I am an Assistant Professor of Commerce, and the Crum Real Estate Fellow, in the Finance Area at the University of Virginia (UVA). I am an Affiliate Faculty Member of the White Ruffin Byron Center for Real Estate at the University of Virginia, and the Director of the Household and Urban Finance Lab.
My research interests are in the areas of Household Finance, Mortgage Finance, Securitization, and Financial Institutions more generally.
I teach Fundamentals of Real Estate Analysis in the Fall; which sits at the core of the McIntire Real Estate curriculum, and the pan-University Real Estate Minor at UVA.
Prior to joining UVA, I was an Assistant Professor at Penn State's Smeal College of Business. I completed my PhD. in Finance and Real Estate at the University of California, Berkeley, and my BSc Economics at the University of Pennsylvania.
You can find my C.V. here.
UPDATES:
New Version of Labor Market Polarization and Student Debt has now been posted to SSRN.
Evaluating Mortgage Renegotiation Strategies: A Data-Driven Framework now available as Advance Access article on Management Science. Working paper version available here.
(9/26/2024) I presented Labor Market Polarization and Student Debt at the UT Dallas Fall Finance Conference in late September.
Labor Market Polarization and Student Debt with Elena Loutskina (UVA) and Constantine Yannelis (Cambridge)
Presented at: Center for Latin American Monetary Studies (CEMLA)*, Commonwealth Finance Workshop 2023, West Virginia University (Bus. Econ), Aalto University*, University of Bergen*, Copenhagen Business School*, University of Miami*, Penn State Real Estate Brown Bag Seminar, GT-Atlanta Fed Household Finance Conference 2024, KU Lueven*, Johns Hopkins University*, University of Luxembourg*, Texas A&M*, Financial Intermediation Research Society 2024*, CSEF Conference on Finance Labor and Inequality Capri Italy (2024)*, Southern Methodist University (Cox)*, UT Dallas Fall Finance Conference 2024, Southern Finance Assocation Meetings 2024, University of Kentucky Finance Conference 2025 (scheduled), UNC Conference on Market-based Solutions to Wealth Inequality 2025 (scheduled)
* denotes presentation by co-author
Labor market polarization (Autor and Dorn (2013)) persists into the 21st century. Labor markets in the U.S. that experience greater labor market polarization see an increase in the growth rate of student debt along both the extensive and intensive margins. We also provide evidence for the economic mechanism: the pursuit of greater educational attainment.
Evaluating Mortgage Renegotiation Strategies: A Data-Driven Framework for Investors (Forthcoming, Management Science) | Working paper version
Presented at: CEPR European Conference on Household Finance 2017; Finance Down Under Conference (Melbourne, Australia) 2018; Northern Finance Association Meetings 2018, University of North Carolina-Chapel Hill
This paper offers debt investors a framework to evaluate the profitability of various renegotiation strategies. I calibrate the framework parameters to data on residential mortgages during the Great Recession. Counterfactual analyses performed suggest that principal forbearance and extensions of the term-to-maturity can yield large expected gains while principal forgiveness is a useful tool when borrowers are deep underwater and expect house prices to decline.
An earlier version of this paper was circulated under the title 'The Limited Benefits of Mortgage Renegotiation'.
Information in Financial Contracts: Evidence from Securitization Agreements, Journal of Financial and Quantitative Analysis (2024) , with Brent Ambrose (Penn State), Yiquiang Han and Lily Shen (Clemson) | Working paper version
Using a machine-learning algorithm to characterize the similarity between pairs of Pooling and Servicing Agreements, this paper shows that differences in securitization documents are correlated with differences in the underlying pool characteristics and in the subsequent performance of the mortgages.
The Agency Costs of Tranching: Evidence from RMBS, Journal of Financial Intermediation (2023) Working paper version
Multi-tiered capital structures give rise to agency costs, particularly in the setting of RMBS. Tranching increases coordination costs across investors holding varying cash flow rights and weakens monitoring of the asset managing agent.
This paper has been previously circulated under the title 'The Agency Costs of (RMBS) Tranching'.
Partial Deregulation and Competition: Effects on Risky Mortgage Origination, Management Science (2019), with Marco Di Maggio (Harvard Business School) and Amir Kermani (UC Berkeley) | Working paper version
Exploiting the pre-emption of state anti-predatory lending laws for national (OCC-regulated) banks, we show how deregulation and competition interact. De-regulated lenders increase the origination of loans with prepayment penalties. Still-regulated lenders compete by issuing mortgages which reduce prepayment probabilities (e.g. ARMs, Negative Amortization, IO loans). Our results shed light on the consequences of the fragmented regulatory system in U.S. banking.
Multiple Tranches, Information Asymmetry and the Impediments to Mortgage Renegotiation
Presented at: London Business School Trans-Atlantic Doctoral Conference 2016, ABFER 2019, AREUEA National Meeting 2019
My paper 'The Agency Costs of Tranching: Evidence from RMBS' partially absorbs results from this paper.
Funding Shocks and Competition in the Mortgage Market (2018)
Competition between mortgage lenders amplifies the credit supply shock that originates in the growth of the private-label securitization market in the early to mid 2000s.