Research

Working Papers

Managerial Expected Growth and Value Premium (Job Market Paper)

• Abstract:  This paper introduces Managerial Expected Growth (MEG), a novel firm-level growth measure extracted directly from 10-K and 10-Q MD&A disclosures using natural language processing. MEG successfully forecasts future sales growth and intangible investments after controling for various growth proxies. Cross-sectionally, a long-short strategy buying low-MEG and selling high-MEG stocks yields a robust annualized return of 6.5% (a monthly $FF4$-factor alpha of 0.72%). The cumulative spread accumulates monotonically over the two years following portfolio formation with no sign of reversal at longer horizons, and analyst forecast errors are systematically larger for high-MEG firms with no contemporaneous over-revision. Tracking MEG quintile portfolios from three years before through three years after each formation date, high-MEG firms exhibit both higher past sales growth and higher future sales growth, yet earn lower subsequent earnings-announcement returns than low-MEG firms. Together, these patterns are consistent with risk compensation for low-MEG firms having less intangible growth options and inconsistent with behavioral extrapolative mispricing.

• Presentations:  3rd AI in Finance 2026 (Scheduled), 2026 AFA PhD Poster Session, 2025 FMA, 2025 FMA Doctorial Consortia, PSU Colloquium (2025)

• Grants & Awards: Smeal Small Research Grant ($1500)

Mispriced Equity, Default Likelihood, and Credit Rating Accuracy (with Alexei Zhdanov and Samuel Bonsall IV)

• Reject and Resubmit at Journal of Accounting and Economics

• Abstract:  We investigate the real effects of equity mispricing on default probability and its implications for credit ratings accuracy. We find that equity overpricing significantly reduces the probability of default, primarily through increased investment and equity issuance. Examining methodological differences between Egan Jones Ratings (EJR) and Standard & Poor’s (S&P), we show that EJR’s quantitative approach makes its ratings more sensitive to equity mispricing compared to S&P’s holistic method, particularly for financially distressed firms. Importantly, EJR’s ratings demonstrate greater accuracy for both overpriced and underpriced firms. Our findings suggest that credit rating agencies employing quantitative models may better capture the effects of equity mispricing on default risk, thus improving rating accuracy. This study also highlights a previously unexplored real effect of equity mispricing on corporate defaults.

• Presentations:  PSU Seminar(2024)

A Tale of Two Anomalies: Value, Momentum, and Risk Sentiment (with Christian Lundblad, Mihail Velikov, and Alexei Zhdanov)

• Abstract:  We uncover a fundamental divide in how asset pricing anomalies respond to shifts in investor risk sentiment: build-up anomalies thrive in risk-off periods while resolution anomalies collapse. Using momentum and value as representative cases, we show that value stocks and past losers experience sharp underperformance precisely when risk appetite deteriorates. Trading data offer an additional perspective: during risk-off episodes, retail investors flee value stocks, while short sellers double down, intensifying the drawdown. In contrast, momentum stocks evade similar selling pressure, reinforcing their resilience. Specifically, we distinguish between build-up and resolution anomalies, providing new evidence on the resilience of some anomalies in the face of deteriorating risk sentiment while others unravel. These differences in both returns and investor flows between anomaly types are difficult to coherently reconcile with a comprehensive theoretical explanation.

• Presentations: PSU Brownbag* (2024); 19th International Behaviour Finance Conference (2025); EasternFA (2026)

Work in Progress

Peer Momentum  (With Mihail Velikov, Ulas Misirli, and Daniela Scidá)