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FINANCE PROFESSOR & EXECUTIVE DIRECTOR
RESEARCH
PUBLICATIONS
Investor Factors (2025), with Laurent Calvet, Samuli Knupfer, and Jens Kvaerner, Journal of Finance, Vol 80:5, 2789-2830
Best Paper in Asset Pricing and Market Microstructure, NFA Conference 2021
Morgan Stanley Best Paper Award in Investments, Academic Research Colloquium 2021
This paper develops an empirical methodology for extracting pricing factors from investor portfolio data. We apply this approach to an administrative dataset containing the stockholdings of Norwegian individual investors in 1997-2017. A two-factor model, featuring the market portfolio and a long-short portfolio constructed from the holdings of investors sorted by age or wealth, explains both the common variation in portfolio holdings and the cross-section of stock returns. Portfolio tilts toward the investor factor correlate with indebtedness, macroeconomic exposure, gender, and investment experience. Our paper illustrates the benefits of using holdings data for explaining the risk premia of financial assets.
Unlocking Domestic Investment Opportunities: Aligning Public Goals with Pension Fund Realities (2025), ICPM Working Group Report
Domestic institutional capital holds immense potential to finance public priorities such as infrastructure,
housing, and the energy transition. Yet in most countries, that capital remains underutilized. This guide
offers a practical framework to address this gap. Its core message is simple: capital doesn’t respond to
persuasion but to structure and incentives.
Europe's productive capital gap: Mobilising pension and household savings to scale up risk capital (2025), with Patrick Augustin, Emma Gormley, and Marie Parent, ALFI
Europe’s productive capital gap reflects a shortage of “risk capital” – equity-like capital that drives long-term growth. Lessons from Australia, Canada, and Sweden, which shifted in the 1990s from pay-as-you-go (PAYG) systems to partly funded models, show the potential for reform. Three decades later, these countries hold two to three times more risk capital per worker than PAYG systems in France and Germany. Higher funding levels support greater equity exposure, which compounds over time, and household familiarity with risky assets further boosts voluntary equity saving. Despite different reform paths, successful models share common features: scale, cost efficiency, strong governance, broad coverage, portability, and well-designed incentives. These lessons point to pathways for Europe to mobilize savings and expand its supply of risk capital.
Anatomy of a Shortfall: Municipal Bond Yields and Public Pension Shortfalls During the Covid-19 Crisis, with David Balass, Sara Holland, and Sean Wilkoff (2025), Global Risk Institute
The relation between U.S. municipal bond yields and state pension shortfalls is neither constant over time nor uniform across states. This paper examines the Covid-19 crisis of 2020 and finds that municipal bond yields were significantly more sensitive to increases in pension shortfalls during the crisis period -- but only in states where the pre-crisis pension shortfall exceeded 100% of state revenue. In contrast, states with smaller pre-existing shortfalls did not experience a comparable yield response. These findings have implications for policymakers seeking to understand how the funding shortfall of their public-sector pension plans impacts their ability to navigate through times of economic crisis.
Breaking the catch-22: how infrastructure banks can kickstart private investment and overcome market failures, C.D. Howe Institute Commentary No. 683
Private investors are often hesitant to back early-stage infrastructure projects – especially in complex, high-risk areas like clean energy, broadband technology, and green industry – creating a catch-22 that slows progress on urgent public goals. Drawing on case studies from six regions, this report looks at how public infrastructure banks can address market failures, bring in private capital, and offer a cost-effective alternative to grants or subsidies. It presents strategies to support success, addresses key risk factors, and highlights priorities for Canada going forward.
Briser l’impasse: comment les banques d’infrastructure stimulent les investissements privés et compensent les défaillances du marché, Institut C.D. Howe, Commentaire 683
Les investisseurs privés hésitent souvent à financer des projets d’infrastructure en démarrage, particulièrement dans les secteurs complexes à haut risque comme l’énergie propre, la technologie à large bande et l’industrie verte. Il se crée alors une impasse qui ralentit l’atteinte des objectifs publics urgents. Le présent rapport s’appuie sur les études de cas de six régions pour expliquer comment les banques d’infrastructure publiques peuvent compenser les défaillances du marché, attirer les capitaux privés et offrir une solution de rechange rentable aux subventions. Il présente des stratégies pour réussir, traite des principaux facteurs de risque et met en lumière les priorités du Canada pour l’avenir.
