Welcome! I am an Assistant Professor of Finance at Baruch College, City University of
New York. My research lies in asset pricing, macro finance, and real estate.
I hold a PhD in Finance from Yale University.
Research Paper
[1] “When Treasuries Crowd
the Debt Market: Treasury Market Inelasticity and the Basis Trade”
Abstract +
Slides
This paper argues that the Treasury share relative to corporate bonds in the debt market affects Treasury market
elasticity-the price impact of new Treasury supply- and its pass-through to corporate bonds. I develop a segmented
market model featuring bond investors with duration mandates and balance-sheet constraints. These investors transmit
shocks from the Treasury market to the corporate bond market. When the Treasury share is high, investors rely more on
Treasuries for duration, their balance-sheet constraints tighten, and transmission weakens, leaving supply shocks
concentrated in Treasuries. The model explains elevated Treasury basis trade activity when Treasuries are abundant
relative to corporate bonds and links constraint tightness to the Treasury cash-derivatives spread. Empirically, I
identify three novel Treasury supply shocks from the Treasury issuance calendar and estimate Treasury supply effects
using intraday data. Consistent with the model, tighter balance-sheet constraints measured by the spread are
associated with larger Treasury supply effects and weaker pass-through to corporate bonds. I support the model with
unique institution-level data on interest rate derivative positions for global mutual funds and US life insurers. The
mechanism implies asymmetric effects of quantitative easing (QE) and quantitative tightening (QT) and informs the
optimal timing of QT.
[2] “Public Trader Identity: Adverse Selection and
Return Predictability”
Abstract +
arXiv
Informed traders are supposed to need anonymity: they profit by hiding among the uninformed. A decentralized exchange
now publishes the counterparty. Every committed order, cancellation, rejection, and fill carries a persistent
pseudonymous wallet address. We reconstruct the full-depth limit order book from a record of 17.1 billion messages and
14.3 million aggressive orders by 147,113 wallets, covering $84.3 billion in taker notional. We report three findings.
First, informativeness is a persistent wallet attribute. Wallets ranked by the price movement following their
aggressive orders retain that ordering across adjacent ten-day windows, with a rank correlation of 0.52. Second, the
ranking predicts returns. Adding the live activity of the highest-ranked wallets to a standard anonymous benchmark of
prices, quotes, and order flow raises the out-of-sample R² for one-second returns to 12.31%, a 13.2% gain (t =
9.2) that is 1.6 times the largest of 200 activity-matched placebo cohorts. Third, measured at realized trades rather
than at every sampled moment, the increment grows from 1.43 to 2.47 percentage points of R². Public wallet
histories therefore carry short-horizon price information that anonymous order-book data leave unmeasured.
[3] “The Expansion and Dynamic Equilibrium Effects of
Institutional Landlords”
with Zhichun Wang
Abstract +
This paper studies how dynamically formed cost efficiencies from scope and density drive institutional landlords’
expansion and, in turn, alter the distribution of welfare across heterogeneous households in single-family housing
markets. Institutional landlords convert owner-occupied homes into large, spatially clustered rental portfolios. They
constrain households’ access to homeownership while expanding rental opportunities. This leads households to
reoptimize between buying and renting, as buyers may face higher prices while renters may benefit from expanded choice
sets. We build a dynamic equilibrium model of landlord investment with three key features: (i) oligopolistic
landlords’ investment determines the evolution of housing supply structure, (ii) portfolio size and density introduce
endogenous variation in landlord costs, and (iii) households substitute within and across buying and renting in an
integrated choice set. We estimate the model using firm-property-level data from 2013 to 2022 in the Atlanta
metropolitan area. We find that institutional landlords’ expansion achieved a 60.03% reduction in maintenance cost
from economies of scope and density. Households’ total welfare increased, with varying effects across renters and
buyers. The majority of renters gained from expanded rental supply, while a small fraction of renters, together with
most buyers, lost from diminished access to affordable homeownership. Our findings have significant policy
implications for regulating institutional landlords’ expansion in the single-family home market.
[4] “How Do Quantitative
Easing and Tightening Affect Firms?”
with Egemen Eren and Denis Gorea
Abstract +
BIS Version
We study how firms respond to quantitative easing (QE) and quantitative tightening (QT) policies of the Federal
Reserve. We construct a novel time series of maturity-specific central bank balance sheet shocks covering multiple QE
and QT programs. In response to central bank purchases of government bonds, we find that, on average, firms adjust
their debt maturity structure, reduce interest expenses and accumulate cash, while their total debt, capital and
employment remain largely unchanged. The impact of these policies differs depending on the targeted maturity segment
and the credit quality of firms. Policy transmission primarily runs via bond markets. There are positive spillovers to
high-rated non-US firms. Our findings can inform the design of balance sheet policies.
