Research
WORKING PAPERS
Price Multipliers are Larger for Less Diversifiable Order Flows with Zihan Lin
3rd round R&R @ Journal of Finance
Takeaway: traditional notions of diversifiability are relevant for the cross-section of demand effects. Specifically, we show that the 'price multiplier' -- the elasticity of prices to shares demanded -- forms a gradient that increases with the degree of systematic risk.
PUBLISHED PAPERS
Why Do Portfolio Choice Models Predict Inelastic Demand? with Carter Davis and Mahyar Kargar
Journal of Financial Economics, 2025
Takeaway: classical portfolio choice models predict unrealistically high demand elasticities due to assuming that 1) price dislocations revert quickly and 2) securities are highly substitutable. The latter is the most quantitatively important.