Working Papers:
Disaster Lending: "Fair" Prices, but "Unfair" Access
with Taylor Begley, Umit Gurun, and Amiyatosh Purnanandam.
R&R, Management Science
with Taylor Begley, Umit Gurun, and Amiyatosh Purnanandam.
R&R, Management Science
Link to paper
Summary: 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 in the SBA disaster loan program. We model the loan decision of a government lender and show how access to credit varies with the loan program's subsidy and degree of risk-sensitive pricing.
Presentations: AFA, Red Rock, Univ. of KY, FIRS, Finance Down Under, MoFiR, Front Range, CFIC, EBCN, MFA, MD4SG
Summary: 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 in the SBA disaster loan program. We model the loan decision of a government lender and show how access to credit varies with the loan program's subsidy and degree of risk-sensitive pricing.
Presentations: AFA, Red Rock, Univ. of KY, FIRS, Finance Down Under, MoFiR, Front Range, CFIC, EBCN, MFA, MD4SG
Long-Run Labor Costs of Housing Booms and Busts
with Taylor Begley and Peter Haslag
R&R, Journal of Financial and Quantitative Analysis
with Taylor Begley and Peter Haslag
R&R, Journal of Financial and Quantitative Analysis
Link to Paper
Summary: 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 house price growth.
Presentations: ATL Fed/GSU Real Estate, FDU, RCFS/RAPS, Stockholm LFG, EFA
Relative occupational wage growth for entrants into realty during 2000s boom:
Summary: 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 house price growth.
Presentations: ATL Fed/GSU Real Estate, FDU, RCFS/RAPS, Stockholm LFG, EFA
Relative occupational wage growth for entrants into realty during 2000s boom:
A Flash in the Pan(demic)? Migration Risks and Municipal Bonds
with Matt Gustafson, Peter Haslag, and Zihan Ye
with Matt Gustafson, Peter Haslag, and Zihan Ye
Link to Paper
Summary:
Presentations: AEA, FCMG
Dynamic relationship between COVID-era migration and municipal bond spreads:
Summary:
- We use COVID-period migration to measure the shift in location preferences induced by the pandemic
- Market participants believe that the shift in preferences poses downside risk to the future of some municipal economies
- The shift in yields associated with a one standard deviation lower migration shock corresponds to a -4.15% to -2.13% change in the present value of cash flows (holding uncertainty fixed) or an increase of 0.93% to 1.62% in uncertainty (holding the present value of cash flows fixed) for the municipality
- Evidence highlights the importance of the shift to remote work in explaining these patterns.
Presentations: AEA, FCMG
Dynamic relationship between COVID-era migration and municipal bond spreads:
Directing the Labor Market: The Impact of Shared Board Members on Employee Flows (work-in-progress)
with Taylor Begley and Peter Haslag
with Taylor Begley and Peter Haslag
Draft not yet available
Using resume data on millions of U.S. workers, we find that the flow of employees between a pair of firms sharply drops by around 20-30% when the firms start to share a director on their boards.
Presentations: Erasmus Corp. Gov. Conf. (scheduled), Georgia Tech, Vanderbilt
Using resume data on millions of U.S. workers, we find that the flow of employees between a pair of firms sharply drops by around 20-30% when the firms start to share a director on their boards.
Presentations: Erasmus Corp. Gov. Conf. (scheduled), Georgia Tech, Vanderbilt
Published Papers:
1. Can Markets Discipline Government Agencies? Evidence from the Weather Derivatives Market
with Amiyatosh Purnanandam. Journal of Finance, 2016, 71: 303–334.
with Amiyatosh Purnanandam. Journal of Finance, 2016, 71: 303–334.
Link to paper
Summary: We analyze the role of financial markets in shaping the incentives of government agencies using a unique empirical setting: the weather derivatives market.
[Published Version]
Summary: We analyze the role of financial markets in shaping the incentives of government agencies using a unique empirical setting: the weather derivatives market.
[Published Version]
2. Financial Sector Stress and Risk Sharing: Evidence from the Weather Derivatives Market
Review of Financial Studies, 2019, 32(6), 2456-2497.
Review of Financial Studies, 2019, 32(6), 2456-2497.
Link to paper
Summary: 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.
[Internet Appendix] [Published Version]
Summary: 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.
[Internet Appendix] [Published Version]
3. Are Monthly Market Returns Predictable?
with Jussi Keppo and Tyler Shumway. Review of Asset Pricing Studies, 2021, Volume 11, Issue 4, 806-836.
with Jussi Keppo and Tyler Shumway. Review of Asset Pricing Studies, 2021, Volume 11, Issue 4, 806-836.
Link to paper
Summary: We document significant persistence in the market timing performance of active individual investors, suggesting some investors are skilled at timing.
[Internet Appendix] [Published Version]
Summary: We document significant persistence in the market timing performance of active individual investors, suggesting some investors are skilled at timing.
[Internet Appendix] [Published Version]
4. Revealed Heuristics: Evidence from Investment Consultants' Search Behavior
with Sudheer Chava and Soohun Kim. Review of Asset Pricing Studies, 2022, Volume 12, Issue 2, 543–59.
with Sudheer Chava and Soohun Kim. Review of Asset Pricing Studies, 2022, Volume 12, Issue 2, 543–59.
Link to paper
Summary: 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 Version]
Summary: 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 Version]
5. Firm Finances and the Spread of COVID-19: Evidence from Nursing Homes
with Taylor Begley. Review of Corporate Finance Studies, 2023, Volume 12, Issue 1, 1-35. Editor’s choice.
with Taylor Begley. Review of Corporate Finance Studies, 2023, Volume 12, Issue 1, 1-35. Editor’s choice.
Link to paper
Summary: We find firms’ financial resources play an important role in mitigating the spread of COVID-19 using data on nursing homes. Further, increases in Medicaid reimbursement rates led to relatively better outcomes at facilities more reliant on Medicaid.
[Internet Appendix][Published Version]
Main Figure: Impact of Medicaid Reimbursement Expansion on COVID cases
Summary: We find firms’ financial resources play an important role in mitigating the spread of COVID-19 using data on nursing homes. Further, increases in Medicaid reimbursement rates led to relatively better outcomes at facilities more reliant on Medicaid.
[Internet Appendix][Published Version]
Main Figure: Impact of Medicaid Reimbursement Expansion on COVID cases
6. From L.A. to Boise: How Migration Has Changed During the COVID-19 Pandemic
with Peter Haslag. Accepted, Journal of Financial and Quantitative Analysis.
with Peter Haslag. Accepted, Journal of Financial and Quantitative Analysis.
Link to paper
Main Figures: Map-Arrivals, Map-Departures
Summary: We provide an initial assessment of how migration patterns have changed during the pandemic. Using proprietary moving data, 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. Areas with greater inflows of high income households during the pandemic also experienced greater economic growth.
Media Coverage (link)
Main Figures: Map-Arrivals, Map-Departures
Summary: We provide an initial assessment of how migration patterns have changed during the pandemic. Using proprietary moving data, 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. Areas with greater inflows of high income households during the pandemic also experienced greater economic growth.
Media Coverage (link)
7. Uncovering Financial Constraints
with Matt Linn. Accepted, Journal of Financial and Quantitative Analysis.
with Matt Linn. Accepted, Journal of Financial and Quantitative Analysis.
Download Constraint Data
Link to paper
Internet Appendix
Main Figures: extended coverage of our measure. Robinhood (& other retail) investors tend to favor equity constrained stocks.
Summary: We classify firms’ financial constraints using a random forest model. We create two versions of our measures: a "Full" model that uses many predictors and an "Exogenous" model using a small set of arguably exogenous predictors. We find institutional ownership is negatively associated with equity-related constraints, while retail investors exhibit a preference for equity-focused constrained firms. Further, we find the equity issuance and investment of equity-constrained firms increase in periods of high investor sentiment.
Link to paper
Internet Appendix
Main Figures: extended coverage of our measure. Robinhood (& other retail) investors tend to favor equity constrained stocks.
Summary: We classify firms’ financial constraints using a random forest model. We create two versions of our measures: a "Full" model that uses many predictors and an "Exogenous" model using a small set of arguably exogenous predictors. We find institutional ownership is negatively associated with equity-related constraints, while retail investors exhibit a preference for equity-focused constrained firms. Further, we find the equity issuance and investment of equity-constrained firms increase in periods of high investor sentiment.