Finance PhD Student. Carnegie Mellon University.
- Tepper School of Business
- Carnegie Mellon University
- 5000 Forbes Avenue, Pittsburgh, PA.
- Office: 315-C, GSIA.
- e-mail: firstname.lastname@example.org
- Joined Tepper PhD Program 2010
- Young Research Fellow, Center for Applied Economics, Universidad de Chile, 2009-2010
- MS Economics, Universidad de Chile, 2008
- Industrial Engineer, Universidad de Chile, 2008
- Market Microstructure
- Financial Networks
Work in Progress
- Inter-Firm Linkages and Asset Prices
- In modern financial markets firms are increasingly linked to each other. In different markets, but at the same time, a firm may find itself in the roles of customer, supplier, debtor, creditor, partner or competitor all with the same firm. Since these linkages may affect the performance of linked firms, they may be relevant in understanding firms' returns. Provided that information about the whole spectrum of linkages between firms is not publicly available I use quarterly cash-flows data on a panel of 2,500 US firms from 1998 to 2012 to infer the US business network. To do so I use high dimensional graph estimation techniques assuming that a firm's performance may only be largely affected by a small number of other firms (i.e. the business network is sparse). I then use the inferred network to study the effect of inter-firm linkages on the cross-section of expected returns, the market price of risk, the risk-free rate, and firm-level volatility.
- Basket Securities in Segmented Markets
- I study the design and welfare implications of basket securities issued in markets with limited investor participation. Profit-maximizing issuers exploit investors inability to trade freely across different markets and choose which market to specialize in. I show that when the issuer is a monopoly, the equilibrium may not be constrained efficient. Increasing competition among issuers increases the variety of baskets issued, but does not always improve investors welfare. Although competition increases the variety of baskets issued, many of these baskets are redundant in the sense that coordination among issuers could improve investors risk sharing opportunities. The equilibrium basket structure depends on institutional features of a market such as depth and gains from trade. Finally, the model allows to compute implied measures of effective segmentation investors face when investing across different market segments.
- Presented at: Universidad de Chile, LBS (2013 TADC), 2013 Northern Finance Association, 2014 Midwest Finance Association (scheduled), 2014 Eastern Finance Association (scheduled)
- Imperfect Information Transmission from Banks to Investors: Real Implications with Nicolas Figueroa (Universidad Catolica de Chile) and Oksana Leukhina (University of Washington)
- We develop a general equilibrium model to study both information transmission and banks' screening efforts at origination in secondary markets for loans. Originating banks have the ability to collect information about borrowers, but they cannot credibly transmit such information to investors. Banks may choose then to employ ratings to convey that information to investors. The price differential on assets with different ratings emerges then as the main determinant of banks' screening effort at origination. We show that screening efforts at equilibrium are suboptimal as long as ratings do not perfectly convey banks' information to investors. Furthermore, both the rise in collateral and the rise in asset complexity unambiguously weaken banks' screening intensity. Our model provides new insight into the following pre 2007 financial crisis' observations: (1) more intense use of ratings, (2) historically low spreads between high yield and investment grade securities, (3) an increase in default probabilities conditional on investment grade rating and (4) an increase in the fraction of assets receiving an investment grade rating. Finally, we analyze two policies: mandatory rating and mandatory rating disclosure. We prove that both policies may be counterproductive since they could lead to further resource misallocation.
- Presented at: Universidad de Chile*, 2013 Midwest Macro Meetings*, 2014 Midwest Economics Association (scheduled) (* presented by coauthors)
- Networks in Economics and Finance Meetings at Tepper Website