A Hitchhiker's Guide to Demand System Asset Pricing

June 2023

Demand System Asset Pricing (DSAP) seeks to jointly understand asset prices, macro variables, characteristics, portfolio holdings and flows. In this post, I summarize frequently asked questions and clarify misconceptions associated with recent work in this area. This post is continuously updated.


9 Things I Learned from SVB

April 2023

Silicon Valley Bank (SVB)—the 16th largest bank in the United States—was shut down by federal regulators on March 10, 2023. Here are 9 things I learned from the recent banking crisis.


On Writing (Academic Papers) Well

February 2023

In January 2023, I participated in the EconScribe Research Paper Workshop, an asynchronous session led by Varanya Chaubey. She is also the author of The Little Book of Research Writing, which helps structure your papers. In this post, I summarize the key lessons from the workshop.


When Securitization Met Private Equity

January 2023

Recently, there has been a discussion regarding the rise of collateralized fund obligations (CFOs), which pool together multiple private equity funds and issue securities backed by them. In this post, I summarize my brief investigation of their prevalence, economic motives behind their rise, and future research questions that may be of interest.


Quantifying the Surprise Factor in Paper Titles

December 2022

How should abstracts of papers be written to maximize impact? In this post, I evaluate the abstracts of academic papers written by my friends at graduate school using recent advancements in language models.


Financial Approach to Environmental Sustainability

August 2022

The past few years have seen many actors in the financial system take sustainability into account in their decision-making. In this post, I paint a broad picture of the related efforts and how they interact with one another.


Standard way to cluster standard errors

May 2022

Clustering standard errors can make or break papers. In this post, I discuss what are considered standard approaches to clustering standard errors, particularly focusing on asset pricing and corporate settings. I benefited from discussions with Fulin Li.


Financial Markets in Monetary Policy

March 2022

Central banks already come equipped with the dual goal of price stability and financial stability. In this post, I explore existing literature that explores the role of financial stability considerations in monetary policy, above and beyond its traditional financial stability tools.


Fixing Identification with Fixed Effects

February 2022

With the broader availability of panel data, fixed effects (FE) regression models are becoming important and used widely for identifying causal effects. In this post, I discuss a few papers in which the usage of fixed effects is quite illuminating. I have benefited from discussion with Gurpal S. Sran.


Finance Questions for DeFi

January 2022

The developments in DeFi, or decentralized finance, are much quicker than accompanied advances in academic discourse. In this post, I organize some questions based on my preliminary readings that will help us keep up with the fast-changing landscape. I plan on updating this list as the landscape evolves.


Measurement Matters

December 2021

Much of academic discourse depends on a set of rigorously established “stylized facts.” Providing such facts rely on sound measurement, which is often harder than it seems. I discuss three recent examples that are worth noting.


Elon's Natural Experiment

November 2021

On November 6th, 2021, Elon Musk tweeted that he would sell 10% of his stake in Tesla following the outcome of a Twitter poll. In this post, I use this episode as a lens into theories of asset demand and their role for prices. I have benefited greatly from discussions with Aditya Chaudhry.


Replicating Portfolios

October 2021

A recent body of work extends the replicating portfolio approach to provide insights into valuation and measurement of key assets and entities of interest. In this post, I discuss some innovative examples that are worth noting.


Selection Bias in Finance

September 2021

In this post, I summarize some famous examples of selection bias in finance and economics. Hopefully they serve as a useful reminder that even when identification and estimation are sound, there are always lingering concerns about external validity.


Institutional Details and History for Finance PhDs

August 2021

In this post, I summarize key institutional details and historical episodes that come up consistently in seminars and job talks. For both empirical and theoretical research in finance, a solid understanding of these seems useful.


Skewness Strikes Back

July 2021

Skewness in the distribution of economic outcomes is underappreciated. In this post, I summarize some basic insights regarding skewness in three themes. I also describe why I think now is a particularly interesting time to focus on skewness.


Levels vs. Changes

May 2021

In many empirical models within finance, one needs to decide whether to use variables as their levels or their changes. In this post, I briefly go over reasons why one may chooses one versus the other.


Insurance Frauds Galore

March 2021

In this post, I take a quick look at a new database on insurance frauds and discuss potential research questions related to this topic.


Variations in SVARs

January 2021

In this post, I explore the variations in Structural VARs (SVARs) and their recent applications. This is mostly an amalgam of notes based on my readings of multiple lecture notes, papers, and documentations.


Programming in Stata vs. Python

December 2020

Recently, I've spent some time implementing a particular task in both Stata and in Python. Despite this very useful reference, I've had a lot of struggle getting the output in both platforms exactly identical. Here is a list of things to watch out for when you're puzzled by why the two sets of code yield different output.


Expectation Extraction

September 2020

Asset prices and portfolio holdings encode information about investor beliefs about the future and about investors' concerns for risk. A natural empirical exercise is to use the financial market data to extract such information. In this post, I briefly outline a few approaches that have emerged recently.


Khwaja-Mian (2008) Estimator

July 2020

In this post, I explain the Khwaja-Mian (2008) estimator, which is a technique used to control for credit demand shocks in order to identify credit supply shocks i.e. the "bank lending channel." Authors introduce time-variant firm fixed effects to fully capture the demand for credit by focusing on firms with multiple banking relationships. They actually do more than this, but subsequent papers citing this paper only refer to the inclusion of fixed effects.

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