Publications
How Competitive is the Stock Market? Theory, Evidence from Portfolios, and Implications for the Rise of Passive Investing with Valentin Haddad and Erik Loualiche
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
Featured: Bloomberg, Financial Times, Financial Times, Risk.net, Trends, UCLA Anderson Review, Swedish House of Finance
Working Papers
Causal Inference for Asset Pricing with Valentin Haddad, Zhiguo He, Peter Kondor, and Erik Loualiche
Swiss Finance Institute Outstanding Paper Award 2025
Portfolio choice involves substituting across many assets at once, complicating inference about asset demand. An elementary condition often captures this behavior in theory and practice: homogeneous substitution conditional on observables (e.g., factor loadings, maturity, credit ratings). We characterize natural experiments identifying demand elasticity and price impact under this condition. Cross-sectional IV and difference-in-differences identify relative elasticity, own-minus cross-price elasticity for assets sharing observables. But a missing-coefficient problem leaves substitution unidentified: the coefficients on observables mechanically absorb it. Identifying substitution requires time-series regressions on portfolios sorted on observables. We apply the framework to corporate bonds, comparing alternative Fed asset-purchase programs.
The Making of Momentum: A Demand-System Perspective
WFA 2023 Brattle Group Ph.D. Candidate Award
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.