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.

We investigate which bonds institutional investors sell in fire sales. We find that these are mostly bonds that were trading in liquid markets before the fire sale, and that they are sold by other institutions as well. Somewhat surprisingly, the price impacts in these markets are higher than in bonds that were trading in less liquid markets before the fire sale, but are also liquidated during fire sales. It appears as if liquid bonds in fire-sales exhibit larger price impacts than less liquid bonds. We argue this is because institutions fail to fully account for the effect of selling common bonds on other market participants. Controlling for commonality of bonds, we find that liquid bonds have smaller price impacts in fire sales. This result matters for the measurement of systemic risk: the commonality of liquid bonds exacerbates fire sales losses, as they are sold more in fire sales. Measures of portfolio similarity should thus overweight liquid bonds overlap, not underweight it.
Working Paper (new version coming soon), 2017.

We examine liquidity risks of mutual funds and the role of liquidity management in a parsimonious model of active portfolio management with trading costs. We argue that redemptions which following bad performance pose no dilution risk to remaining investors, and what appears to be liquidity management by mutual funds might be managers collecting rent. Liquidations of illiquid assets to satisfy such redemptions are efficient and do not justify regulatory interventions. Accommodating redemptions with cash only, as managers with performance-sensitive compensation do, exaggerates outflows and destabilizes the fund.
Working Paper, 2017.


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: