Research Interests: Asset Pricing, Econometrics
Can investors profit from information diversity?
Job Market Paper
Trade-off between ownership and investment: evidence from equity crowdfunding campaigns
with Thomas Hellmann and Nir Vulkan
Abstract: This paper examines the trade-off between ownership and investment when raising capital. Our empirical analysis exploits a unique feature of equity crowdfunding campaigns, where entrepreneurs can determine how much investment to raise, and how much equity to give away. We distinguish factors affecting entrepreneurs’ marginal supply versus investors’ marginal demand for shares by leveraging the entrepreneurs’ daily decisions to continue or stop their campaigns. The analysis considers multiple company characteristics that affect marginal choices, including founders’ prior experience, their preferences for control, and their commitment to the venture.
The impact of demographic factors on sovereign debt maturity
Abstract: Government debt managers in national treasuries pick the maturity structure of debt to issue. This maturity choice has an economically significant impact on government cost of debt service, asset prices, and the real economy, but there has been little empirical analysis to date. I find that government debt managers actively choose maturity structure to respond to demographic factors and cater to institutional investors, alongside minimizing expected costs of debt service. Although these debt management policies follow from portfolio optimization and intergenerational risk-sharing, they may have a negative welfare cost in the current pension fund environment.
Abstract: There is heterogeneity in individual forecasts of any variable—inflation, corporate earnings, etc. The standard consensus estimate takes a simple average of individual forecasts, implicitly treating each forecast as a common signal plus noise. If some individuals know more than others, then a consensus estimate is not necessarily the optimal way to combine forecasts. I show how a recently developed statistical technique can infer overlap in information across agents and I use it on stock recommendations of sell-side analysts. I find a trading strategy that delivers an alpha of 2-3% on an annualized basis, net of transaction costs, suggesting that information diversity is prevalent, economically significant, and tradable.