the past 30 years, bank funding has shifted from small FDIC-insured deposits to large, uninsured deposits. This paper shows that insured deposits fund more lending, particularly business lending, while uninsured deposits are used to purchase more liquid securities. A natural experiment from the 1980 expansion of FDIC insurance limits demonstrates this effect is causal – deposit insurance leads to more business lending and more local business formation. The coefficients are economically large: a 10 ppt increase in the share of assets that are insured leads to a 2-4 ppt increase in loans to businesses as a share of assets and a 4-8% increase in the local number of businesses and employees. The long-term growth of large, uninsured deposits can therefore help explain the secular decline in banks' business lending as a share of balance sheet.

Bank vs Dealer Capital as a Priced Risk

Worshipful Company of International Bankers prize for best MSc dissertation

Recent papers have found that intermediary capital can explain prices across a number of asset classes (He, Kelly, Manela 2017; Adrian, Etula, and Muir 2021). I test intermediaries' explanatory power during the period of Glass-Steagall restrictions, in which commercial banks were ineligible to trade many categories of assets. Surprisingly, I do not find that the capital or assets of dealers eligible to trade asset classes explain those prices better than the ineligible banks. Instead, the ineligible commercial banks appear to explain prices better in the time series and at least as well in the cross-section. These findings provide some support for the idea that the apparent explanatory power of intermediaries arises passively, for example from correlation with time-varying risk preferences, rather than from their interaction with markets.

Awards: LSE Class Teacher Award 2023-24, & 2024-25

Courses:

• FM413: Fixed Income Markets for master's students (2022-2025)

• FM436: Financial Economics for master's students (2022-2025)

• Executive education:

  • • Effective Asset Management (2023-2025)

    • Fixed Income: Markets, Securities, and Institutions (2023)

• FM212: Principles of Finance (2021-2022)

Evaluations:  My latest teaching evaluation is available here

Material: For an example of teaching material I have written, please see my lecture notes on stochastic calculus for Financial Economics students here