I am a Lecturer (assistant professor) at UNSW Business School (Sydney)
My primary research interests are: (1) Behavioral finance with micro-economic foundations, (2) Asset pricing theory and (3) FinTech, especially in the context of monetary theory
I currently teach MFIN6201, Empirical Techniques and Applications in Finance.
Published Paper
1. Aspirational Utility and Investment Behavior with Andreas Aristidou, Aleks Giga and Fernando Zapatero
Journal of Financial Economics (2025)
We explore the extent to which aspirations -such as those forged in the course of social interactions- explain 'puzzling' behavioral patterns in investment decisions. We motivate an aspirational utility, reminiscent of FriedmanSavage (1948), where social considerations (e.g., status concerns provide an economic foundation for aspirations. We show this utility can explain a range of observed investor behaviors, such as the demand for both right- and left-skewed assets; aspects of the disposition effect; and patterns in stock-market participation consistent with empirical observations. We corroborate our theoretical findings with two novel laboratory experimental studies, where we observed participants' preference for skewness in risky lotteries shift as lab-induced aspirations shifted.
Working Papers (in order of "recently updated")
2. Clinging Onto the Cliff: A Model of Financial Misconduct, with AJ Chen and Fernando Zapatero
The literature finds evidence of multiple sources of managerial pressure, and that pressure can trigger financial misconduct (henceforth, ``fraud"), yet there is a lack of a model that explains the mechanism. We introduce a pressure-based model of fraud, which extends the conventional use of Becker's model of crime (cost-benefit analysis) into the third moment, i.e., we adopt a skewness perspective. Our framework provides a coherent explanation for many notable empirical regularities and puzzles on fraud: for example, why fraud is typically hard to detect; why fraud is so prevalent despite limited evidence on a strong positive expected payoff to crime; how the ``slippery slope to crime'' arises; an explanation for the ``fraud power law'' (Cheynel et al. (2024)); and the high incidence of fraud during the middle phase of the business cycle (e.g., Wang et al (2010)).
3. Distribution-Dependent Value of Money: A Coalition-Proof Approach to Monetary Equilibrium, with Ohik Kwon and Byoung-Ki Kim
We present a monetary model tailored to cryptocurrencies. Motivated by the heavily skewed (cross-sectional) distribution of cryptocurrency observed in reality, we firstly aim to understand how the distribution of money affects its value as medium of exchange. We document a network effect: the value of a given unit of money is higher when its distribution is even, rather than skewed. We also find some distributions to be destabilizing: there is a strong incentive to form coalitions to repudiate the incumbent and re-issue new currency when the distribution is skewed, calling for a "coalition-proof" refinement. While our focus on distribution-dependence and coalition-proofness is theoretically novel on its own, our model also provides constructive advice to future designers of cryptocurrency.
4. Two Reasons to Covet Social Status: A Model of Status-Driven Choice, with Fernando Zapatero
The status literature has suggested two reasons why social status may be desirable. First, higher status gives a sense of advancement vis-a-vis peers -other agents in a reference group. Second, similar to a firm's investment, higher status can improve the individual's wealth prospects in the future. We study the optimal strategy of an individual who maximizes multiperiod utility from consumption and from status (through the previous two channels). We find many realistic features that are consistent with empirical evidence, for example, a preference to be the "big fish in a small pond". The model also generates a single-period utility function that reminisces Friedman and Savage (1948).
5. Disaster in My Heart: A Visceral Explanation for Asset Pricing Puzzles
Best Paper Award: AFBC PhD Forum 2018, Best Dissertation Award: KAFA 2018
I introduce the notion of 'dis-utility shocks': rare but large negative idiosyncratic deviations from the consumption-implied utility level. Dis-utility shocks represent an unmistakable aspect of human life - that it can sometimes be unusually painful. I propose to adjoin dis-utility shocks to a standard consumption-based asset pricing model and develop a method to compute their impact on asset prices numerically. Despite their idiosyncratic nature, calibration results show that they are priced. Moreover, contrary to many other asset pricing models, I embed dis-utility shocks in a parsimonious manner - in just three parameters - yet show that they help address many of the standard asset pricing puzzles.