Working Papers

ESG Spillovers, with Shangchen Li, Hongxun Ruan and Sheridan Titman. (09/2023)

  • We study the co-management of ESG and non-ESG active equity funds and suggest the existence of cross-fund subsidization.

On ESG Investing: Heterogeneous Preferences, Information and Asset Prices, with Itay Goldstein, Alexandr Kopytov, and Lin Shen. (04/2022)

  • We study how ESG investing reshapes asset prices and the financial market in an REE framework.

Tokenomics: Optimal Monetary and Fee Policies, with Urban Jermann. (09/2023)

  • We document key properties of crypto monetary policies based 2000+ tokens, and derive optimal monetary and fee policies for issuers with different levels of commitment.

Capital Regulation with Non-Maturing Deposits, with Urban Jermann. (4/2023)

  • Endogenous maturity of bank deposits has major effects for optimal capital regulation

Bank Heterogeneity and Financial Stability, with Itay Goldstein, Alexandr Kopytov, and Lin Shen. (12/2023)

  • Reducing correlation in run risks across banks can stabilize all of them.

An Invisible Oncologist: Health Implications of Financing Frictions, with Alexandr Kopytov, and Tong Liu. (11/2022)

  • Alleviating financing frictions can harm longevity by encouraging a portfolio shift from liquid assets to home equity.

Make America Great: Long-Run Impacts of Short-Run Public Investment, with Alexandr Kopytov. (10/2018)

  • We document S-shaped dynamics of the US economy in the 1960s associated with the construction of the Interstate Highway System. However, our analyses cast doubt on the efficiency of a large public investment in the post-Great Recession era.

Publications

Dynamic Banking with Non-Maturing Deposits, with Urban Jermann. Journal of Economic Theory, 2023, Volume 209, 105644

  • A model for the endogenous maturity of bank deposits.

Time Inconsistency and Financial Covenants. Management Science, 2024, 70 (1): 335-371

  • A dynamic model for long-term debt and covenants

  • 2019 WFA Cubist Systematic Strategies Ph.D. Candidate Award

Corporate Debt Choice and Bank Capital Regulation. Journal of Economic Dynamics & Control, 2022, Volume 144, 104506

  • Tightening capital requirements leads to a short-run boom but long-run shrinkage in non-bank market.

Selected in Progress

A Macroeconomic Model of Bank Runs, with Alexandr Kopytov