I am a Ph.D. candidate in the Finance Department at NYU Stern. My research interests focus on behavioral finance, real estate finance, and asset pricing. I am interested in three main questions: Q1) What sort of problem are traders facing? e.g., Do traders struggle to solve really hard but well posed questions (bounded rationality)? Do traders have a hard time allocating their attention (cognitive control)? Are trading costs the key first order concern? etc… Q2) How can we identify the key features of this problem using the available data? e.g., for the most part traders are anonymous and markets are monolithic. This makes identification of particular inference problems or solution strategies difficult. Q3) Why does it matter that traders solve this problem well? e.g., take the exact problem that traders are solving as given, and then suppose that you woke up on Monday morning and they were worse at solving it so that prices were less accurate. What would this world look like on a scale of (a bad cases of the Mondays) to (planes falling from the sky)?
I have several active projects which span some combination of these 3 questions. Trading on Coincidences focuses on questions Q1) and Q2) by hypothesizing that selecting the relevant inference problem to solve each period is a first order concern for stock market traders and giving supporting evidence in the form of price reactions to coincidences in past stock returns. In the future I plan on developing this line of research by giving evidence that traders use other sorts of salient patterns to regulate their attention as well. My work in Misinformed Speculators and Mispricing in the Housing Market with Chris Mayer focuses on questions Q2) and Q3) by giving evidence that out of town second house buyers (e.g., someone who lives in San Francisco and buys a second house in Phoenix) behave like misinformed speculators in the US residential housing market and showing that an increase in out of town second house buyer demand predicts house price appreciation and mispricing. What’s more, because of the geographic segmentation in the housing market, we can address concerns of reverse causality since an unobserved increase in the fundamental value of buying a second house in Phoenix would represent a common shock to the investment opportunity set of potential second house buyers everywhere. In future work we aim to trace out the real effects of this mispricing.
Phone: (916) 709-9934