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 asset pricing models.


  2. Pricing of Climate Risk Insurance: Regulation and Cross-Subsidies with Ishita Sen and Ana-Maria Tenekedjieva [SSRN] (April 2025) Journal of Finance, Forthcoming

    3. 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

Working Papers

  1. Asset Demand of U.S. Households with Xavier Gabaix, Ralph Koijen, Federico Mainardi, and Motohiro Yogo [SSRN] (July 2025)

    2. 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

    • Media: BFI Research Brief


  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)

    3. 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: CEPR Gersenzee (Scheduled), 4th Annual Holden Conference in Finance and Real Estate (Scheduled), NBER SI Household Finance 2024


  3. Climate Capitalists with Niels Gormsen and Kilian Huber [SSRN] [Project Website] (April 2025)

    4. 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

    * Winner of the 2025 FESE De la Vega Prize

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

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


  4. Social Inflation [SSRN] (October 2024)

    5. 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


  5. Democratizing Private Markets: Private Equity Performance of Individual Investors with Cynthia Balloch, Federico Mainardi, and Petra Vokata [SSRN] (June 2025)

    6. High-net-worth individuals achieve comparable PE returns to institutions through innovative access channels.

    • Presentations: 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


  6. High-Frequency Expectations from Asset Prices: A Machine Learning Approach with Aditya Chaudhry [SSRN] (March 2022)

    7. 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

Work In Progress

  1. Green Price Pressure with Xicheng Li, Don Noh, Sean Shin, and Jihong Song

    2. We use an asset demand system to measure firm-level "green price pressure," which captures how stock prices respond to investor preferences 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