Research

A novel corporate bond transaction costs analysis determines which systematic bond strategies remain profitable when fund size increases.
Financial Analysts Journal (forthcoming), 2024.
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Among the two primary liquidity providers in OTC corporate bond trading—dealers and institutional investors—the latter are more exposed to adverse selection.
Journal of Financial Markets, 2024.
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The paths that researchers choose for analysis are a source of an additional sizable error: non-standard error.
Journal of Finance (forthcoming), 2024.
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Issuers do not exercise embedded bond call options timely. Following such missed call opportunities, the bond value increases.
Working paper, 2023.
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Bond trading activity evolves in slow-moving, predictable waves with implications for bond liquidity and returns.
Working Paper, 2018.
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The part of credit risk premium orthogonal to the state of the economy predicts bond market returns better than the risk premium itself.
Working Paper, 2017.
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Discussions

  • “The Low Frequency Trading Arms Race: Machines Versus Delays” by Dickerson, Nozawa, and Robotti (Bristol Financial Markets Conference 2024, scheduled)
  • “The Cross-Section of Corporate Bond Returns” by Muskens, Verwijmeren, and Baltussen (FMA Europe 2024, scheduled)
  • “Passive Demand and Active Supply: Evidence from Maturity-mandated Corporate Bond Funds” by Bretscher, Schmid, and Ye (Imperial Hedge Fund Conference 2024, scheduled)
  • “Intermediary Balance Sheet Constraints, Bond Mutual Funds’ Strategies, and Bond Returns” by Giannetti, Jotikasthira, Rapp, and Waibel (Dauphine Hedge Fund Conference 2024)
  • “Not by Whom but Where: Analyst Reaction to Firms’ ESG Incidents” by Gerasimova and Rohrer (Corporate Finance Day 2022)
  • “Sustainable Systematic Credit” by Diep, Pomorksi, and Richardson (Imperial Hedge Fund Conference 2022)

Teaching

I am teaching the following courses at VU Amsterdam:

  • Financial Markets and Institutions, 2020-present
  • Finance Research Project, 2020-present

In the past, I was tutoring the following courses at the Univeristy of Lausanne:

  • Asset Pricing and Long-Term Portfolio Management (instructor: Johan Walden)
  • Fixed Income and Credit Risk (instructors: Michael Rockinger, Artem Neklyudov)
  • Advanced Derivatives (instructor: Michael Rockinger)
  • Corporate Finance (instructor: Emanuele Tarantino)

I also lectured the following courses at the Higher School of Economics (Moscow):

  • Topics in International Finance (Master’s program), 2014-2019

Contact