Best Paper Award, Financial Research Association Meetings 2013
In a new paper with Roni Kisin, we estimate the shadow cost of capital requirements for banks using data on their participation in a costly regulatory loophole. We estimate that a ten percentage point increase in capital requirements would cost $2.2 billion a year for all banks that exploited the loophole combined, and no more than $3.7 billion for all US banks. The average cost per bank is $143 million, or 4 percent of annual profits.
Presentations: UCLA (Anderson), UNC (Kenan-Flagler), Wharton Conference on Liquidity and Financial Crises, FDIC-JFSR Fall Banking Research Conference, FRA Meetings in Las Vegas, FIRS Meetings in Quebec, AFA 2015 Meetings in Boston.
In a new paper with Alan Moreira, we construct a text-based measure of uncertainty starting in 1890 using front-page articles of the Wall Street Journal. Consistent with a time-varying rare disaster risk model, high news implied volatility (NVIX) predicts periods of above average stock returns, or periods of large economic disasters.
Presentations: Ohio State (Fisher), Rothschild Caesarea Center Conference, SFS Cavalcade, Texas Finance Festival, and AFA Meetings in Philadelphia.
Named for World's Best 40 Business School Professors Under 40, Poets & Quants
Asset Pricing, Financial Intermediation, Information Economics.