Accepted and Published Papers
1. Finding Fortune: How Do Institutional Investors Pick Asset Managers?
(with Greg Brown and Oleg Gredil)
Review of Financial Studies, 2023, 36(8)
[Published Paper] [Working Paper]
Presentations: IPC, FMA, USC PhD Conf, Nova-BPI, SUNY-Albany HF Conf, EFA, FIRS, Wabash River Conf, AFA, IU-Bloomington, IPCM Webinar
Using unique data on due-diligence interactions between an institutional investor and 860 hedge-fund managers, we develop a framework of private information acquisition for asset allocators hiring outside investment managers. We find that acquired information relates to an allocator’s decision timing (selecting manager), outperformance, and learning about manager return-to-scale.
Working Papers
2. Consumption Commitments and Housing Dynamics
(Revise & Resubmit)
[Working Paper]
Presentations: AFBC, ESEM, UNC-Chapel Hill, PERC, Duke, FRB, IU-Bloomington, Ohio State RE Conf, Rice, Syracuse, UCSD, UF-Gainesville, Vanderbilt, SoFiE
I find that excess housing returns (valuations) are positively (negatively) associated with a measure of local growth prospects. I investigate the underlying fundamentals of these findings using an asset pricing model that combines a persistent component in consumption, Epstein and Zin (1989) preferences, and nonseparable housing services and nonhousing consumption.
3. Factor and Stock-specific Disagreement and Trading Flows with Fotis Grigoris and Christian Heyerdahl-Larsen
[Working Paper]
Presentations: FR-St. Louis, IU-Bloomington, SFS Cavalcade, CICF, SoFiE, SAFE, UTD Conf, FMA Derivatives Conf, UNSW AP Workshop, Paris Finance Meeting, UNC-Chapel Hill, Factor Investing Conference, WFA
We study how disagreement on both factor and stock-specific risk exposures impacts asset prices. We find (theoretically and empirically) that greater disagreement about factor dynamics drives trading flows, inducing concentrated positions in factor mimicking portfolios and reduced diversification benefits.
4. The Relative Price Premium with Yun Joo An, Fotis Grigoris, and Christian Heyerdahl-Larsen
[Working Paper]
Presentations: IU-Bloomington, UVA, EFA, CICF, SoFiE, UNSW AP Workshop, FRB, FDU-Melbourne
The literature has focused largely on variation in the level of inflation and its relationship with asset prices. We show (i) that time varying price dispersion across goods impacts risk premia and (ii) that a simple consumption-based asset pricing model in which investors have preferences for the types of goods they consume can rationalize our empirical findings.
5. Risk from the Inside Out: Understanding Firm Risk through Employee News Consumption with Fahiz Baba-Yara and Fotis Grigoris
[Working Paper] [Attention Data]
Presentations: BI Norwegian, IU-Bloomington, UNC-Chapel Hill, MFA, NBER SI Big Data, SITE Uncertainty, Dolomite SFC, Bristol FMC, ASSA-ES, Bocconi, FRA, FRB Big Data Macro, CFEA, PanAgora, Millennium, ASU-Sonoran
The literature has traditionally measured firm-risk using financial instruments (e.g., options) or return covariances. This poses a challenge if, e.g., firms have time varying betas. In this paper we assess if firm-employees’ consumption of macroeconomic-related news tell us anything new about the firm’s aggregate risk exposures. We find that (i) employees consume more macroeconomic news following the onset of bad times and that (ii) firms whose employees were reading more macroeconomic news ex-ante are more exposed to changing economic conditions ex-post.
6. Announcement Premia: the Firm’s Perspective
Paper available upon request
The announcement premia literature has focused on the relationship between return realizations around information revealing events and investor attention or learning. This paper, in contrast, explores the relationship from the perspective of the primary protagonist, the firm (employees), revealing the information.