My new website is coming soon. Stay tuned. Check out my blog in the meantime: The Risk Luminary // Musings on Everything Risk.
I am a PhD Candidate in Finance at the Wharton School at
the University of Pennsylvania and on the academic job
market this year.
My research interests include asset pricing, financial
econometrics, numerical techniques and model solution
methodologies, financial institutions, and risk management.
My job market paper is a consumption-based study of price
momentum. I model the cross section of equity securities
inside a long-run risks economy of Bansal and Yaron (2004).
Consistent with the implications of the model, I show a new
empirical stylized fact: momentum portfolios have
time-varying long-run consumption betas and time-varying
expected returns. Simulations of a firm-level model produce
a substantial momentum effect while simultaneously
generating a large equity premium and matching other
relevant moments of the data such as transitions of
securities across momentum portfolios.
I have teaching experience and interests in many areas of
finance. At Wharton, I have been a teaching assistant for
six different courses at the undergraduate, M.B.A., and
Executive M.B.A. levels. I have also been an instructor in
a summer program designed to give incoming freshmen a
head-start on their coursework at the University of
Pennsylvania.
[ Click here for my CV (PDF) ]
[ Click here for Momentum and Long-Run
Risks (Job Market Paper PDF) ]