Working papers

Bubble beliefs: Optimism vs. greater fool (with Robin Greenwood), August 2025
Optimism dominates, awareness is absent 

Abstract:
We measure expectations of experts during boom-bust episodes of individual US stocks. During the run-up phase, these stocks exhibit (1) higher analyst expectations of long-term earnings growth, (2) higher near-term expected returns, (3) lower short interest. We also study media coverage of these stocks and find that  (4) frequency of media coverage falls slightly during the run-up, (5) there is limited use of terms such as ``bubble" or ``overvalued," even in articles that relate to the stock market, and even after a crash starts. We then perform an ex-ante analysis of run-up episodes, and show that measures of expectations can be used to forecast the probability of a crash: more optimism is associated with higher crash probability. These results are consistent with bubbles being fueled by overly optimistic expectations of fundamentals. Aside from a small fraction of episodes, there seems to be little awareness among experts that a bubble is happening.

Corporate Bond Factors: Replication Failures and a New Framework (with Jens Dick-Nielsen, Peter Feldhütter, Lasse Heje Pedersen), September 2023
The literature on corporate bond factors faces a replication crisis. Using a new clean dataset and method, we show a way forward.

R&R, Review of Financial Studies

Winner of the Utah Winter Finance Conference Best Paper Award 2024

Abstract:
We demonstrate that the literature on corporate bond factors suffers from replication failures, inconsistent methodological choices, and the lack of a common error-free dataset. Going beyond identifying this replication crisis, we create a clean database of corporate bond returns where outliers are analyzed individually and propose a robust factor construction. Using this framework, we show that most, but not all, factors fail to replicate. Further, while traditional factors are constructed from individual bonds, we create representative firm-level bonds, showing which bond signals work at the firm-level. Lastly, we show that a number of equity signals work for corporate bonds. In summary, most factors fail, but so does the CAPM for corporate bonds. 

Demand Based Bitcoin Pricing, April 2023
Cool new dataset of all bitcoin flows from 2009-2021. Bitcoin's transparency and high-frequency holdings as a laboratory for studying demand system effects.

Abstract:
I study investor-level data of all bitcoin flows from 2009 to 2021 and show that the market is highly inelastic: A $1 demand shock in the bitcoin market cause a change in the market cap of $3. I find that systematic demand shocks shared by all investors explain 40% of contemporaneous bitcoin return variation, while idiosyncratic demand shocks explain 6%. My findings imply that even small demand shocks cause large price changes and shed new light on the origins of bitcoin return fluctuations. My results provide further support for the inelastic market hypothesis from Gabaix & Koijen (2022b).