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
Q-Group Jack Treynor Prize 2021
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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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Swiss Finance Institute Outstanding Paper Award 2025
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Portfolio choice involves substituting across many assets at once, complicating empirical inference about asset demand. An elementary condition captures how this behavior often works in theory and practice: homogeneous substitution conditional on observables (e.g., factor loadings, maturity, credit ratings). We characterize the natural experiments that identify demand elasticity and price impact under this condition. Cross-sectional instrumental variables and difference-in-differences identify a relative elasticity, the difference between own- and cross-price elasticity for assets with the same observables. However, a missing-coefficient problem limits what these techniques identify: substitution itself is mechanically absorbed into the coefficients on those observables. Recovering it requires time-series regressions on portfolios formed from those observables. We apply the framework to U.S. corporate bonds and compare alternative designs of central-bank asset-purchase programs.
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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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