Asaf Manela

Associate Professor of Finance
Washington University in St. Louis
Olin Business School
(314) 935-9178

Research interests

Asset Pricing, Financial Intermediation, Machine Learning, Text Analysis, Information Economics.


New Text data is inherently high-dimensional, which makes machine learning regularization techniques natural tools for its analysis. In a new paper with Bryan Kelly and Alan Moreira, we develop an economically-motivated high dimensional selection model that can improve machine learning from text in particular and from sparse counts data more generally. We apply this framework to backfill central financial variables to historical periods using newspaper coverage, and find that it substantially improves out-of-sample fit relative to alternative state-of-the-art approaches.

Presentations: École polytechnique fédérale de Lausanne, Hebrew University, IDC Herzliya, INSEAD, and Tel-aviv University, CITE Conference in Chicago

New How much would investors pay to receive valuable informational signals slightly before they are released publicly? In a new paper coauthored with Ohad Kadan, we derive a general expression for the value of information to a price-taking investor in a dynamic environment and provide a framework for its estimation from option prices. We apply this framework and estimate that a consumer-investor with commonly-used preference parameters would pay 4 to 15 basis points of her wealth for a one-time private signal of leading macroeconomic indicators (GDP, unemployment, etc.).

Presentations: Dartmouth, U Rochester, 2016 FMA Conference on Derivatives and Volatility at CBOE (Best Paper Award), 2016 IDC Summer Finance Conference, U Minnesota, WashU, USC, Boston College

New Hub-and-spoke regulation, where a central regulator with legal power over firms delegates monitoring to local supervisors, can improve information collection, but can also lead to agency problems and capture. In a new paper with Yadav Gopalan and Ankit Kalda, we document that following the closure of a US bank regulator's field offices, the banks they previously supervised distribute cash, increase leverage, and increase their risk of failure, more than similar banks in the same time and place.

Presentations: Chicago Financial Institutions Conference, FIRS Meetings in Hong Kong, WashU, Texas A&M, NY Fed, AFA 2018 Meetings in Philadelphia