I am an economist and data scientist.

I investigate the effect of being owned by exchange traded funds (ETFs) on firms’ financing and investment decisions. Firms respond to the noisy prices induced by ETFs by repurchasing their shares when undervalued, which in turn spills over to their real investment decisions. This effect varies in cross section of stocks due to varying financial flexibility. Financially unconstrained firms repurchase their shares aggressively in response to under-pricing while constrained firms’ responses are more muted and spill over to their investments.

This paper utilizes information about frequently traded claims on corporate bond portfolios - bond exchange traded funds (ETFs) - to estimate measures of bond market liquidity. Deviations between an ETF's closing price and its net asset value (NAV) should reflect the APs' cost of trading the underlying assets. We define two measures of an ETF's share price deviation from portfolio value and estimate two econometric models that relate ETF deviations to the transaction costs associated with individual bonds. Among other things, we utilize both methods to evaluate how trading costs change during stress periods like the "Taper Tantrum".