Job Market Paper
- Social Inflation [PDF] [SSRN]
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.
• Awards: WFA PhD Candidate Award For Outstanding Research, Stigler Center PhD Dissertation Award and Bradley Fellowship, 2nd Place in 3MT Competition
- Pricing of Climate Risk Insurance: Regulation and Cross-Subsidies with Ishita Sen and Ana-Maria Tenekedjieva [SSRN]
- Asset Demand of U.S. Households with Xavier Gabaix, Ralph Koijen, Federico Mainardi, and Motohiro Yogo [SSRN]
- Unpacking the Demand for Sustainable Equity Investing with Don Noh and Jihong Song [SSRN]
- Climate Capitalists with Niels Gormsen and Kilian Huber [SSRN] [Project Website]
- High-Frequency Expectations from Asset Prices: A Machine Learning Approach with Aditya Chaudhry [SSRN]
Revise & Resubmit, Journal of Finance
Insurers overcome regulatory frictions by cross-subsidizing insurance across states, leading to a decoupling of rates from underlying risk.
• Presentations: AFA 2024 (scheduled), 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: 2023 E-axes Forum Research Prize, European Finance Association Meeting Best Paper Prize in Responsible Finance 2022
We study the asset demand of U.S. households, including ultra-high-net-worth (UHNW) households, across a wide range of asset classes.
• Presentations: AFA 2024 (scheduled), 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
We investigate the heterogeneity in investor demand for sustainable equity investing and study its implications.
• Presentations: AFA 2024 (scheduled), MFA 2024 (scheduled), SoFiE 2023, AFA PhD Poster 2021, MFR Summer Session 2020, Chicago Booth, CAFM 2020
• Awards: 2020 CAFM Best PhD Paper Award
• Media: World Bank Blog
Green firms report lower perceived cost of capital and discount rates in recent years, concurrent with the rise of "green investing."
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
Published / Forthcoming
- Cross-sectional Skewness with Jessica A. Wachter [SSRN] [Paper] (Pre-PhD; Extended from undergraduate thesis)
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