- Cross-sectional Skewness with Jessica A. Wachter
- High-Frequency Expectations from Asset Prices: A Machine Learning Approach with Aditya Chaudhry
- Are Green Investors Green-inducing? A Demand System Approach with Don Noh
- Social Inflation
This version: December 2019.
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
This version: September 2020.
We construct a daily measure of GDP expectations that can be used to test many empirical anomalies observed in the asset market.
Awards: 2020 Arnold Zellner Doctoral Prize
This version: July 2020.
We find that institutional demand for "greener" stocks encourages firms to improve their environmental performances as measured by third-party ratings.
Presentations: MFR Summer Session 2020, Chicago Booth, CAFM 2020, AFA PhD Poster 2021
Awards: 2020 CAFM Best PhD Paper Award
This version: March 2021.
I uncover a new aggregate risk for the insurance sector stemming from social factors such as large jury awards and broader definitions of liability.