Max Miller

Max Miller

Contact Information

  • office Address:

    2420A Steinberg-Dietrich Hall
    3620 Locust Walk
    Philadelphia, PA 19104

Research Interests: Asset Pricing, Household Finance, and Political Economy

Links: Personal Website, CV


I’m a Finance PhD Candidate at the Wharton School of the University of Pennsylvania. I will be on the academic job market in Fall 2022/Spring 2023.​
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  • Maxwell Miller (Working), Democratization, Inequality, and Risk Premia.

    Abstract: Risk premia are significantly elevated during periods of democratization in a cross-country panel of equity data covering 85 countries over 200 years, despite little evidence of a negative effect on either realized or expected GDP and dividends. This result is explained in an asset pricing model in which wealthy asset market participants face higher taxes when democratizations succeed. Finally, using a shift in Catholic church doctrine in support of democracy, majority Catholic autocracies display significantly higher average excess returns relative to other countries in a difference-in-differences framework. These results shed light on how redistribution risk shapes asset prices.

  • Sylvain Catherine, Maxwell Miller, Natasha Sarin (2020), Relaxing Household Liquidity Constraints through Social Security, Journal of Public Economics.

    Abstract: More than a quarter of working-age households in the United States do not have sufficient savings to cover their expenditures after a month of unemployment. Recent proposals suggest giving workers early access to a small portion of their future Social Security benefits to finance their consumption during the COVID-19 pandemic. We empirically analyze their impact. Relying on data from the Survey of Consumer Finances, we build a measure of households' expected time to cash shortfall based on the incidence of COVID-induced unemployment. We show that access to 1% of future benefits allows 75% of households to maintain their current consumption for three months in case of unemployment. We then compare the efficacy of access to Social Security benefits to already legislated approaches, including early access to retirement accounts, stimulus relief checks, and expanded unemployment insurance.

  • Maxwell Miller, James Paron, Jessica Wachter (Working), Sovereign default and the decline in interest rates.

    Abstract: Sovereign debt yields have declined dramatically over the last half-century. Standard explanations, including aging populations and increases in asset demand from abroad, encounter difficulties when confronted with the full range of evidence. We propose an explanation based on a decline in inflation and default risk, which we argue is more consistent with the long-run nature of the interest rate decline. We show that a model with investment, inventory storage, and sovereign default captures the decline in interest rates, the stability of equity valuation ratios, and the recent reduction in investment and output growth coinciding with the binding zero lower bound.

  • Jonathan Berk, Jules van Binsbergen, Maxwell Miller (2020), Mutual Funds: Skill and Performance, The Journal of Portfolio Management.

    Abstract: The authors summarize the recent literature on mutual fund manager skill and performance. They discuss the latest contributions in the field and reinterpret them through the lens of the rational expectations framework (efficient market hypothesis). They further discuss the importance of (1) the choice of benchmark model and (2) the time-series and cross-sectional sample selected in performance studies. The article has three main conclusions. First, although net alpha is a measure of the abnormal return of an extra dollar invested in a particular fund (i.e., performance), it does not measure mutual fund manager skill. To measure the latter, the product of gross alpha and the size of the fund—value added—is needed. Second, the set of real-time available index funds is the relevant counterfactual to use when assessing the skill and performance of investment managers. Nontradable factors that are constructed with the benefit of hindsight are not a realistic benchmark. Third, the authors can think of no good reason to exclude high-quality mutual fund data either in the cross section or time series when making inferences regarding skill and performance.


Teaching Assistant

FNCE 921 – Empirical Methods in Finance (PhD) – Spring 2019, Spring 2020

FNCE 205/720 – Investment Management – Fall 2018, Spring 2019, Fall 2019

FNCE 393/893 – Policy Decisions by Central Banks (Monetary Policy) – Fall 2018

FNCE 385/885 – Financial Technology (FinTech) – Spring 2019

Awards and Honors

Awards and Grants:

2022 — Bank of Canada Graduate Student Paper Award (Runner-Up)

2022 — Jacobs Levy Equity Management Center Grant

2022 — Jacobs Levy Dissertation Fellowship

2021 — FMA Best Paper in Investments

2021 — WFA PhD Candidate Award for Outstanding Research

2021 — EFA Engelbert Dockner Memorial Prize for the Best Paper by Young Researchers (Runner-up)

2021 — SFS Cavalcade Best Paper in Asset Pricing

2021 — MFA Best Doctoral Paper Award

2020 — Red Rock Finance Conference Best Paper Award

2019 — Rodney White Center Grant

2019 — Jacobs Levy Equity Management Center Grant


Conference and Seminar Presentations:

2022 — UBC Winter Finance Conference, Craig Holden Memorial Conference, BSE Summer Forum, ISB Summer Conference, Bank of Canada GSPA Conference

2021 — NBER SI Asset Pricing, MFA, MFA Doctoral Symposium, SFS Cavalcade, WFA, World Finance Conference, EFA, NFA, FMA

2020 — NBER SI Capital Markets,  Econometric Society World Congress, EFA (Poster Session)

2019 — Econometric Society European Winter Meeting