Financial markets feature dynamic investors, who condition their asset allocation on news, and static investors, who allocate wealth across asset classes in preset proportions. This paper models how their interaction determines stock prices. Because static investors consistently follow their asset allocation strategy over time, their wealth generates current and prospective demand pressure on stocks. Dynamic investors are unconstrained, yet they cannot profitably arbitrage away this demand pressure, as stock prices are rationally expected to remain elevated by static investors' support. The equilibrium stock market valuation reflects static investors' level of wealth, over and above wealth flows, dividends, and discount rates.

Presented at the AFA Junior Faculty Mentoring Program (2026), Asset Pricing Conference by LTI@UniTo (2023), Bank of Italy (2024), Bayes Business School (2024), Boston College (2024), CEPR Paris Symposium (2025), ESCP (2024), EFMA (2024), EUROFIDAI-ESSEC Paris December Finance Meeting (scheduled), Finance Theory Group Summer Meeting (2024), Goethe University (2023), Imperial College Business School (2024), NFA (2025), Norwegian School of Economics (2024), Nova Finance PhD Final Countdown (2023), Nova School of Business and Economics (2024), Rotterdam School of Management (2024), SAFE Research Offsite (2023), SAFE (2023), St. Gallen Financial Economics Workshop (2026), University of Manchester (2025), University of Mannheim (2023), USI Lugano (2023), Venice Finance Workshop (2023), and Warwick Business School (2024). 

Best Ph.D. paper award, Asset Pricing Conference by LTI at Collegio Carlo Alberto, 2023.

John A. Doukas best Ph.D. paper award, European Financial Management Association Meeting, 2024.

Fluctuations in market liquidity expose investors to significant risk. How investors can best manage this risk remains an open question. This paper proposes a new instrument for managing market liquidity risk: a derivative with a payoff linked to the market liquidity of its underlying asset. We show how to value this derivative in relation to traded options and expectations of future trading volume. Applying this approach to E-Mini S\&P 500 futures, we construct the LIX, a forward-looking risk-neutral index of market liquidity. We then show in an equilibrium model that derivatives on market liquidity can contribute to financial stability.

Presented at Boston College (2024), Canadian Derivatives Institute Conference (2024),  Derivative Markets Conference (2022), Frankfurt School of Finance & Management (2024), German Finance Association (2023), Goethe University Frankfurt (2022), Leibniz Institute for Financial Research SAFE (2021), NYU Stern/Salomon Microstructure Meeting (2022), and Warwick Business School (2024). 

This paper develops a preferred-habitat theory of the yield curve and the repo market that regards bonds as both investment assets and collateral. Habitat preferences for specific bonds introduce price differences between bonds with identical cash flows and generate special repo rates, namely collateralized borrowing rates significantly below the riskless rate. Special repo rates reduce arbitrageurs' short-selling activity, thus influencing their portfolio duration, the market price of interest rate risk, and the entire yield curve, over and above the valuation of specific bonds. This effect is consistent with the empirical evidence. Monetary policy recommendations are derived and illustrated by calibration. 

Presented at the Adam Smith Workshop (2026), AFA (2026), AFFI (2023), Bank of Italy (2022), Bocconi University (2023), Bundesbank (2024), Bundesbank Term Structure Workshop (2024), Central Bank Microstructure Conference (2023), CEPR ESSIM (2026), CEPR Paris Symposium (2023), ChaMP (2024), German Finance Association (2023), Goethe University (2023), Henley Business School (2023), EFA (2024), Federal Reserve Board of Governors (2023), GRETA-CREDIT (2022), International Conference on Sovereign Bond Markets (2023), IRMC (2022), Lehigh University (2023),  Leibniz Institute for Financial Research SAFE (2022), LSE (2023), NFA (2023), NYU Stern (2022), NYU Stern doctoral seminar (2021, 2022),  Public Debt Management Conference (2024), SGF (2024), University of Massachusetts Amherst (2023), Venice Finance Workshop (2023), and the Wharton School (2023).

We document that the COVID-19 pandemic triggered a surge in the elasticity of non-financial corporate to sovereign credit default swaps in core European countries, characterized by strong fiscal capacity. In peripheral countries with lower fiscal capacity, the pandemic had essentially no impact on such elasticity. We show that this result is primarily explained by a pandemic-induced repricing of government support, which we model within an asset pricing framework featuring defaultable corporate and sovereign debt. Our results underscore the importance of sovereign fiscal capacity, which helps providing relief to firms' financing costs in the event of a widespread economic contraction.

Presented at the AFA poster session (2022), AFFI (2022), Bank of England (2022), CICF (2022), EFA (2021), Federal Reserve Bank of Atlanta (2021), Goethe University Frankfurt (2021), HEC Paris (2024), Leibniz Institute for Financial Research SAFE (2021), University of Neuchâtel (2024), New Zealand Finance Meeting (2021), Paris Meeting EUROFIDAI (2021), SoFiE (2022), SWFA (2022), Swiss Finance Institute (2021), University of Turin (2021),  University of Verona (2021), UNSW Sydney (2024), UTS Sydney (2024), and WFA (2022). 

Replication code