Assistant Professor of Finance, MIT Sloan School of Management
Faculty Research Fellow, NBER
100 Main Street, E62-623, Cambridge, MA 02142
Phone: +1 (617)-253-2478 | Email: firstname.lastname@example.org
Asset Pricing, Financial Market Structure and Design
o A dark pool can improve price discovery by concentrating informed traders on the exchange.
First Prize, Morgan Stanley Prize for Excellence in Financial Markets, 2011
Review of Financial Studies (2012), 25(4): 1255-1285. SSRN Abstract
o Returning to a rejected offer leads to a worse offer. Search exacerbates adverse selection in OTC markets.
Review of Financial Studies Young Researcher Prize, 2013
Presentation video of an earlier version at the Utah Winter Finance Conference (2011)
Review of Asset Pricing Studies (2011), 1(1): 74-95. SSRN Abstract
o Central clearing of small derivatives classes can increase, rather than reduce, counterparty exposures.
Michael Brennan Best Paper Award, Review of Asset Pricing Studies, 2012
o The no-arbitrage restriction alone does not help predict bond yields in Gaussian term structure models.
o What are the welfare consequences of increasing trading frequency in financial markets? Is there an optimal trading frequency? Does an increase in speed affect fast and slow traders equally?
Yihong Xia Best Paper Award, China International Conference in Finance, 2013
Finance Theory Group meeting (2013), Barcelona Information Workshop (2013), Econometrics Society Summer Meeting (2013), CICF (2013), SAET (2013), NBER Market Microstructure meeting (2013), SITE (2014)
(Previous titles: “Ex Post Equilibrium in Double Auctions of Divisible Assets”, “Dynamic Ex Post Equilibrium, Welfare, and Optimal Trading Frequency in Double Auctions”)
A previous version of this paper, titled “Are CDS Auctions Biased?”, has a different model and some empirical results.
ECB-Bank of England Workshop on Asset Pricing (2011), FIRS (2012), Econometric Society summer meeting (2012), SIAM (2012), NBER Asset Pricing meeting (2012), EFA (2012), SAET (2013), WFA (2014)
UNC-Duke Corporate Finance Conference (2013), FIRS (2014)
Duke-UNC Asset Pricing Conference (2014), CICF (2014)
o To implement its QE policy, the Fed buys Treasury bonds in (reverse) auctions. What are the dealers’ bidding behaviors and the Fed’s costs?
NBER Summer Institute Asset Pricing meeting (2014)
o We analyze the “specialness” of mortgage dollar roll, the predominant trading strategy to finance agency MBS.
Fixed Income Conference (2014)
NBER Economics of Commodity Markets meeting (2013), AFA (2014)