Curriculum Vitae

Here is a PDF version of my resume. 

Recent Publications

Vanishing Contagion Spreads, Management Science 68 (1), 740-772, 2022,  with Diogo Duarte,  Marcel Rindisbacher,  and Yuri Saporito. https://doi.org/10.1287/mnsc.2020.3868 

Uncovering Sparsity and Heterogeneity in Firm-level Return Predictability Using Machine Learning,  Journal of Financial and Quantitative Analysis,  58 (8), 3384-3419, 2023, with Theodoros Evgeniou and Ahmed Guecioueur. https://doi.org/10.1017/S0022109022001028 

Asset Pricing with Costly Short Sales, Management Science, Articles in advance, 2024,  with Julien Hugonnier. https://doi.org/10.1287/mnsc.2023.01887 

Working papers

Optimal Liquidity and Asset Bubbles, with Jerome Detemple and Yerkin Kitapbayev  SSRN

Abstract: This paper examines how the interaction between arbitrageurs, stockholders and liquidity providers may cause asset bubbles in a dynamic financial market with endogenous entry. Credit lines contribute to the formation of bubbles and amplify the impact of shocks, hurting existing stockholders, but allow arbitrageurs to enter the market at low cost, rehabilitating thus the risk concentration channel of limited participation models. Optimal liquidity levels carefully balance the benefits and costs of arbitrage, yet excessive liquidity can increase market fragility. This is particularly relevant in the current financial landscape, where the rise of cryptocurrencies presents novel challenges for regulators.

Technology Traps and Long Discount Rates SSRN

Abstract: This paper studies long discount rates in a dynamic asset pricing model with a production side incorporating multiple technologies and an R&D decision that endogenizes technological change. A pricing formula for capital strips is derived as an affine combination of discount factors, analogous to defaultable bond prices with zero recovery, and as a result, the far distant future is discounted at the lowest possible adoption-adjusted rate. This rate is characterized by quantities in a trap, a hard-to-exit state with low productivity. Our results provide a novel framework for evaluating long-term projects, such as those aimed at climate change mitigation. 

Recent Discussions

Wealth Inequality, Aggregate Risk, and Asset Prices, by Harjoat Bhamra, Marco Francischello and Clara Martínez-Toledano (Imperial College), May 19, 2022.

The U.S. Dollar and Variance Risk Premia Imbalances, by Mads Markvart Kjær and Anders Merrild Posselt (Aarhus University),  December 15, 2022.

Passive Investing and the Rise of the Mega-Firms, by Hao Jiang (MSU), Dimitri Vayanos (LSE) and Lu Zheng (UCI), June 6, 2023.

Of Trees and Beanstalks: A Paradox of Co-Integration and the Sharpe ratio of Growth-indexed Bonds, by Stavros Panageas (UCLA), June 5, 2024.

Executive Compensation and Pollution: Theory and Evidence, by Jerome Detemple and Hao Xing, June 2025.