I am a doctoral candidate at the Saïd Business School at the University of Oxford.
My research interests are empirical asset pricing as well as behavioural and experimental finance.
I will join the University of Gothenburg as an assistant professor in September 2024.
Job Market Paper
Which stock return predictors reflect mispricing?
Abstract: A large number of stock characteristics have been found to predict the cross-section of returns. Return predictability can be driven by risk or mispricing, and the nature of most return predictors remains an open question. I use analysts’ earnings forecasts to determine if a return predictor is linked to mispricing. I find that at least 40% of return predictors from a dataset of 172 significant predictors are related to mispricing, including the momentum predictor from the Carhart four-factor and the profitability and investment predictors from the Fama–French five-factor model. I further study whether the mispricing predictors’ abnormal returns capture the divergence of prices from the fundamental value (build-up predictors) or their convergence back to the fundamental value (resolution predictors). Build-up predictors are less common than resolution predictors but do exist, implying that trading on certain return predictors can exacerbate rather than eliminate mispricing. Momentum is related both to the build-up and the resolution of mispricing.
Diversification vs. Monopolization: A Laboratory Experiment
With Axel Ockenfels and Martin Schmalz
Do contrast effects influence earnings expectations?
Link coming soon
Optimal Stopping in a Dynamic Salience Model
With Markus Dertwinkel-Kalt
International Economic Review, forthcomming