Assistant Professor of Finance

W. P. Carey School of Business
Arizona State University


Research Interests

  • Banking, Networks, Labor and Finance, History and Finance

Publications

"A Labor Capital Asset Pricing Model," with Lars-Alexander Kuehn and Mikhail Simutin (SSRN) (BibTeX) (Internet Appendix) (Data) , 2017, Journal of Finance, 72 (5), 2131--2178

We show both empirically and theoretically that labor search frictions are an important determinant of the cross-section of equity returns.

  • Best Paper Award (ASU Sonoran Finance Conference 2013)
  • WRDS Award for an Outstanding Paper in Asset Pricing Research (MFA 2013)

"Taxing Atlas: Executive Compensation, Firm Size and Their Impact on Optimal Top Income Tax Rates," with Laurence Ales and Andres Bellofatto (SSRN) (BibTeX) 2017, Review of Economic Dynamics, 26, 62--90

We study the optimal taxation of top income earners who are modeled as firm managers and show how to quantify the model using readily available firm-level data.


Working Papers

[New!] "Labor Scarcity, Finance, and Innovation: Evidence from Antebellum America," with Yifei Mao (SSRN) (BibTeX)

  • Presentations: WFA, NBER Summer Institute, AFA, EFA, SFS Cavalcade, Texas Finance Festival, University of Kentucky Finance Conference, Young Scholars Finance Consortium, Chicago Financial Institutions Conference, CICF

By exploiting a unique setting in antebellum America, we establish labor scarcity as an important economic channel through which access to finance shapes technological innovation.


[Updated!] "Bank Networks and Systemic Risk: Evidence from the National Banking Acts," with Mark Paddrik and Haelim Park (SSRN) (BibTeX) (Online Appendix) Revise and Resubmit, American Economic Review

  • Presentations: AEA, NBER Summer Institute DAE, EFA, FIRS, SFS Cavalcade, Fixed Income and Financial Institutions conference, St. Louis Fed Conference on Innovations in Central Banking, Chicago Financial Institutions Conference, CICF

Using interbank deposit networks before and after the National Banking Acts in 1863-1864, we show that a concentrated network is "robust-yet-fragile" to liquidity crises.


[New!] "Central Clearing and the Sizing of Default Funds," with Agostino Capponi and Hongzhong Zhang (SSRN)(BibTeX)

  • Presentations: 2018 NYU Stern Microstructure Conference, 2019 Finance Down Under

We develop a model of central clearing and demonstrate that the current standard for collecting default funds, known as the Cover II rule, is intrinsically vulnerable. The optimal default fund covers the default costs of a fraction, rather than of a fixed number, of clearing members.


"Distress Dispersion and Systemic Risk in Networks" (BibTeX) (Under revision, new version coming soon.)

I develop a model of contagion that stems from endogenous risk-sharing when financial firms differ in distress levels.


"Asset Pricing with Dynamic Labor Contracts" (BibTeX)

I study asset prices in a two-agent production economy in which the worker has private information about her labor productivity.