Fields:
Finance (Primary)
Macroeconomics (Secondary)
Applied Econometrics (Secondary)

Graduation Date:
June, 2018

Advisors:

Monika Piazzesi (Co-Primary):
piazzesi@stanford.edu

Pablo Kurlat (Co-Primary):
pkurlat@stanford.edu

Research

The Effect of Corporate Bond Market Transparency across Dealers
I study how the introduction of transparency in the secondary U.S. corporate bond market affected dealers' trading and market liquidity. I quantify dealers' centrality in the context of intermediation network and estimate a differential response to the reform across dealers of different centrality. The introduction of transparency reduced the estimated bid-ask spreads of peripheral dealers by about 24 basis points, while spreads of core dealers remained unaffected. The trading volume of high-yield bonds fell by 6.7% for core dealers and by an insignificant amount for peripheral dealers. To rationalize these findings, I propose a dynamic model of trade with asymmetric information and search frictions that gives rise to endogenous heterogeneity in dealers' trading activity and explains the empirical evidence.

Short-Sale Constraints and Stock Prices: Theory and Evidence (with Diego Torres Patino)
We study how short-sale constraints on the lending side of a market affect asset prices in an equilibrium model with heterogeneous beliefs. We obtain equations that link the asset-specific excess returns with the market equity premium. In the presence of short-sale constraints, the model gives rise to asset-specific alphas that are composed of both asset-specific and market-wide factors; unconstrained stocks have higher expected returns, whereas the opposite holds for constrained stocks. As opposed to standard models, our model is able to empirically explain asset returns for 10 portfolios sorted by the degree to which they are short-sale constrained.