Links: Personal Website
I am a Phd candidate at the Wharton School. My research interests are financial economics, and macroeconomics. Please find the full CV here.
I am on the job market this year and I will be available for interviews at the 2019 ASSA-AFA meeting in Atlanta.
Abstract: We document differing risk-free rates in a range of asset classes, providing a uniquely clean measure of segmentation between markets. The asset markets we consider are the government bond market, commodity markets for precious metals, exchange rate markets and option markets. We find that risk-free rates across markets can deviate for prolonged periods of time and we characterize market segmentation through the speed of convergence. We analyze how shocks propagate across rate spreads and develop an aggregate arbitrage index which captures the common variation of these spreads across markets. We further present a novel high-frequency measure of the convenience yield on government bonds, which equals 38 basis points on average and grows substantially during periods of financial distress. We argue that option-market-implied risk-free rates provide a convenience-yield-free and effectively credit-risk-free measure of time preference measured accurately at a minutely frequency. This makes such rates a strong candidate for the risk free benchmark rate and we explore a range of empirical asset pricing applications.
Abstract: What is the effect of firm lobbying on risk and expected returns? I develop a game-theoretic asset pricing model in which firms lobby to gain or preserve monopolistic rents. The model has four key predictions. First, differences in expected returns are the equilibrium outcome of the strategic interaction among firms, and returns are higher for firms that lobby more. Second, firms that lobby more exhibit larger return volatility. Third, lobbying is less intense in more competitive industries. Fourth, and finally, firms in these industries tend to lobby in coalitions. Congressional data on lobbying spending support the model’s implications.
Abstract: A growing literature shows that credit indicators forecast aggregate real outcomes. While the literature has proposed various explanations, the economic mechanism behind these results remains an open question. In this paper, we show that a simple, frictionless, model explains empirical findings commonly attributed to credit cycles. Our key assumption is that firms have heterogeneous exposures to underlying economy-wide shocks. This leads to endogenous dispersion in credit quality that varies over time and predicts future excess returns and real outcomes.
Abstract: Financial crises tend to follow rapid credit expansions. Causality, however, is far from obvious. We show how this pattern arises naturally when financial intermediaries optimally exploit economic rents that drive their franchise value. As this franchise value varies over the business cycle, so too do the incentives to engage in risky lending. The model leads to novel insights on the effects of recent unconventional monetary policies in developed economies. We argue that bank lending might have responded less than expected to these interventions because they enhanced franchise value, inadvertently encouraging banks to pursue safer investments in low-risk government securities.
Teaching Assistant, The Wharton School, University of Pennsylvania
• Prof. Joao Gomes, Ph.D. Macroeconomics. 2018
• Prof. Itay Goldstein, Executive MBA Advanced Corporate Finance. 2016–18
• Prof. Jessica Wachter, Ph.D. Financial Economics. 2016–17
• Prof. Vito Gala, Undergraduate, and MBA Corporate Finance. 2014
Macro-Finance Society PhD Student Award. 2018
Outstanding Paper prize from the Jacobs Levy Equity Management Center for Quantitative Financial Research. 2017
Macro-Finance Society PhD Student Award. 2017
Dean’s Fellowship for Distinguished Merit, the Wharton School, University of Pennsylvania. 2014–2019
Fellowship for the introduction to a career in teaching and research, Università Bocconi. 2014
Merit-based Scholarship, Agenzia Nazionale per lo sviluppo dell’autonomia scolastica. 2009