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 ultra-high dimensional, which makes machine learning techniques indispensable for textual analysis. In a new paper, we develop an economically motivated high dimensional selection model that improves machine learning from text (and from sparse counts data more generally). We apply our framework to backcast, nowcast, and forecast financial variables using newspaper text, and find that it substantially improves out-of-sample fit relative to alternative state-of-the-art approaches.

Presentations: NBER AP, École polytechnique fédérale de Lausanne, Hebrew University, IDC Herzliya, INSEAD, Tel-aviv University, CITE Conference in Chicago, Ohio State, Indiana University

New How much would investors pay to receive investment-relevant information? In a paper coauthored with Ohad Kadan forthcoming at RFS, 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. To illustrate, we estimate values of leading macroeconomic indicators (GDP, employment, etc.) and rank them. Using variations in option prices we find that a consumer-investor with conventional preference parameters would pay 3 to 5 basis points of her wealth for a one-time private peek into these indicators.

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