Working Papers:
From L.A. to Boise: How Migration Has Changed During the COVID-19 Pandemic [Map-Arrivals] [Map-Departures]
with Peter Haslag. [Media Coverage]
We provide an initial assessment of how migration patterns have changed during the pandemic using proprietary data on over 300,000 residential, interstate moves over the last four years. We find high income movers are moving out of large cities and are moving less for job-related reasons and more for non-work related reasons.
Firm Finances and the Spread of COVID-19: Evidence from Nursing Homes
with Taylor Begley. Presentations: WFA, FIRS, Eastern Finance Association.
We find that firms’ financial resources play an important role in mitigating the spread of COVID-19 using data on nursing homes.
Dream Chasers: The Draw and the Downside of Following House Price Signals
with Taylor Begley and Peter Haslag. Presentations: ATL Fed/GSU Real Estate Conference, FDU, RCFS/RAPS, Stockholm LFG, EFA, LFG @ Georgia Tech (postponed)
We study individual labor market decisions during the house price run-up of the early 2000s using the career paths of nearly 7 million workers. We find severe negative long-run outcomes for individuals that enter realty in areas with higher non-fundamental growth.
Uncovering Financial Constraints [Data] [Internet Appendix]
with Matt Linn. Presentations: MFA, FMA, NFA, Dolomites
We classify firms’ financial constraints using a random forest model and provide evidence that returns of debt (equity) constrained firms are more sensitive to shocks to the cost of equity (debt) financing.
*scheduled
with Peter Haslag. [Media Coverage]
We provide an initial assessment of how migration patterns have changed during the pandemic using proprietary data on over 300,000 residential, interstate moves over the last four years. We find high income movers are moving out of large cities and are moving less for job-related reasons and more for non-work related reasons.
Firm Finances and the Spread of COVID-19: Evidence from Nursing Homes
with Taylor Begley. Presentations: WFA, FIRS, Eastern Finance Association.
We find that firms’ financial resources play an important role in mitigating the spread of COVID-19 using data on nursing homes.
Dream Chasers: The Draw and the Downside of Following House Price Signals
with Taylor Begley and Peter Haslag. Presentations: ATL Fed/GSU Real Estate Conference, FDU, RCFS/RAPS, Stockholm LFG, EFA, LFG @ Georgia Tech (postponed)
We study individual labor market decisions during the house price run-up of the early 2000s using the career paths of nearly 7 million workers. We find severe negative long-run outcomes for individuals that enter realty in areas with higher non-fundamental growth.
Uncovering Financial Constraints [Data] [Internet Appendix]
with Matt Linn. Presentations: MFA, FMA, NFA, Dolomites
We classify firms’ financial constraints using a random forest model and provide evidence that returns of debt (equity) constrained firms are more sensitive to shocks to the cost of equity (debt) financing.
*scheduled
Revise and Resubmit:
Disaster Lending: "Fair" Prices, but "Unfair" Access (R&R, Review of Economics and Statistics)
with Taylor Begley, Umit Gurun, and Amiyatosh Purnanandam.
Presentations: AFA, Red Rock, Univ. of KY, FIRS, Finance Down Under, MoFiR, Front Range, CFIC, EBCN, MFA, MD4SG
We examine loan decisions in the SBA disaster loan program. We find that under risk-insensitive loan pricing – a feature present in many government programs – marginal credit quality borrowers are less likely to receive credit.
Revealed Heuristics: Evidence from Investment Consultants' Search Behavior (R&R, Review of Asset Pricing Studies)
with Sudheer Chava and Soohun Kim
Presentations: WFA, Cavalcade, Oregon SFC, Helsinki, NFA, MARC (Outstanding Paper Award), Cavalcade Asia, Behavioural Finance WG, MFHFFI, APFM
We find that investment consultants (who advise institutional investors) frequently shortlist funds using threshold screens clustered at cognitive reference numbers (e.g., $500MM AUM, 0% excess returns) and the clustering of screens affects fund outcomes.
with Taylor Begley, Umit Gurun, and Amiyatosh Purnanandam.
Presentations: AFA, Red Rock, Univ. of KY, FIRS, Finance Down Under, MoFiR, Front Range, CFIC, EBCN, MFA, MD4SG
We examine loan decisions in the SBA disaster loan program. We find that under risk-insensitive loan pricing – a feature present in many government programs – marginal credit quality borrowers are less likely to receive credit.
Revealed Heuristics: Evidence from Investment Consultants' Search Behavior (R&R, Review of Asset Pricing Studies)
with Sudheer Chava and Soohun Kim
Presentations: WFA, Cavalcade, Oregon SFC, Helsinki, NFA, MARC (Outstanding Paper Award), Cavalcade Asia, Behavioural Finance WG, MFHFFI, APFM
We find that investment consultants (who advise institutional investors) frequently shortlist funds using threshold screens clustered at cognitive reference numbers (e.g., $500MM AUM, 0% excess returns) and the clustering of screens affects fund outcomes.
Published and Accepted Papers:
Can Markets Discipline Government Agencies? Evidence from the Weather Derivatives Market
with Amiyatosh Purnanandam. Journal of Finance, 2016, 71: 303–334. [Published Version]
We analyze the role of financial markets in shaping the incentives of government agencies using a unique empirical setting: the weather derivatives market.
Financial Sector Stress and Risk Sharing: Evidence from the Weather Derivatives Market
Review of Financial Studies, 2019, 32(6), 2456-2497. [Internet Appendix] [Published Version]
I examine the effect of financial sector stress on risk sharing in a novel setting: the CME’s weather derivatives market. The results provide causal evidence of the effect of financial sector stress on the pricing of exchange-traded financial contracts and risk sharing in the economy.
Are Monthly Market Returns Predictable?
with Jussi Keppo and Tyler Shumway. Forthcoming, Review of Asset Pricing Studies. [Internet Appendix] [Published Version]
We document significant persistence in the market timing performance of active individual investors, suggesting some investors are skilled at timing.
with Amiyatosh Purnanandam. Journal of Finance, 2016, 71: 303–334. [Published Version]
We analyze the role of financial markets in shaping the incentives of government agencies using a unique empirical setting: the weather derivatives market.
Financial Sector Stress and Risk Sharing: Evidence from the Weather Derivatives Market
Review of Financial Studies, 2019, 32(6), 2456-2497. [Internet Appendix] [Published Version]
I examine the effect of financial sector stress on risk sharing in a novel setting: the CME’s weather derivatives market. The results provide causal evidence of the effect of financial sector stress on the pricing of exchange-traded financial contracts and risk sharing in the economy.
Are Monthly Market Returns Predictable?
with Jussi Keppo and Tyler Shumway. Forthcoming, Review of Asset Pricing Studies. [Internet Appendix] [Published Version]
We document significant persistence in the market timing performance of active individual investors, suggesting some investors are skilled at timing.