Working Papers

MFA Best Doctoral Paper Award (2021)

WFA PhD Candidate Award For Outstanding Research (2021)

Risk premia are significantly elevated during periods of democratization in a cross-country panel of equity data covering 85 countries over 200 years, despite little effect on GDP or dividends. This result is explained in an asset pricing model in which wealthy asset market participants face redistribution if democracy consolidates. Finally, in a quasi-natural experiment emanating from a shift in Catholic church doctrine in support of democracy, majority Catholic autocracies display significantly higher average excess returns relative to other countries in a difference-in-differences framework. These results are key to understanding how the redistribution of economic and political power influence financial decisions.

Presented At: Econometric Society European Winter Meeting, Econometric Society World Congress, EFA (Poster Session), MFA, MFA Doctoral Symposium, Trans-Atlantic Doctoral Conference, WFA, World Finance Conference (Schedule), EFA (Scheduled), NFA (Scheduled), FMA (Scheduled), Young Economist Symposium (Scheduled)

with Sylvain Catherine and Natasha Sarin

Red Rock Finance Conference Best Paper Award (2020)

SFS Cavalcade Best Paper in Asset Pricing (2021)

Recent influential work finds large increases in inequality in the U.S. based on measures of wealth concentration that notably exclude the value of social insurance programs. This paper revisits this conclusion by incorporating Social Security retirement benefits into measures of wealth inequality. We find that top wealth shares have not increased in the last three decades when Social Security is properly accounted for. This finding is robust to assumptions about how taxes and benefits may change in response to system financing concerns. When discounted at the risk-free rate, real Social Security wealth increased substantially from $4.8 trillion in 1989 to $41.3 trillion in 2016. When we adjust the discount rate for long-run macroeconomic risk, this increase remains sizable, growing from over $3.9 trillion in 1989 to $33.9 trillion in 2016. Consequently, by 2016, Social Security wealth represents 57% of the wealth of the bottom 90% of the wealth distribution.

Presented At: Chicago Annual Household Finance Conference*, EconTwitter Conference*, NBER SI CRIW*, Red Rock Finance Conference*, CEPR European Conference on Household Finance*, NFA*, NBER Public Finance*, ASU Sonoran*, SFS Cavalcade, WFA*NBER SI Inequality and the Macroeconomy*

*Denotes presentation by co-author

Press: Marginal Revolution, Pro-Market, The Economist

Presentation link: SFS Cavalcade

with James Paron and Jessica Wachter

Sovereign debt yields have declined dramatically over the last half-century. Standard explanations for this decline, including aging populations and increases in asset demand from abroad, encounter difficulties when confronted with the full range of evidence across asset classes. We propose instead that the decline in inflation and default risk caused falling interest rates, a phenomenon that is not unique to our century. We show that a model with investment, inventory storage, and sovereign default captures the decline in interest rates, the stability of equity valuation ratios, and the recent reduction in investment and output growth corresponding to the zero lower bound.

Presented At: NBER SI Capital Markets, SF Fed Conference on Macro and Monetary Policy*, WFA*NBER SI Asset Pricing

*Denotes presentation by co-author

Publications

Journal of Public Economics (2020)

with Sylvain Catherine and Natasha Sarin

Press: MarketWatch, MarketWatchMarketWatch

Journal of Portfolio Management​ (2020)

with Jonathan Berk and Jules van Binsbergen

Technical Reports

FEDS Note (2016)

with Elizabeth Holmquist and Youngsuk Yook