Research

Working Papers

  1. What Are Intangibles Worth? Production versus Market Power (Job market paper)

    Abstract: Intangibles create value for firms by raising productivity and increasing market power. The first channel boosts growth, while the second could weaken competition. This paper quantifies both channels with a dynamic model in which firms invest in intangible capital to raise production and market power. I combine the model with data to decompose intangible value for each U.S. public firm. By 2024, intangibles derive more value from market power than from production, contributing 28% and 21% to aggregate market capitalization, respectively. Intangible value rises as market-power value grows within firms and firms with greater production-related intangible value gain market share. Over the firm life cycle, it shifts from production toward market power. Incorporating the value of intangible market power restores 60% of the decline in the value premium and explains firms’ incentives to invest in intangibles.

    • Conferences: 27th Macro Finance Society Workshop PhD poster session; 21st Annual Olin Finance Conference PhD poster session


  1. Institutional Investors’ Subjective Risk Premia: Time Variation and Disagreement (with Spencer Couts, Andrei Gonçalves, and Johnathan Loudis)

    Abstract: In this paper, we study the role of subjective risk premia in explaining subjective expected return time variation and disagreement using the long-term Capital Market Assumptions of major asset managers and investment consultants from 1987 to 2022. We find that market risk premia explain most of the expected return time variation, with the rest explained by alphas. The risk premia effect is almost entirely driven by time variation in risk quantities as opposed to risk price. Nevertheless, risk price explains about half of the transitory effect of risk premia on expected returns. Market risk premia also explain most of the expected return disagreement, but in this case alphas have a quantitatively significant effect, and risk price and risk quantities are roughly equally responsible for the risk premia effect. Our results provide benchmark moments that asset pricing models should match to be consistent with institutional investors’ beliefs.

    • Conferences: 2026 SFS Cavalcade; 2026 Finance Down Under; 2026 Young Scholars Finance Consortium; 2025 Carey Finance Conference at Johns Hopkins; 2025 Helsinki Finance Summit on Investor Behavior; 2025 Ohio State Finance Alumni Conference; 2025 FSU Truist Beach Conference; 2025 MFA; 2025 Hedge Fund Research Conference; 2024 Annual Valuation Workshop at Wharton; 2024 Wabash River Conference at Purdue
    • Best Paper Award, Finance Down Under (J Spencer Martin Best Paper Award)


  1. Investment-based Costs of Equity (with Chen Xue and Lu Zhang)

    Abstract: The $q^5$-characteristics model estimates costs of equity as Lewellen’s (2015) out-of-sample forecasts from cross-sectional regressions. The $q^5$-cost of equity is competitive in evaluation tests, outperforming the accounting implied cost of equity in predicting cross-sectional returns. The $q^5$-cost of equity is precise at the industry level and aligned with average factor premiums. Its firm-level distribution is weakly left-skewed, whereas the accounting implied cost of equity is right-skewed. However, the accounting cost of equity outperforms in the time series. Factor models perform poorly in out-of-sample tests. Gradient-boosted trees improve on cross-sectional regressions, but not reliably.

    • Conferences: UConn Finance Conference