Direct Value Creation and Capture in the Pension Fund Industry: Five Examples (2025), with Eduard van Gelderen and Barbara Zvan, Journal of Alternative Investments 27(3), 8-19 (Lead Article)
Top Pick, Portfolio Management Research Journals, Jan 2025
How can pension funds create and capture value in financial markets? We study four landmark transactions made by large Canadian pension funds: OTPP’s acquisition of Cadillac Fairview, PSP’s development of Mahi Pono, CDPQ’s development of Réseau Express Métropolitain, and CPP Investment’s acquisition of Antares Capital. The funds create and capture value by achieving scale in strategic markets, reducing fee drag, coordinating stakeholder groups, and developing internal synergies. We identify the primary risks, discuss the risk mitigation strategies implemented by the funds, and then study how UPP, a smaller pension fund, emulates some of these strategies on a smaller scale.
The Four Ways Through Which Pension Funds Increase the Productivity of Firms They Invest In (2024), ICPM Working Group Report
The Working Group, which consists of academic researchers and senior officials
of large pension funds active in different parts of the world, investigated the channels through which
pension funds as long-term investors are able to generate productivity gains in the firms they invest in.
Should Canada Require Its Pension Funds to Invest More Domestically? (2024) with Keith Ambachtsheer and Chris Flynn, Global Risk Institute
We analyze the domestic investments of Canadian pensions funds, assess the risk-return trade offs between domestic and foreign investments, and investigate the barriers to investing in Canada. We show that Canadian pension funds invest disproportionately large amounts of capital in Canada, particularly in bond-like asset classes such as fixed income and real estate. However, over the past decade their domestic investments have proportionally decreased as part of a shift toward global asset diversification. One driver of this decline is the lack of strategic assets available for sale in Canada, combined with the increased availability of such assets in other countries. We propose actionable solutions to mitigate the lack of strategic assets problem and create win-win outcomes alike for the Canadian economy and for Canadian pension funds. However, we caution against adopting government policies that mandate Canadian pension funds to invest domestically, as such policies will upset the funds’ risk-return calibrations and expose pension plan members to potential financial losses.
Menu proliferation and entry deterrence (2023), with David Schumacher and Ali Shahrad, Review of Asset Pricing Studies Vol. 13:4, 784-829
Best Paper Using EUROFIDAI Daily Data Award 2023
Why do so few mutual fund families launch so many funds and styles around the World? We posit that launching numerous funds on an increasingly granular style grid allows incumbent families to congest the product space and deter market entry. Key to this argument is the persistently low dimensionality of the mutual fund product space, which we establish by analyzing the names of over 40,000 equity funds sold in 91 countries between 1931 and 2015. Over time, the strategy of filling up the style grid has led to the dominance of few families offering large, granular, and similar fund menus.
Green urban development: The impact investment strategy of Canadian pension funds (2022), with Alexander D. Beath, Maaike Van Bragt, Yuedan Liu, and Quentin Spehner, Journal of Sustainable Real Estate Vol. 14:1, 75-94
We investigate the investment strategy that large Canadian pension funds implement in the private real estate market. Even though they manage just 6% of global pension assets in our data, Canadian pension funds are responsible for 60% of the total value of direct real estate deals involving a pension fund. Their portfolio strategy combines global asset diversification with a local impact strategy that consists of internally developing and green urban properties. Using a common benchmarking methodology across funds, we show that this strategy delivers superior performance net of fees and drives the green development of major city centers.
The Canadian pension fund model: A quantitative portrait (2021), with Alexander D. Beath, Chris Flynn, and Quentin Spehner, Journal of Portfolio Management, Vol: 47(5), 159-177
We show that, between 2004 and 2018, Canadian pension funds outperformed their international peers both in terms of asset performance and liability hedging. We find that a central factor driving this success is the implementation of a three-pillar business model that consists of i) managing assets in-house to reduce costs, ii) redeploying resources to investment teams for each asset class, and iii) channeling capital toward growth assets that increase portfolio efficiency and hedge liability risks. This model works best for funds whose pension liabilities are indexed to inflation.
WORKING PAPERS
The Cross-section of Capital Costs and Quantities: a Supply and Demand Approach (2025), with Laurent Calvet and Evan Jo
We estimate the supply and demand system of financial markets developed by Betermier, Calvet, and Jo (2025). Using theoretically-motivated instruments, we estimate the supply and demand schedules of over 1,200 U.S. firms. Our system produces accurate forecasts of both firm sizes and capital costs and matches the pricing performance of standard factor models. We use the estimated system to quantify the equilibrium sensitivities of size and capital cost to firm and investor characteristics.
Retiree Health Benefits and Municipal Borrowing Costs (2025), with Sara Holland and Sean Wilkoff
U.S. public-sector employers have promised over $1 trillion in retiree health and other post-employment benefits (OPEBs) – an unfunded liability of the same order of magnitude as U.S. public pensions. We show that states with greater OPEB liabilities and lower funding ratios have higher municipal bond yields on average. The effect is stronger for states with higher health costs and OPEB plans where employers have higher exposure to the risk of rising health costs and lower ability to renegotiate the plans. Our results highlight how the contracting environment of OPEB plans shapes the risk-return profile of municipal bond investments.
