Tel. +34 93 542 2670
"I am presenting my Job Market Paper - "Loss of a lending relationship: pain or relief?" at the ESWM in Rotterdam on December 15-17
Available for Interviews at
European Job Market for Economists (EEA), December 18-19, Rotterdam, The Netherlands
Allied Social Science Associations (ASSA), January 3-5, San Diego, US
Primary: Corporate Finance. Banking. Financial Markets.
Secondary: Behavioral Finance. Asset Pricing. Derivatives. Financial Accounting
"Loss of a Lending Relationship: Pain or Relief?" (with K. Grigaite) (Job Market Paper)
We use loan-level data and a novel setting – closures of banks – to identify and estimate firms’ hold-up costs and switching costs stemming from interbank information asymmetries. We find that after a financially distressed bank closed and its good borrowers were forced to switch, their borrowing costs dropped steeply and converged to the market’s average. We document no such effect when a healthy bank closed. This suggests that distressed banks may use informational monopoly power to hold up and exploit their good borrowers. Closures of such banks can release the good-quality firms from the hold-up and allow borrowing cheaper elsewhere.
“Human vs. Machine: Disposition Effect Among Algorithmic and Human Day-Traders”
Can humans achieve rationality, as defined by the expected utility theory, by automating their decision making? We use millisecond-stamped transaction-level data from the Copenhagen Stock Exchange to estimate the disposition effect – the tendency to sell winning but not losing stocks - among algorithmic and human professional day-traders. We find that: (1) the disposition effect is substantial among humans but virtually zero among algorithms; (2) this difference is not fully explained by rational explanations and is, at least partially, attributed to prospect theory, realization utility and beliefs in mean-reversion; (3) the disposition effect harms trading performance, which further deems such behavior irrational.
Research Papers in Progress
“FX Derivatives and Banks: Evidence from Germany” (with Abbassi, P., Laeven, L. & Peydró, J.L.)
“Who uses payment services of Financial Technology firms?” (with J.L. Peydró)