Research

We show that in fire sales institutional investors chose to sell bonds that were trading in liquid markets before. Surprisingly, the price drops of these bonds are larger than of bonds that were trading in less liquid markets. We argue that this is because institutions fail to internalize the negative effect selling common bonds has on other market participants. After controlling for commonality of bonds, liquid bonds exhibit smaller price impacts in fire sales. Regulatory measures of systemic risk should thus take into account the portfolio overlap in liquid bonds as it exacerbates fire-sale losses.
Working Paper, 2018.

We examine liquidity risks of mutual funds and the role of liquidity management in a parsimonious model of active portfolio management with transaction costs. We argue that redemptions following bad performance pose no dilution risk to remaining investors, and what appears to be liquidity management by mutual funds is managers collecting rent. Bad performance is a negative signal about a manager, it reduces the optimal fund size. Liquidations of illiquid assets to satisfy performance-driven redemptions are efficient and do not justify regulatory interventions. Accommodating redemptions with cash only, as managers with performance-sensitive compensation do, amplifies outflows and destabilizes the fund.
Working Paper, 2018.

We provide novel evidence of banks establishing lending relationships with prestigious firms to signal their quality and attract future business. Using survey data on firm-level prestige, we show that lenders compete more intensely for prestigious borrowers and offer lower upfront fees to initiate lending relationships with prestigious firms. We also find that banks expand their lending after winning prestigious clients. Prestigious firms benefit from these relations as they face lower costs of borrowing even though prestige has no predictive power for credit risk. Our results are robust to matched sample analyses and a regression discontinuity design.
Working Paper, 2017.

Teaching

I was teaching assistant for the following courses:

  • University of Vienna: Calculus, Keynes for Beginners, International Macroeconomics, Macroeconomics and Inequality
  • TU (Vienna University of Technology): Microeconomics
  • Gutman Private Welath Management Seminar: FinTech
  • WU (Vienna University of Economics and Business): Linear Algebra

Some useful notes for students:

Contact