Assistant Professor of Finance
In my research, I study how frictions such as network externalities, contracting, and labor search affect systemic risk and asset prices.
We show both empirically and theoretically that labor search frictions are an important determinant of the cross-section of equity returns.
"Distress Dispersion and Systemic Risk in Networks" (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.
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.
I study asset prices in a two-agent production economy in which the worker has private information about her labor productivity.