Research

I. Information and Asset Pricing

Macroeconomic Announcements and the Repricing of Earnings Risk with Leyla Han. Revise and Resubmit at The Review of Financial Studies.

Selected presentations. NFA (scheduled, 2026), EFA (2026), WFA (2026) and Texas Finance Festival (2026).

Abstract:  Macroeconomic announcements lead to the repricing of earlier firm-specific earnings news, generating heterogeneity in risk compensation in the cross section of equity returns. When firms announce earnings, investors form joint beliefs about both firm-specific and aggregate components. Subsequent macro announcements reveal information about the aggregate state of the economy, prompting investors to reassess the firm-specific component of the prior earnings news. We develop a dynamic general equilibrium model in which investors rationally learn from both earnings and macro announcements to quantify the importance of this repricing channel. Empirical evidence supports the model’s predictions: firms with recent earnings systematically underperform those without on macro-announcement days, with the effect strongest for firms whose earnings-day returns comove most with the market.

Earnings growth uncertainty and the cross-section of equity valuation  (Job Market Paper)

Presented at the NFA Conference (2022), SGF Conference (2022), World Finance Conference (2021), Midwest Finance Association (2021), EFMA Annual Meeting - Doctoral Workshop (2019), and at the Bank of Canada Graduate Student Paper Award (2019).

Abstract:  Firm value rests on investors’ beliefs about future earnings growth, so growth uncertainty is a first-order driver of equity valuation. Its effect depends on the source of the uncertainty. When uncertainty reflects firm-specific information noise in investors’ signals, that noise dilutes their perceived exposure to aggregate risk, lowers the risk premium, and raises valuation, though fundamental exposure is unchanged. Uncertainty induced by volatile earnings instead lowers valuation, raising fundamental risk exposure. Estimating this uncertainty firm by firm for 712 U.S. firms, I find that its information and fundamental components move market-to-book valuations in opposite directions.

Long-Run Risk Unwrapped: An Analytical Expression of the Wealth-Consumption Ratio, with Gabrielle Trudeau 

Abstract: We derive an analytical expression for the wealth-consumption ratio (wcr) in a representative agent model with recursive utility over consumption. Our expression assumes that the wcr is exponential affine in expected consumption growth and sets constraints on the mean-reversion of consumption growth. Our analytical expression for the wcr is nearly identical to the exact numerical solution.

II. Credit Risk and Exchange Rate

A Credit-Based Theory of the Currency Risk Premium, with Pasquale Della Corte and Alexandre Jeanneret. Journal of Financial Economics, 2023.

Selected presentations.  AEA (2021), EFA (2020), AFA (2020),  ECB Exchange Rate Workshop (2019), NFA (2019), Vienna Symposium on Foreign Exchange Markets (2019), Risk Management Conference in the University of Singapore (2019), Asset Pricing Workshop in the University of York (2019), QES European Quantitative and Macro Investing Conference (2019),  Swiss Society for Financial Market Research (2019), CDI-Conference on Derivatives (2019). 

Abstract:  This paper uncovers a novel component for exchange rate predictability based on the price difference between sovereign credit default swaps denominated in different currencies. This new forecasting variable – the credit-implied risk premium – captures the expected currency depreciation conditional on a severe but rare credit event. Using data for 16 Eurozone countries, we find that the credit-implied risk premium positively forecasts the dollar-euro exchange rate return at various horizons. Moreover, a currency strategy that exploits the informative content of our predictor generates substantial out-of-sample economic value against the naïve random walk benchmark.

Option-Implied Local Currency Credit Spreads with Patrick  Augustin, Alexandre Jeanneret, and Manuel Sanchez-Martinez 

Selected presentations. NFA (scheduled, 2026), CDI (scheduled, 2026), International Finance Society Conference (2026), FIRS (2025).

Abstract: We develop an option-based framework to measure corporate credit spreads in local (LC) and foreign (FC) currencies. By construction, these measures embed identical physical default probabilities, so cross-currency differences isolate how default risk is priced across currencies. Using FX and equity index options from 33 markets, we construct comparable spreads not available in bond markets. LC spreads predict aggregate economic activity, including global output and US indicators, while the FC-LC spread differential forecasts exchange rate movements. Our framework links credit risk, macroeconomic activity, and exchange rate dynamics within a unified setting.