Published / Forthcoming
- Cross-sectional Skewness with Jessica A. Wachter [SSRN] [Paper]
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
- Asset Demand of U.S. Households with Xavier Gabaix, Ralph Koijen, Federico Mainardi, and Motohiro Yogo [SSRN]
- Pricing of Climate Risk Insurance: Regulatory Frictions and Cross-Subsidies with Ishita Sen and Ana-Maria Tenekedjieva [SSRN]
- Social Inflation [SSRN]
- Measuring Institutional Pressure for Greenness: A Demand System Approach with Don Noh [SSRN]
- High-Frequency Expectations from Asset Prices: A Machine Learning Approach with Aditya Chaudhry [SSRN]
We study the asset demand of U.S. households, including ultra-high-net-worth (UHNW) households, across a wide range of asset classes.
• Presentations: NBER Asset Pricing 2022, SED 2022
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
I uncover a new aggregate risk for the insurance sector stemming from legal factors such as large jury awards and broader definitions of liability.
• Awards: WFA PhD Candidate Award For Outstanding Research, Stigler Center PhD Dissertation Award and Bradley Fellowship, 2nd Place in 3MT Competition
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
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