Working Papers

Banking

Banks’ Risk Exposure
with Monika Piazzesi and Martin K. Schneider  ·  August 2025
Revision requested at Econometrica
Measures interest rate and credit risk in U.S. banks’ fixed-income positions over 30 years.
Interest Rate Risk and Cross-Sectional Effects of Micro-Prudential Regulation
with Vadim Elenev and Tim Landvoigt  ·  February 2026
Revision requested at Journal of Finance
Analyzes financial stability risks from banks’ interest rate exposure and uninsured deposits.
Uniform Rate Setting, Branch Expansion, and the Deposit Channel
with Erik Stafford  ·  September 2025
Revision requested at Review of Financial Studies
Explores how banks set deposit rates uniformly and expand branches strategically.
Determinants of Bank Performance: Evidence from Replicating Portfolios
with Carlo Altavilla, Lorenzo Burlon, and Franziska Maruhn
Revision requested at Management Science
Constructs a novel measure of bank performance using confidential granular data.

Publications

Banking

A Q-Theory of Banks
with Saki Bigio, Jeremy Majerovitz, and Matias Vieyra
Review of Economic Studies, Volume 93, Issue 1, January 2026, pp. 106–143
Studies the interaction of bank capital regulation and delayed accounting.
Slides Replication Package
Financial Regulation in a Quantitative Model of the Modern Banking System
with Tim Landvoigt
Review of Economic Studies, Volume 89, Issue 4, July 2022, pp. 1748–1784
WFA Award for Best Paper on Financial Institutions
Proposes a quantitative model with regulated and unregulated banks to study capital regulation.
Slides Online Appendix Code
Capital Requirements, Risk Choice, and Liquidity Provision in a Business Cycle Model
Journal of Financial Economics, Volume 136, Issue 32, May 2020, pp. 355–378
Develops a dynamic general equilibrium model examining bank capital requirements.

Alternative Assets

The Rise of Alternatives
with Pauline Liang and Emil Siriwardane
Forthcoming, Review of Financial Studies
Runner-up, 2024 Research Award, International Centre of Pension Management
U.S. public pension funds shifted investments away from public equities toward alternatives.
Internet Appendix
Fee Variation in Private Equity
with Emil Siriwardane
Journal of Finance, 2024
Analyzes fee variation within private-capital funds and investor-level differences.
Internet Appendix
An Empirical Guide to Investor-Level Private Equity Data from Preqin
Data paper

Corporate Finance

Firm Selection and Corporate Cash Holdings
with Berardino Palazzo
Journal of Financial Economics, Volume 139, Issue 3, March 2021, pp. 697–718
Editor’s Choice
Examines how firm selection affects secular trends in corporate cash holdings.
Firm Financing Over the Business Cycle
with Juliana Salomao
Review of Financial Studies, Volume 32, Issue 4, April 2019, pp. 1235–1274  ·  Lead Article
Studies cyclical investment and financing patterns across firm sizes.
Big Data in Finance and the Growth of Large Firms
with Maryam Farboodi and Laura Veldkamp
Journal of Monetary Economics, Volume 97, 2018, pp. 71–87
Explores how big data disproportionately benefits large firms.

Book Chapters

A New Approach to Measuring Banks’ Risk Exposure
In: Leveraged: The New Economics of Debt and Financial Fragility, ed. Moritz Schularick. University of Chicago Press, 2022, pp. 165–180
Remapping the Flow of Funds
with Monika Piazzesi and Martin K. Schneider
In: Risk Topography: Systemic Risk and Macro Modeling (NBER), eds. Markus Brunnermeier and Arvind Krishnamurthy, pp. 57–64
Comment: Government Guarantees and the Valuation of American Banks
Discussing Atkeson, d’Avernas, Eisfeldt, and Weill
NBER Macroeconomics Annual 2018, Volume 33, eds. Eichenbaum and Parker

Older Working Papers

Do Banks Have an Edge?
with Erik Stafford
Evaluates whether bank activities outperform capital markets. Overall, no.
Slides
Unstable Inference from Banks’ Stable Net Interest Margins
with Erik Stafford
Shows that stable net-interest margins are uninformative about banks’ interest rate exposure.