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Networks, Asset Pricing, Systemic Risk, and Financial Intermediation.


"Firm Networks and Asset Returns" [PDF, Feb 1 2018]  
This paper argues that changes in the propagation of idiosyncratic shocks along firm networks are important to understanding variations in asset returns. When calibrated to match key features of supplier-customer networks in the United States, an equilibrium model in which investors have recursive preferences and firms are interlinked via enduring relationships generates long-run consumption risks. Additionally, the model matches cross-sectional patterns of portfolio returns sorted by network centrality, a feature unaccounted for by standard asset pricing models.

"Basket Securities in Segmented Markets " [PDF, Dec 22 2017]
Basket securities are securities that bundle different assets and whose payoffs depend on those of the underlying pool of assets, such as index funds and exchange-traded funds (ETFs). I study the design and welfare implications of basket securities issued in markets with limited investor participation in which profit-maximizing intermediaries are involved in financial innovation. I show that when only one intermediary exists, the equilibrium is not constrained efficient. Increasing competition among intermediaries increases the variety of baskets issued but does not necessarily improve investors’ welfare.


"Designing Resilient Financial Systems"

"Inter-firm Relationships and the Idiosyncratic Volatility Anomaly"

"Inter-firm Relationships and Business Cycleswith Duane Seppi (Carnegie Mellon)

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