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.
Working 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.
How Big Can Mechanical Rebalancing Get?
We derive an implementable capacity test for mechanical rebalancing strategies and show that volatility-controlled products can become vulnerable to manipulation at surprisingly small scale.
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A large share of institutional capital rebalances mechanically: today’s prices set tomorrow’s trades through volatility targets, margins, value-at-risk limits, and collateral haircuts. We ask how large such a sector can grow before its own rule-induced trading makes the market non viable, meaning a profitable round trip exists. The test needs only the mechanical rebalancing rule and a marketimpact estimate, so a supervisor can run it from public information. For volatility-managed portfolios the sector’s safe size is below 0.17 days of average daily volume. At a size of one day of volume, a profitable round trip exists 83% of the time.
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.
First Impressions and the Origins of Disagreement: Evidence from the Mutual Fund Industry
We show that mutual fund managers’ beliefs are anchored to the returns earned when they first purchased a stock. Because managers enter at different times, these first impressions generate non-fundamental disagreement that increases trading and volatility.
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What generates disagreement among sophisticated investors? We invert mutual fund portfolios to recover managers’ perceived stock-level expected returns and find that their disagreement about a stock depends in large part on when each of them first purchased it. Returns around managers’ first purchases leave impressions that follow them across funds. Their dispersion is the largest measured component of disagreement among managers, explaining 10% of its variation and eight times as much as analyst-forecast dispersion. Predetermined first impression dispersion predicts offsetting trade and more turnover around the same public earnings announcement, consistent with models in which disagreement sustains trade.
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.
Land Banking, Planning Uncertainty, and Housing Delivery
I study how planning uncertainty, market structure, and strategic withholding interact along the housing development pipeline, with a particular focus on distinguishing raw-land banking from approved-land banking in the UK.
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.