Published / Forthcoming

  1. Cross-sectional Skewness with Jessica A. Wachter [SSRN] [Paper] [Video]

    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 asset pricing models.

    • Presentations: JHU Carey Asset Pricing Conference 2019, Wharton, Chicago Booth, SFS Cavalcade NA 2020, MFA 2020

  2. Pricing of Climate Risk Insurance: Regulation and Cross-Subsidies with Ishita Sen and Ana-Maria Tenekedjieva [SSRN]

    Journal of Finance, 81(3), June 2026, p.1161–1215. Lead Article.

    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

    • Coverage: WSJ, CNN, CNBC, House Financial Services Committee Statement for the Record, 2024 Congressional Budget Office Climate Report, HBS Working Knowledge, Financial Times, NY Times, Financial Times, JP Morgan

  3. Asset Demand of U.S. Households with Xavier Gabaix, Ralph Koijen, Federico Mainardi, and Motohiro Yogo [SSRN]

    Journal of Financial Economics, Forthcoming

    We study the asset demand of U.S. households, including ultra-high-net-worth (UHNW) households, across a wide range of asset classes.

    • Presentations: 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

    • Coverage: BFI Research Brief

  4. Climate Capitalists with Niels Gormsen and Kilian Huber [Slides][SSRN] [Project Website] [Video]

    Journal of Financial Economics, Accepted

    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 2025 FESE De la Vega Prize

    * Winner of the 2024 Moskowitz Prize

    • Presentations: SFS Cavalcade NA 2025, AFA 2025, Baruch-JFQA Climate Finance and Sustainability Conference, Bocconi, Copenhagen, Duke, E-Axes forum, SFS Cavalcade Asia-Pacific 2024, CAFM 2024

    • Coverage: BFI Research Brief, Columbia Business School Newsroom, Mark Hulbert

Working Papers

( I do not disclose R&R status )

  1. Rating Without Market Discipline with Xuelin Li and Giacomo Ricciardi [SSRN] (July 2026)

    We show that private ratings for opaque debt held by life insurers systematically understate credit risk, lower required capital, and reveal the limits of regulation when market discipline is absent.

    * Winner of the 2026 Q-Group Jack Treynor Prize

    • Presentations: Federal Reserve Board, Columbia Business School, Retail Investors in PE (RIPE) working group, KU-KAIST Joint Seminar, Yonsei School of Business

    • Coverage: Bloomberg, Financial Times, Institutional Investor, MarketWatch

  2. Limited Risk Transfer Between Investors: A New Benchmark for Macro-Finance Models with Xavier Gabaix, Ralph Koijen, Federico Mainardi, and Motohiro Yogo [SSRN] (December 2024)

    Risk transfer (how much risk changes hands) is small: 0.65% per quarter. Standard models, however, predict 10x more. A new model with inelastic demand provides reconciliation.

    • Presentations: FRR Conference 2026, NBER SI Household Finance 2024, Carey Finance conference, CEPR Gersenzee, 4th Annual Holden Conference in Finance and Real Estate, WAPFIN 2025, Demand in Asset Markets (DAM) Working Group

  3. Social Inflation [SSRN] (August 2025)

    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

  4. Democratizing Private Markets? Private Equity Performance of Individual Investors with Cynthia Balloch, Federico Mainardi, and Petra Vokata [SSRN] (March 2026)

    Individual investors match institutional PE performance, but advisor skill and fee layers drive sharp return disparities across households.

    • Presentations: AFA 2027 (Scheduled); SHoF Conference on the Future of Private Capital Markets (Scheduled); NYU Stern, Wharton, WFA 2025; RCFS Winter Conference 2025; Columbia PE Conference 2025; Aalto Institutional Investor Conference 2025 (Helsinki); IPC Alternative Investments Conference & Spring Research Symposium 2025; 12th Annual Conference on Financial Market Regulation (SEC)

    • Coverage: SEC Commissioner Speech, Morningstar

  5. Green Price Pressure with Xicheng Li, Dongwoo Noh, Sean Shin, and Jihong Song [SSRN] (January 2026)

    We study the catering channel of sustainable investing: managers improve environmental performance to capture valuation premia created by investor demand for sustainability.

    * This paper supersedes our previous working paper “Unpacking the Demand for Sustainable Equity Investing.”

    • Presentations: 2025 SUFE-HKUST Workshop, SNU Business School, AFA 2024, MFA 2024, SoFiE 2023

Select Work in Progress