Research
I work in empirical finance, with research interests in information frictions, belief formation, institutional investment, and housing markets. My recent work studies how disclosure, behavioural distortions, and mechanical trading rules shape prices and real decisions.
Selected Papers
Transaction-Price Disclosure and Information Multipliers in Illiquid Markets
Using predetermined public release dates in the UK housing market, I show that disclosure can amplify rather than simply reveal information by causing the same price innovation to be repeatedly embedded in later valuations.
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Price transparency is thought to improve price discovery. I show that, in illiquid markets where informational provenance is opaque, disclosure can instead create an information multiplier: a single price innovation is repeatedly embedded in later valuations and gains influence with its repeated use. Exploiting predetermined monthly public releases introduced in 2012, I combine administrative transaction records with asking prices in the UK housing market. The release dates produce discrete, economically meaningful shifts in price setting: asking prices posted immediately after disclosure react sharply, and the impact of a given innovation grows as it is recycled through successive valuations rather than discounted as redundant. This amplification passes through almost one-for-one into subsequent transaction prices with limited effect on time-on-the-market. The results imply that transparency and platform design can meaningfully reshape asset price dynamics.
Biased Beliefs and Institutional Overcrowding
In leveraged loan markets, institutional overcrowding is driven by incorrect beliefs about peers’ actions rather than only by fundamentals or investor spillovers.
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Understanding the determinants of overcrowding behaviour is challenging due to the difficulty in measuring investor beliefs and preferences. This paper addresses this challenge by exploring the dynamics of investor behaviour within the leveraged loan market. Our major findings reveal that overcrowding among institutional investors in this market is driven by incorrect beliefs about their peers’ actions rather than unobservable asset characteristics or positive spillovers across investors. Using a structural model of entry, along with exclusion restrictions and instrumental variables, we assess the accuracy of investor beliefs regarding their peers’ investment decisions. Our findings refute the hypothesis of unbiased beliefs, indicating that overcrowding is driven by investors’ incorrect assumptions about peer behaviour. Additionally, we recover the out-of-equilibrium beliefs of investors, providing insights into the determinants of their investment choices. These insights have significant implications for understanding market dynamics and quantifying the effect of overcrowding on asset prices.
Dynamic Arbitrage from Price-Based Risk Constraints
We show that price-based risk constraints such as margins, haircuts, leverage limits, and volatility targets can generate dynamic arbitrage even when standard no-manipulation conditions hold.
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Under classic no-manipulation conditions on market impact, price-based risk constraints (margins, haircuts, leverage limits, volatility targets, mandates) can still generate dynamic arbitrage. We develop a refined no-dynamic-arbitrage test for such environments; it requires only the constraint rule and an estimate of market impact. The test also yields an upper bound on the size of the constrained sector consistent with non-manipulability. We apply it to volatility-managed portfolios: admissible scale is well below one day of average daily volume, and vulnerability increases sharply once linked notional reaches roughly one to two days of daily volume. Manipulation incentives are strongest in low-volatility states, driven by feedback between measured risk and rule-induced trading.
Other Working Papers
Revealed Expectations and Learning Biases: Evidence from the Mutual Fund Industry
By inverting mutual fund portfolios, we recover managers’ perceived expected returns and show that experienced returns distort beliefs in a non-monotone way, consistent with both recency and primacy bias.
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By inverting the optimal portfolios of mutual fund managers in a fairly general setting, which allows us to partial out the effect of risk aversion and hedging demands, we provide an estimate of perceived expected excess returns and show that they are significantly affected by experienced returns. The effect of past returns is non-monotone: we provide reduced-form and structural evidence of managers displaying recency and primacy bias. Finally, we estimate an average coefficient of relative risk aversion close to unity.
Living on the Edge: The Salience of Property Taxes in the UK Housing Market
Using a sharp geographical discontinuity between London boroughs, we show that deferred property taxes are far less salient than taxes paid at purchase, with implications for incidence and optimal tax design.
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Taxes paid at the time of purchase are more salient than taxes deferred to the future. Using a sharp geographical discontinuity between London boroughs, we show that the incidence of deferred property taxes is too small relative to the incidence of stamp duty taxes paid at the moment of purchase. The implied discount rates are very large and difficult to rationalize even after accounting for liquidity constraints. The lack of salience at the moment of purchase implies that part of the burden of taxation is shifted into the future to satisfy the budget constraint. This creates a meaningful trade-off in the design of property taxation.
Projects in Progress
The Q Theory of Investment and Managerial Foresight
I study how managerial foresight affects the measurement of marginal q and show that a foresight-adjusted measure better explains firm investment.
Project description
I analyze a firm’s optimal investment problem when managers have private information about future marginal productivity of capital. While marginal q remains a sufficient statistic for investment, managerial foresight complicates its empirical estimation. I show that shocks recovered by ignoring foresight are not exogenous and can be predicted using past information. I then construct a news shock that explains a large share of investment variation and propose a new measure of marginal q that significantly improves the empirical explanation of corporate investment while reducing the apparent sensitivity of investment to cash flows.
Estimating Investment Mandates: A Demand-Based Approach
We develop a demand-based framework to infer investment mandates from observed portfolio choices.
Explaining Search Patterns in the Residential Housing Market
We study how buyers’ search behaviour shapes matching patterns, timing, and price formation in residential housing markets.