Research

Working Papers

Heterogeneous Intermediary Asset Pricing (Job Market Paper)
[Online Appendix]

Abstract: I study the asset pricing implications of heterogeneity in the financial intermediary sector. Due to the variation in funding sources, financial constraints, and regulatory requirements, different intermediaries such as bank holding companies and security broker-dealers, exhibit starkly different behaviors during economic downturns. Motivated by the empirical evidence on balance sheet adjustments within the intermediary sector during the Great Recession, I propose a dynamic general equilibrium model with heterogeneous intermediaries and financial frictions. The economy is populated by three sectors with different attitudes towards risk: two levered financial sectors and an unlevered household sector. My model generates opposite cyclical dynamics of leverage for the two intermediary sectors, reconciling empirical evidence that has previously seemed contradictory through the lens of representative intermediary asset pricing models. I use my model to quantify the impact of observed financial flows between intermediaries on risk premia and volatility. Finally, I examine empirical implications of the model for time-series predictability and the cross-section of asset returns. An empirical measure of heterogeneity in the financial sector forecasts excess returns and is priced in the cross-section of assets.

Student Loans, Marginal Costs, and Markups: Estimates From the PLUS Program (with William Mann)
Review of Financial Studies, Revise and Resubmit
Coverage at Forbes.com

Abstract: We estimate small marginal costs and large markups at private colleges in the United States, and discuss implications for the design of financial aid. For identification, we exploit a tightening of credit standards in the PLUS loan program, which decreased enrollment, revenues, and expenditures at private colleges with low-income students. We estimate that markups represented more than half of charges for students disqualified by the change. Markups were higher at for-profit schools, and in states with fewer public schools and lower education spending. Our results complement prior evidence on the Bennett Hypothesis, and contrast prior estimates of small markups.

Work in Progress

Predictive Regressions: A Pricing-Kernel Approach (with Mikhail Chernov)

Teaching

UCLA Anderson School of Management

Instructor

  • MFE R/MATLAB Programming Workshop (Fall 2017, 2018)

Teaching Assistant

  • MBA Foundations of Finance, Professor Bruce Carlin (Fall 2018)
  • MFE Empirical Methods in Finance, Professor Lars Lochstoer (Winter 2019, scheduled)
  • MBA Behavioral Finance, Professor Avanidhar (Subra) Subrahmanyam (Spring 2019, scheduled)
  • MFE Data Analytics and Machine Learning, Professor Lars Lochstoer (Fall 2016)
  • MBA Corporate Finance, Professor William Mann (Winter 2015, 2016, 2017)
  • Executive Program Corporate Strategy, Professor David Wessels (May 2015)

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