About

I am an Associate Professor of Finance at the Fisher College of Business of The Ohio State University. My research focuses on corporate finance, financial institutions, and empirical finance. I have a particular interest in the role of financial institutions in financial markets and the impact of financial regulations on corporate behavior. My work often involves the use of both theoretical and empirical methods to analyze these issues.

Research topics

• Economics
• Financial economics
• Finance
• Monetary economics
• Econometrics
• Business
• Statistics
• Actuarial science
• Mathematics
• Financial system

Selected publications

• Subjective Beliefs and the Portfolio Allocations of Institutional Investors

  SSRN Electronic Journal · 2026-01-01

  preprintOpen access
  PublisherDOI

• Out-of-Sample Alphas Post-Publication

  SSRN Electronic Journal · 2025-01-01

  articleOpen access1st authorCorresponding
  PublisherDOI

• A First Look at the Historical Performance of the New NAV REITs

  The Journal of Real Estate Finance and Economics · 2025-07-12

  articleOpen accessSenior author

  Abstract Private Commercial Real Estate (CRE) funds offer institutional investors access to CRE markets, but most remain inaccessible to retail investors. This paper examines the early performance (2016–2024) of a growing class of non-listed CRE funds available to retail investors, such as Blackstone REIT (BREIT). Known as Net Asset Value (NAV) REITs, these funds have become a major alternative to publicly traded REITs, offering indirect CRE exposure. We find that NAV REIT returns exhibit smoothness due to lagged pricing updates, making unsmoothing essential for risk-adjusted performance analysis. While NAV REITs delivered positive alphas relative to public indices historically, we cannot reject the hypothesis that these alphas stemmed from unexpected positive returns to NAV REITs over our sample. Lastly, we highlight limitations in traditional alpha analysis for short samples and propose an alternative approach, suggesting that NAV REITs’ alphas were economically meaningful but substantially lower than traditional alpha estimates.

  PublisherOA PDFDOI

• Institutional Investors' Subjective Risk Premia: Time Variation and Disagreement

  SSRN Electronic Journal · 2024-01-01 · 3 citations

  articleOpen access
  PublisherDOI

• Unsmoothing Returns of Illiquid Funds

  Review of Financial Studies · 2024-03-07 · 15 citations

  articleCorresponding

  Abstract Funds investing in illiquid assets report returns with spurious autocorrelation. Consequently, investors need to unsmooth these funds’ returns when evaluating their risk exposures. We show that funds with similar investments share a common source of spurious autocorrelation not fully resolved by traditional unsmoothing methods and thereby leading to underestimation of systematic risk. Thus, we propose a generalized unsmoothing technique and apply it to hedge funds and private commercial real estate funds. Our method significantly improves the measurement of funds’ risk exposures and risk-adjusted performance, especially for highly illiquid funds. Overall, the average illiquid fund alpha is lower than previously thought. (JEL G11, G12, G23)

  PublisherDOI

• An Intertemporal Risk Factor Model

  Management Science · 2024-11-08 · 3 citations

  article

  Prominent factor models are based on tradable factors that do not represent theoretically relevant risks. To address this issue, we develop a factor model that captures the risks to long-term investors present in the intertemporal capital asset pricing model (ICAPM). Empirically, we construct intertemporal risk factors as long-short portfolios based on stock exposures to dividend yield and realized variance. These tradable factors mimic news to long-term expected returns and volatility, and they offset part of the marginal utility increase in recessions induced by wealth declines. Our intertemporal factor model estimation implies significant risk prices that are consistent with the ICAPM restrictions under moderate risk aversion. Moreover, our model performs well relative to previous factor models in terms of its tangency Sharpe ratio and its pricing of key test assets, including single stocks, industry portfolios, and portfolios sorted on risk exposures and lagged anomalies. This paper was accepted by Will Cong, finance. Supplemental Material: The online appendix and data files are available at https://doi.org/10.1287/mnsc.2023.00261 .

  PublisherDOI

• A First Look at the Historical Performance of the New NAV REITs

  SSRN Electronic Journal · 2024-01-01 · 2 citations

  articleOpen accessSenior author
  PublisherDOI

• The Subjective Risk and Return Expectations of Institutional Investors

  SSRN Electronic Journal · 2023 · 20 citations

  • Economics
  • Actuarial science
  • Econometrics
  PublisherDOI

• Payout-Based Asset Pricing

  SSRN Electronic Journal · 2023-01-01

  articleOpen access1st authorCorresponding
  PublisherDOI

• The fundamental-to-market ratio and the value premium decline

  Journal of Financial Economics · 2022 · 43 citations

  1st authorCorresponding
  • Economics
  • Monetary economics
  • Econometrics
  PublisherDOI

Frequent coauthors

• René M. Stulz

  15 shared

• Spencer J. Couts

  Japan Real Estate Institute

  8 shared

• Harry DeAngelo

  University of Southern California

  8 shared

• Johnathan Loudis

  University of Notre Dame

  7 shared

• Lu Zhang

  Obstetrics and Gynecology Hospital of Fudan University

  6 shared

• Xue Chen

  5 shared

• Aureliano Angel Bressan

  Universidade Federal de Minas Gerais

  3 shared

• Fousseni Chabi-Yo

  3 shared

Education

• B.S., Actuarial Science

  Federal University of Minas Gerais

  2010

• B.S., Statistics

  Federal University of Minas Gerais

  2011

• M.S., Quantitative Finance

  University of Wisconsin-Madison

  2013

• M.A., Economics

  The Ohio State University

  2016

• Ph.D., Finance

  The Ohio State University

  2018

Awards & honors

• Michael J. Barclay Young Scholar award from the Financial Re…
• Kenan-Flagler MBA Teaching All-Star Award