Five Facts About the Money Holdings of Individuals and Firms (2022), with Laurent Calvet and Jens Kvaerner
Using administrative panels from Norway and the Netherlands and the US Survey of Consumer Finances, we document five facts about the cash share -- the ratio of money holdings to financial wealth -- held by individuals and firms. (i) Deposit rates and the aggregate cash shares of individuals and firms have decreased substantially since the 1990's. (ii) The decline in individuals' aggregate cash share is driven by the wealthiest 10%. (iii) Deposit rates predict the wealthy's cash share. (iv) Interest income no longer represents a significant proportion of income for wealthy individuals. (v) Firms exhibit similar moneyholding dynamics as individuals.
Supply and Demand in Capital Markets: A Unified Approach (2025), with Laurent Calvet and Evan Jo
We develop a tractable, micro-founded model linking capital supply and demand to the cost and quantity of capital used by firms. Investor preferences and risk assessments shape supply, while firm characteristics such as profitability and asset pledgeability drive demand. Heterogeneity in supply and demand determines the sign of the risk return relation and helps explain pricing anomalies. The model reconciles the factor structure of returns with the price impact of index inclusion events and active investor trades. It also yields closed-form general equilibrium effects of profitability shocks or divestment campaigns affecting a single firm or multiple firms. We use the model to provide guidance on how to disentangle supply and demand forces in empirical work. Our approach illustrates the benefits of a unified perspective on capital allocation and pricing.
Why Do Homeowners Invest the Bulk of Their Wealth in Their Home? (2020), with Laurent Barras
Despite the well-known benefits of diversification, homeowners invest mostly in their home. A common explanation for this pattern is that homeowners are constrained to fully own the home they want to live in. We refute this explanation and show that the predominance of housing stems from its distinct investment value. We then provide clarity on the value of the housing investment. Because owning a home provides a steady stream of housing consumption, it is equivalent to purchasing a perpetual bond indexed to that home. Housing thus plays a special role in the portfolio as one of the homeowner's risk-free assets.
GRANTS AND FELLOWSHIPS
Insight Grant, SSHRC
2023-2025
$66,500
Insight Grant, SSHRC
2020-2022
$68,000
Insight Grant, SSHRC
2012-2015
$132,580
Observatoire de l’Epargne Europeenne
2021-2022
€25,000
National Pension Hub Research Award
2021-2022
$22,922
National Pension Hub Research Award,
2018-2019
$70,000
Nouveau-Chercheur Grant, FQRSC
2015-2018
$50,292
McGill Internal Development Grant
2011-2012
$4,000
Fisher Center for Real Estate and Urban Economics Grant
2009-2010
White Dissertation Fellowship
2008-2009
Mini-grant for data collection, I.B.E.R.
2009
Dean Witter Foundation Graduate Fellowship
2004-2008
AWARDS
Runner-up, Principal’s Prize for Public Engagement through Media, Emerging Researchers Category, 2025
Best Paper Using EUROFIDAI Daily Data Award, 2023
Desautels Faculty Scholar in Sustainability, 2022-2023
Dean’s Prize for Outstanding Achievement in Media and Public Engagement, 2023
Morgan Stanley Best Paper Award in Investments, Academic Research Colloquium for Financial Planning, 2021
Best Paper Award in Asset Pricing and Market Microstructure, Northern Finance Association Conference, 2021
Prof. Morty Yalovsky Distinguished Teaching Award for Graduate Programs at Desautels, 2020
Finalist, Principal’s Prize for Public Engagement through Media, Emerging Researchers Category, 2020
Honorable Mention, 2020 Research Award, International Centre for Pension Management
World’s Best 40 under 40 Business Professors, Poets and Quants, 2017
Desautels Distinguished Teaching Award for Undergraduate Programs, 2016
CFR Best Paper Award, 14th Colloquium on Financial Markets (Cologne), 2015
Honorable Mention, Haas School Outstanding Graduate Student Instructor Award, 2008
Haas School Outstanding Graduate Student Instructor Award, 2007
U.C. Berkeley Outstanding Graduate Student Instructor Award, 2006
Highest Honors, UC Davis, 2004
Distinguished Undergraduate Student Award (Best graduating student), UC Davis Economics Department, 2004
Academic Achievement Award (Best graduating student), UC Davis International Relations Department, 2004
Honorable Mention, Chancellor’s Undergraduate Research Award, UC Davis, 2004
Phi Beta Kappa, 2003
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