Published / Forthcoming
- Cross-sectional Skewness with Jessica A. Wachter [SSRN] [Paper]
Review of Asset Pricing Studies, 12(1), March 2022, p.155–198.
We evaluate the skewness in the cross-section of returns in light of predictions from a well-known class of models.
• Presentations: JHU Carey Asset Pricing Conference 2019, Wharton, Chicago Booth, SFS Cavalcade NA 2020 (video), MFA 2020
Working Papers
- Pricing of Climate Risk Insurance: Regulation and Cross-Subsidies with Ishita Sen and Ana-Maria Tenekedjieva [SSRN] (October 2024) Revise & Resubmit, Journal of Finance
- Asset Demand of U.S. Households with Xavier Gabaix, Ralph Koijen, Federico Mainardi, and Motohiro Yogo [SSRN] (December 2023)
- Climate Capitalists with Niels Gormsen and Kilian Huber [SSRN] [Project Website] (December 2024)
- Social Inflation [SSRN] (October 2024)
- Unpacking the Demand for Sustainable Equity Investing with Don Noh and Jihong Song [SSRN] (December 2023)
- High-Frequency Expectations from Asset Prices: A Machine Learning Approach with Aditya Chaudhry [SSRN] (March 2022)
Insurers overcome regulatory frictions by cross-subsidizing insurance across states, leading to a decoupling of rates from underlying risk.
* Winner of the 2023 E-axes Forum Research Prize
* Winner of the Best Paper Prize in Responsible Finance, European Finance Association, 2022
* Shortlisted for the GSSI International Real Estate Review Best Paper Award, AREUEA
• Presentations: AFA 2024, NBER SI Corporate Finance 2022, NBER Insurance 2021, SITE 2021, NY Fed/ NYU Financial Intermediation Conference, ABFER 2021, FRB Philadelphia Consumer Finance Round Robin 2021, World Risk and Insurance Economics Congress 2021, European Economic Association 2021 , AREUEA International, AREUEA-ASSA meeting 2022, Southern Finance Association 2021, GRASFI 2021, European Finance Association Meeting 2022, BFI Women in Empirical Micro 2022, Northern Finance Association Meeting 2022
• Media: HBS Working Knowledge, Financial Times
We study the asset demand of U.S. households, including ultra-high-net-worth (UHNW) households, across a wide range of asset classes.
• Presentations: NBER SI Household Finance 2024, Wharton Junior Conference on Valuations, AFA 2024, NBER Asset Pricing 2022, NBER Innovative Data in Household Finance, SED 2022, SFS Cavalcade 2023, WFA 2023, UC Boulder Leeds, UW-Madison Business School, NY Fed, Tilburg, U of Amsterdam, UIC, Columbia GSB, Stanford GSB, 3rd Annual Valuation Workshop
• Media: BFI Research Brief
Green firms & divisions report lower perceived cost of capital and discount rates in recent years, concurrent with the rise of "green investing."
* Winner of the 2024 Moskowitz Prize
• Presentations: Bocconi, Copenhagen, Duke, E-Axes forum (video), SFS Cavalcade Asia-Pacific 2024 (scheduled), CAFM 2024 (scheduled), AFA 2025 (scheduled)
• Media: Mark Hulbert
I uncover a new source of aggregate risk for the insurance sector: shifts in insurers' loss distribution induced by changing social norms and legal developments.
* Winner of the WFA PhD Candidate Award For Outstanding Research
* Winner of the Stigler Center PhD Dissertation Award and Bradley Fellowship
• Presentations: Junior Finance Conference at UW-Madison 2024, NBER Insurance 2022, Yiran Fan Memorial Conference 2023, SGF 2022, WFA 2021, EFA 2021, AFA PhD Poster 2021, IRMC 2020, EGSC 2020, 3MT Competition
We investigate the heterogeneity in investor demand for sustainable equity investing and study its implications.
* Winner of the 2020 Conference on Asia-Pacific Financial Markets (CAFM) Best PhD Paper Award
• Presentations: AFA 2024, MFA 2024, SoFiE 2023, AFA PhD Poster 2021, MFR Summer Session 2020, Chicago Booth, CAFM 2020
• Media: World Bank Blog
We construct a daily measure of GDP expectations that can be used to test many empirical anomalies observed in the asset market.
* Winner of the 2020 Arnold Zellner Doctoral Prize
• Presentations: Bank of England, SoFiE Machine Learning Conference, SoFiE 2021, Chicago Econ, Chicago Booth, 2020 Bergen FinTech Conference