- 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, Chicago Booth Finance Brownbag, 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.
Presentations: Chicago Econ Macro / Monetary Reading Group, Chicago Booth Finance Brownbag, 2020 Bergen FinTech Conference, 2020 Modelling with Big Data & Machine Learning: Measuring Economic Instability (Scheduled)
Awards: Arnold Zellner Doctoral Prize 2020
This version: July 2020.
We find that institutional demand for "greener" stocks encourages firms to improve their environmental performances.
Presentations: MFR Summer Session 2020, Chicago Booth Finance Brownbag, CAFM 2020 (Scheduled), AFA PhD Poster Session 2021 (Scheduled)
This version: October 2020.
I uncover a new aggregate risk for the insurance sector stemming from social factors such as large jury awards and broader definitions of liability.