Firm-level Risk Exposures and Stock Returns in the Wake of COVID-19
(with Steven Davis and Cristhian Seminario-Amez)
We combine elements of supervised machine learning and dictionary methods to uncover narrow, interpretable risk exposures from 10-K filings that account for firm-level reactions to aggregate shocks. We apply this idea to study equity returns during the COVID-19 pandemic.
Tracking the COVID-19 Crisis with High-Resolution Transaction Data
(with Vasco Carvalho, Juan Garcia, Alvaro Ortiz, Tomasa Rodrigo, Jose V Rodriguez Mora, and Jose Ruiz)
We use a database of 1.4 billion payments transactions to track the impact of the COVID-19 pandemic and policy response across time, space, and sectors in Spain.