I am a Ph.D. candidate in Finance at the Norwegian School of Economics. My research interests are asset pricing, intermediation, and market microstructure. I will be joining the Banco de España as a Research Economist in the fall.
Working Papers
Good Inflation, Bad Inflation: Implications for Risky Asset Prices Joint with Berardino Palazzo and Ram Yamarthy April 2024
In times of market-perceived “good inflation,” when inflation news is positively correlated with real economic growth, shocks to expected inflation substantially reduce corporate credit spreads and raise equity valuations. Meanwhile in times of “bad inflation,” these effects are attenuated and the opposite can take place. These dynamics naturally arise from an equilibrium asset pricing model with a time-varying inflation-growth relationship and persistent macroeconomic expectations. Using inflation swap prices we study how expected inflation is priced in firm-level credit spreads and equity returns, and uncover evidence of a time-varying inflation beta.
Inflation Risk and Yield Spread Changes May 2024
Inflation risk explains a significant share of the systematic variation of yield spread changes beyond standard structural factors. Movements in expected inflation directly affect the real value of debt and, consequently, bond prices. I show that shocks to inflation expectation, volatility, and cyclicality are significant determinants of yield spread changes. A model with a stochastic price index and sticky cash flow explains these patterns and delivers additional implications with empirical support. Loading patterns become more pronounced with higher ex-ante default risk and cash-flow flexibility but weaken during periods of high expected inflation.
Hedge Funds, Prime Brokers, and Corporate Bond Offerings
Hedge funds make abnormally large and profitable trades in stocks before corporate bond announcements when their prime broker serves as a bond underwriter, and these trades outperform other trades. The outperformance is not concentrated in announcement periods, nor in funds serviced by prime brokers whose equity analysts follow the firm, and nor in new positions. Bond-market activity by hedge funds represents one possible channel of information transfer. Bonds of firms held by connected hedge funds are associated with higher secondary market volume and number of transactions during their first six months of trading. Evidence suggesting that hedge funds support underwriters in liquidity provision activities during the first months of bonds’ life when lengthy searches for high-valuation investors in the secondary market might be very costly.
Work in Progress
Momentum Spillovers in Corporate Bonds Joint with Katsiaryna Falkovich and Nils Friewald
