I am on the job market this year and will be available for interviews at the AEA/ASSA/AFA meeting in San Francisco, CA (3-5 January).

Job Market Paper:

Portfolio Management Pressure

This paper investigates the effect of portfolio composition management on trading and return predictability. I find mutual funds, in managing their portfolios against compositional changes caused by the dispersion of holding returns, exert a net liquidity demand on other investors. Mutual funds chase after high returns, but readily rebalance against large increases in their positions. The resultant asymmetric demand decreases the prices of large cap/high momentum stocks. A value-weighted strategy exploiting this predictability earns 2.83% (2.6% 4 factors adjusted returns) returns per quarter on the largest, and supposedly most liquid and efficiently priced assets in the cross section of equities; contrasting priors that the demand channel for assets only circumstantially affect stock prices. This paper makes contributions by 1) documenting the significant consequences of portfolio management by professional asset managers on stock prices, 2) identifying facts of how equity rebalancing is conducted across the asset management industry, and 3) explaining several puzzling facts about cross sectional equity momentum.

Papers:

Industry Window Dressing, With Lauren Cohen and Dong Lou

Forthcoming at Review of Financial Studies

We explore a new mechanism by which investors take correlated shortcuts, and present evidence that managers undertake actions in the form of sales management to take advantage of these short-cuts. Specifically, we exploit a regulatory provision wherein a firm's primary industry is determined by the highest sales segment. Exploiting this regulation, we provide evidence that investors classify operationally nearly identical forms vastly differently depending on their placement around this sales cut-off. Moreover, managers exploit this by manipulating sales to be just over the cut-off in favorable industries, and then engage in activities to realize large, tangible benefits from this opportunistic action.

Discussions:

AFA 2016. Paul Woolley Eighth Annual Conference 2015.

Referee Work:

Management Science. Journal of Empirical Finance