Research

In a standard continuous-time economy with heterogeneous beliefs and constant relative risk aversion, equilibrium prices reveal the cross-sectional distribution of wealth and consumption shares across beliefs. Specifically, we establish a novel recovery theorem showing that the equilibrium paths of the risky asset price and the interest rate determine the evolution of these distributions. Motivated by this finding, we develop an optimization-based method to approximate the implied distribution of consumption shares across beliefs, given discrete time series of prices and interest rates. We confirm the accuracy of this method on simulated data and illustrate the versatility of our approach by providing extensions of our basic recovery theorem that allow for learning and multidimensional beliefs.

Presentations: UCLA Macro Finance Lunch; SFI Research Days 2024; SFI PhD Workshop 2024; HSG PhD seminar; EPFL/UNIL Brown Bag seminar; UNIGE Brown Bag seminar

Research areas: Asset Pricing, Heterogeneous Beliefs 

We develop a search theory of dealer intermediation in over-the-counter markets with private investor valuations. Trading occurs through a competitive request-for-quote protocol in which dealers submit price quotes without observing investor types. The model nests the standard voice trading channel. We prove the existence and uniqueness of a stationary equilibrium and characterize it through a system of functional equations. We decompose the effects of private valuations into a scale effect, reflecting the total mass of investors on each side of the marginal type, and a composition effect, reflecting the shape of the distribution. This decomposition characterizes how equilibrium outcomes respond to changes in supply. Dynamic feedback effects overturn standard intuitions about how dealer competition affects prices: greater competition does not uniformly improve trading terms and induces some investors to trade less. The economy with private valuations is equivalent to an economy without private information but with type-dependent trading frictions and effective bargaining power. In equilibrium, quote distributions generate bid–ask spreads, price dispersion, and strictly positive probabilities of trade failure. Our theory characterizes these objects in terms of the primitives of the economy.

Presentations: Workshop on Decentralized Financial Markets; Summer FTG Conference 2026; 2026 LEMMA Workshop on Money, Banking and Finance; EPFL/UNIL Brown Bag seminar; UCLA PhD Talk

Research areas: Market Microstructure, OTC Markets

Presentations: SFI PhD Workshop 2026; 10th HEC Paris Finance PhD Workshop in Memory of Denis Gromb; SFI Research Days 2026

Research areas: Corporate Finance, Capital Structure

Presentations: Workshop on Decentralized Financial Markets

Research areas: Microeconomic Theory, Auction Theory