Research Interests

Innovation economics, corporate investment, behavioral finance

Publications


Working Papers

Patent-Right Uncertainty and Mergers and Acquisitions (with Logan Emery

We use patent thickets to study how patent-right uncertainty impacts target selection in mergers and acquisitions. This uncertainty can create additional costs that disrupt technological synergies. We find that firms are less likely to be acquired when their patents are in thickets that exacerbate these costs. Conversely, firms are more likely to be acquired when their patents create thickets that mitigate these costs. These relations strengthen with the extent to which acquirers and potential targets overlap technologically, which reduces information asymmetry and increases the value of potential synergies. We also find that when a firm occupies the same thicket as the acquirer, acquisition probability depends on each firm's ability to impose costs on the other. Overall, we conclude that patent-right uncertainty is an important determinant of target selection in mergers and acquisitions. 


Price-Path Convexity and Short-Horizon Return Predictability (with Huseyin Gulen)

We document a strong negative relation between the curvature of stock price paths (i.e., price-path convexity) and future short-horizon returns at both the aggregate and firm levels. This relation obtains regardless of the cumulative return during the convexity estimation period. At the aggregate level, convexity is a better predictor of future returns than many commonly-used predictors. At the firm level, stocks with the least convex price paths subsequently outperform stocks with the most convex price paths by 0.84% to 1.07% per month. This effect is not explained by known return predictors, microstructure frictions, or illiquidity. Using survey-based expectations of short-horizon returns, we provide evidence that the negative relation between convexity and future returns is driven in part by overextrapolation of past short-horizon returns.



House Price Dynamics and Mortgage Default Risk (with Jordan Martel)

We find that house price momentum, defined as positive autocorrelation in aggregate house price changes, is stronger and house price change volatility is weaker when and where mortgage default risk at origination is higher. These facts appear widely, both geographically and temporally, and are difficult to reconcile with existing theories of house price dynamics. To explain these facts, we introduce a model in which lenders use valuations that incorporate information relatively slowly. In equilibrium, prices reflect the valuations used by lenders most when default risk is highest. Our model jointly explains the observed relations between default risk, momentum, and volatility.


Knowledge Spillover Absorption and Corporate Innovation (with M. Deniz Yavuz)

Understanding differences in firms' ability to absorb external information is essential for identifying those best positioned to leverage knowledge spillovers and drive innovation. To advance this understanding, we introduce a novel measure of information absorption intensity based on firms' patent characteristics. Using the American Inventor's Protection Act of 1999 as an exogenous shock to spillovers, we establish a causal relation between absorption intensity and subsequent innovation output. This measure correlates with several fundamental factors identified in the literature as critical for developing the ability to absorb external information.