Published / Forthcoming

  1. Cross-sectional Skewness with Jessica A. Wachter [SSRN] [Paper]
  2. 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

  1. Social Inflation [SSRN]
  2. I uncover a new aggregate risk for the insurance sector stemming from social factors such as large jury awards and broader definitions of liability.

    • Presentations: NBER Insurance 2022, SGF 2022, WFA 2021, EFA 2021, AFA PhD Poster 2021, IRMC 2020, EGSC 2020

    • Awards: WFA PhD Candidate Award For Outstanding Research, Stigler Center PhD Dissertation Award and Bradley Fellowship, 2nd Place in 3MT Competition

  3. Pricing of Climate Risk Insurance: Regulatory Frictions and Cross-Subsidies with Ishita Sen and Ana-Maria Tenekedjieva [SSRN]
  4. Insurers overcome regulatory frictions by cross-subsidizing insurance across states, leading to a decoupling of rates from the underlying risk.

    • Presentations: 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

    • Awards: European Finance Association Meeting Best Paper Prize in Responsible Finance 2022

    • Media: HBS Working Knowledge

  5. High-Frequency Expectations from Asset Prices: A Machine Learning Approach with Aditya Chaudhry [SSRN]
  6. We construct a daily measure of GDP expectations that can be used to test many empirical anomalies observed in the asset market.

    • Presentations: Bank of England, SoFiE Machine Learning Conference, SoFiE 2021, Chicago Econ, Chicago Booth, 2020 Bergen FinTech Conference

    • Awards: 2020 Arnold Zellner Doctoral Prize

  7. Measuring Institutional Pressure for Greenness: A Demand System Approach with Don Noh [SSRN]
  8. We quantify the institutional price pressure induced by demand for green stocks.

    • Presentations: AFA PhD Poster 2021, MFR Summer Session 2020, Chicago Booth, CAFM 2020

    • Awards: 2020 CAFM Best PhD Paper Award | Media: World Bank Blog