Max Miller

Max Miller

Contact Information

  • office Address:

    3620 Locust Walk
    Finance Department, #2437
    Philadelphia, PA 19104

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

Links: Personal Website, CV


I am currently a rising fourth-year PhD student studying finance at the Wharton School of the University of Pennsylvania. I am interested in empirical and theoretical topics within asset pricing, household finance, and the intersection of financial markets and political economy.

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Social Security and Trends in Inequality (with Sylvain Catherine and Natasha Sarin; Working Paper)

Presentations: Chicago Annual Household Finance Conference (Scheduled)*, EconTwitter Conference*, Red Rock Finance Conference (Scheduled)

Recent influential work finds large increases in inequality in the U.S., based on measures of wealth concentration that notably exclude the value of social insurance programs. This paper revisits this conclusion by incorporating Social Security retirement benefits into measures of wealth inequality. Wealth inequality has not increased in the last three decades when Social Security is accounted for. When discounted at the risk-free rate, real Social Security wealth increased substantially from $5.6 trillion in 1989 to just over $42.0 trillion in 2016. When we adjust for systematic risk coming from the covariance of Social Security returns with the market portfolio, this increase remains sizable, growing from over $4.6 trillion in 1989 to $34.0 trillion in 2016. Consequently, by 2016, Social Security wealth represented 57% of the wealth of the bottom 90% of the wealth distribution. Redistribution through programs like Social Security increases the progressivity of the economy, and it is important that our estimates of wealth concentration reflect this.

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

    Abstract: Yields on sovereign debt have declined dramatically across the developed world over the last half-century. Standard explanations of this decline include a change in discount rates due to an aging population or increased demand for assets from abroad. We show that these explanations encounters difficulties when confronted with the full range of evidence across asset classes. We propose that this decline was due to a decline in inflation expectations/default risk on sovereign debt. We argue that this explanation has a better chance of capturing an important feature of the decline in interest rates: namely that it has spanned centuries. We incorporate this explanation into an otherwise standard model of asset prices, augmented with inventory storage. An effective lower bound implies the existence of such a storage technology; otherwise there are arbitrage opportunities within the model. Including storage in a production-based model allows us to match the reduction in investment and GDP growth observed over the last three decades.

  • Sylvain Catherine, Maxwell Miller, Natasha Sarin (Working), Relaxing Household Liquidity Constraints through Social Security.

    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. We explore proposals to alleviate financial distress arising from the COVID-19 pandemic. We show that giving workers early access to just 1% of their future Social Security benefits allows most households to maintain their current consumption for at least two months. Unlike other approaches (like early access to retirement accounts, stimulus relief checks, and expanded unemployment insurance), access to Social Security serves the needs of workers made vulnerable by the crisis, but does not increase the overall liabilities of the federal government or have distortionary effects on the labor market.

  • 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.

  • Maxwell Miller (Working), Democratization, Inequality, and Risk Premia.

    Abstract: Periods of democratization exhibit economically large spikes in risk premia. Using a panel data set covering 57 countries over 200 years, I show that during periods of democratization, the equity premium and corporate credit spreads are significantly elevated, despite little to no effect on aggregate consumption and dividends. Further, I use a quasi-natural experiment coming from a shift in Catholic church attitudes toward democracy and show that this change was associated with a large increase in average excess returns for majority Catholic and autocratic countries. Finally, I show that these results can be rationalized through a standard political economy model in which the wealthiest segments of society are negatively impacted by the consolidation of democracy. These results are key to understanding how political institutions and the distribution of wealth and political power influence asset returns.


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

Conference and Seminar Presentations:

Econometric Society – European Winter Meeting (2019)

NBER Summer Institute – Capital Markets (2020)

Econometric Society World Congress (2020; Scheduled)

European Finance Association (2020 Scheduled; Poster Session)


Rodney White Center Grant (2019)

Jacobs Levy Equity Management Center Grant (2019)