Publications
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How Competitive is the Stock Market? Theory, Evidence from Portfolios, and Implications for the Rise of Passive Investing with Valentin Haddad and Erik Loualiche
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American Economic Review (March 2025)
​​Published Version, Supplemental Appendix, Replication Package
WFA 2022 Elsevier Best Paper on Financial Institutions
2021 Q-Group Jack Treynor Prize
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Featured: Bloomberg, Financial Times, Financial Times, Risk.net, Trends, UCLA Anderson Review, Swedish House of Finance
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Working Papers​
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​​Causal Inference for Asset Pricing with Valentin Haddad, Zhiguo He, Peter Kondor, and Erik Loualiche
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This paper provides a guide for using causal inference with asset prices and quantities. Our framework revolves around an elementary assumption about portfolio demand: homogeneous substitution conditional on observables. Under this assumption, standard cross-sectional instrumental variables or difference-in-difference regressions identify the relative demand elasticity between assets with the same observables, the difference between own-price and cross-price elasticity. In contrast, identifying aggregate elasticities and substitution along specific characteristics requires joint estimation using multiple sources of exogenous time-series variation. The same principles apply to the estimation of multipliers measuring the price impact of supply or demand shocks. Our assumption maps to familiar restrictions on covariance matrices in classical asset pricing models, encompass demand models such as logit, and accommodate rich substitution patterns even outside of these models. We discuss how to design experiments satisfying this condition and offer diagnostics to validate it.
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The Making of Momentum: A Demand-System Perspective
WFA 2023 Brattle Group Ph.D. Candidate Award
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I develop a framework to quantify which features of investors’ dynamic trading strategies lead to momentum in equilibrium. I distinguish persistent demand shocks, capturing underreaction, and the term structure of demand elasticities, representing arbitrage intensities decreasing with investor horizon. I introduce both channels into an asset demand system that I estimate from institutional investors’ portfolio holdings and prices. Investors respond more to short-term than longer-term price changes: the term structure of elasticities is downward-sloping, creating momentum, whereas demand shocks mean-revert, contributing toward reversal. Stocks with more investors with downward-sloping term structures exhibit stronger momentum returns by 7% per year.
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