Associate Professor, Finance & Real Estate
Associate Professor, Finance & Real Estate
Bartley Hall Rm 2004
800 Lancaster Avenue
Villanova, PA 19085
- PhD, Purdue University, 2005
- BS, University of California – Berkeley, 1997
- Contagion effects in strategic mortgage defaults. Journal of Financial Intermediation (2017), with Ryan Goodstein, Carlos Ramirez and Christof Stahel.
- Value of Corporate Control: Some International Evidence Journal of Investment Management (2013), with Alan C. Shapiro and Atulya Sarin.
- Run-lengths and liquidity. Annals of Operations Research (2010), with Sanjiv Das.
- Implied recovery. Journal of Economic Dynamics and Control (2009), with Sanjiv Das.
- Accounting-based vs. market-based models of CDS spreads. Journal of Banking and Finance (2009), with Sanjiv Das and Atulya Sarin.
- Hedging credit: Equity liquidity matters. Journal of Financial Intermediation (2009), with Sanjiv Das.
- Credit Default Swap Spreads. Journal of Investment Management (2006), with Sanjiv Das.
- Is there a dark side to incentive compensation? Journal of Corporate Finance (2006), with David Denis and Atulya Sarin.
Honors and Awards:
- Lyxor-ETF Research Academy Award, 2017
- The Daniel Taylor Emerging Scholar Award, Villanova University, 2012
- Distinguished Teaching Award, Purdue University, 2004
- Teaching Excellence Award, Purdue University, 2003
- Corporate Finance; Credit Risk; Credit Derivatives
- Persistence Pays: Evidence from Investment Style Dynamics in the Venture Capital Industry, with Amit Bubna and Sanjiv Das. SSRN Working Paper. We examine style drift in venture capital investing using 344,491 VC firm-financing rounds between 1980 and 2010. We locate each VC financing round in one of twenty styles, and develop a measure of a change in a VC’s styles (“style drift”) that is time consistent and independent of firm size. VC firms that exhibit style persistence outperform those that drift. VCs in the early years of their lifecycle exhibit greater style drift. Style drift hurts performance for seasoned VCs and for VCs that drift in a correlated (herd) fashion with other VC firms. We find evidence for economies of style persistence.
- Political Contributions and the Price of Credit Risk: Evidence from Credit Default Swaps, with Shunlan Fang, Alexei V. Ovtchinnikov and Saumya Prabhat. SSRN Working Paper. Firm political contributions are associated with lower credit default swap spreads for contributing firms. To address endogeneity, we employ novel instruments and use a set of exogenous events on campaign contribution restrictions: (a) the passage of the Bipartisan Campaign Reform Act (BCRA) that banned soft money contributions, (b) the Federal Election Commission decision to interpret the BCRA less strictly, (c) the partial reversal of the BCRA and, (d) the McConnell v. FEC Supreme Court decision, which upheld the BCRA. Overall, the evidence suggests that political contributions are valued by credit market participants.
- Do ETFs increase the commonality in liquidity of underlying stocks?, with Vikas Agarwal, Rabih Moussawi, and Christof Stahel.We examine the impact of ETF ownership on the commonality in liquidity of the stocks held by ETFs, while controlling for the ownership by other institutional investors. Our results indicate that ETF ownership significantly increases the liquidity commonality on account of the arbitrage mechanism inherent in ETFs that ensures that ETF prices are in line with the prices of the underlying stocks. We show that greater arbitrage activities in both the primary and secondary markets of ETFs are associated with an increase in the effect of ETF ownership on commonality in liquidity. We exploit a quasi-natural experiment based on ETF trading halts to establish a causal relation between ETF ownership and liquidity commonality. Taken together, our results show that ETFs reduce the ability of the market participants to diversify liquidity shocks.
- Introduction to Financial Management
- Advanced Corporate Finance
- Fixed Income
- Financial Modeling
- Associate, Law and Economics Consulting Group, Emeryville, California, 1998-2000
- Financial Economist, Securities and Exchange Commission, Office of Asset Management, Division of Economic and Risk Analysis, Washington DC, 2014-2015
In the News Media:
- The Philadelphia Inquirer: How foreclosure is like a disease