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FINANCE PROFESSOR & EXECUTIVE DIRECTOR
RESEARCH
PUBLICATIONS
Defence Investment Through the Investible Window (2026), with Onno Steenbeek, ICPM Report
For most of the past three decades, defence sat at the edge of institutional portfolios: a small sector, often excluded on ethical grounds, and rarely discussed in boardrooms. That era has ended. Governments across the world are committing to the largest peacetime rearmament in generations, and they are explicitly looking to pension funds and sovereign wealth funds to help finance it. This paper applies the framework of the ICPM paper Unlocking Domestic Investment Opportunities (September 2025) to the defence sector. This framework defines the investible window as the specific set of legal, financial and governance conditions that must simultaneously exist for institutional capital to flow while meeting fiduciary duty. In this follow-up piece, we ask what defence looks like when viewed through that window, which parts of the sector already sit inside it, and what governments and investors can do to bring defence assets into the window.
Closing Europe’s Risk Capital Gap: The Role of Funded Pensions (2026), with Patrick Augustin, Emma Gormley, and Marie Parent, The Journal of Portfolio Management Emerging Risks, Vol 52, 171 - 204
Europe faces a shortage of risk capital, that is, capital invested in risky asset classes such as public and private equities and infrastructure, relative to economies with more developed funded pension systems. We examine how pension system design is associated with long-term risk capital accumulation and household risk-taking. Countries that transitioned in the 1990s from pay-as-you-go (PAYGO) to partially funded pension systems such as Australia, Canada, and Sweden have accumulated two to three times more risk capital per worker than PAYGO systems such as France and Germany. Higher funding levels in state and occupational pension funds are associated with greater risk-taking in both pension funds and household portfolios. Successful reforms share common institutional features, including scale, cost efficiency, strong governance, broad coverage, portability, and effective financial incentives. These findings provide practical guidance for pension design and have implications for strategic asset allocation and long-term investing. A broad shift toward funded pension systems could increase demand for risky assets and compress equity risk premia.
The Total Portfolio Approach: Models and Considerations for Those Embarking on the TPA Journey (2026), with Adrian Trollor and ICPM Working Group, ICPM Report
In the pursuit of enhanced portfolio performance, global pension and sovereign wealth funds are increasingly moving from the well-known Strategic Asset Allocation (SAA) approach to the Total Portfolio Approach (TPA). However, despite the uptake of TPA, there remains a lack of clarity among these funds about what TPA is in practice. This paper aims to improve the understanding of TPA by leveraging the ICPM global network’s experience. By presenting TPA practice through a framework of ‘enablers’ (essential components) and ‘levers’ (variable components), we identify several variants of TPA models classified along a spectrum ranging from ‘fully integrated’ to ‘partially integrated’ models, with hybrid variations also existing in practice.
Retiree Health Benefits and Municipal Borrowing Costs (2026), with Sara Holland and Sean Wilkoff, Journal of Banking & Finance, Vol. 188, Article 107723
U.S. public-sector employers have promised over $1 trillion in retiree health and other post-employment benefits (OPEBs). We show that states with greater OPEB liabilities and lower funding ratios have higher municipal bond yields. The relation between OPEB liabilities and bond yields is comparable in size to that between pension liabilities and bond yields but depends on distinct factors including the risk of rising health costs, plan risk-sharing mechanisms, and the employers’ ability to re-negotiate the plans with employees. Our results highlight how the size, funding level, and contracting environment of OPEB plans shape the risk-return profile of municipal bond investments.
The Dutch pension system from a Canadian perspective (2026), Chapter 13 of the Netspar book on the new pension landcape in the Netherlands edited by Eduard Ponds and Onno Steenbeek
The book examines the Dutch pension system and the new reform toward collective defined contribution plans. In this chapter, I provide a Canadian perspective to the Dutch pension system.
Social Infrastructure Blueprint: A Roadmap for Pension Funds (2026), with Gareth Gibbins, Sally Shen, and ICPM Working Group, ICPM Report
The Blueprint offers a shared language and structured framework for pension funds to explore, assess,
and communicate their broader role in society within the context of their mandate and fiduciary
capacity. It provides a roadmap for pension funds to recognize their societal role, measure and
communicate their impact, and expand their offerings to amplify positive outcomes.
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), with Onno Steenbeek and ICPM Working Group, ICPM 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.
Creating Conditions for Long-Term Infrastructure Investment: A Framework for Governments and Asset Owners (2025), with Mirko Cardinale, Alison Loat, Ali Parker, and Onno Steenbeek
Bridging a global infrastructure investment gap of nearly $15 trillion by 2040 requires
governments to create stable macroeconomic, legal and regulatory environments that
lower the cost of capital and foster long-term partnerships with institutional investors
such as pension funds, whose patient capital and aligned interests can drive sustainable
infrastructure development and deliver stable returns for beneficiaries while supporting
societal progress.
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 (2025) 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 (2025), 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), with ICPM Working Group, ICPM 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.
Reaching for yield or resiliency? Explaining the shift in Canadian pension plan portfolios (2021), with Nicholas Byrne, Jean-Sebastien Fontaine, Hayden Ford, Jason Ho, and Chelsea Mitchell, Bank of Canada Staff Analytical Note, 20
"Reach for yield" - this is the commonly heard explanation for why pension plans shift their portfolios toward alternative assets. But we show that the new portfolios also hold more bonds, offer lower average returns, and produce smaller and less volatile solvency deficits. These shifts are part of a broader strategy to reduce solvency risk.
Concentration in the market of authorized participants of US fixed-income exchange-traded funds (2020) with Rohan Arora, Guillaume Ouellet-Leblanc, Adriano Palumbo, and Ryan Shotlander, Bank of Canada Staff Analytical Note, 27
We show that a small number of authorized participants (APs) actively create and redeem shares of US-listed fixed-income exchange-traded funds (FI-ETFs). In 2019, three APs performed 82% of gross creations and redemptions of FI-ETF shares. In contrast, the group of active APs for equity ETFs was much more diverse.
Creations and redemptions in fixed-income exchange-traded funds: A shift from bonds to cash (2019), with Rohan Arora, Guillaume Ouellet-Leblanc, Adriano Palumbo, and Ryan Shotlander, Bank of Canada Staff Analytical Note, 34
The creation and redemption activity of fixed-income exchange-traded funds listed in the United States has shifted. Funds of established issuers have traditionally exchanged their shares for baskets of bonds. In contrast, young funds tend to create and redeem their shares almost exclusively in cash. Cash transactions imply that new funds are taking on exposure to liquidity risk. This has implications for financial stability.
Who are the value and growth investors? (2017), with Laurent Calvet and Paolo Sodini, The Journal of Finance, Vol. 72:1, 5-46 (Lead Article)
CFR Best Paper Award, 14th Colloquium on Financial Markets, 2015
In the past century the financial markets have exhibited a remarkable anomaly where the returns from value stocks exceed the returns from growth stocks. To give an idea of how much value stocks outperform growth stocks, the return differential (value premium) is 4-6% on average per year. This is comparable to the risk compensation of the entire stock market. The outperformance of value stocks goes against standard asset pricing theory which predicts that value stocks will earn lower returns because they are less volatile. In this paper, we analyze the determinants of value and growth investing for the first time and provide a clearer understanding of what is driving the value premium anomaly
Hedging labor income risk (2012), with Thomas Jansson, Christine Parlour, and Johan Walden Journal of Financial Economics, Vol. 105:3, 622-639
Labor income represents the households' greatest source of wealth. Because of this, we expect cyclical stocks to yield high returns to compensate for the fact that they will suffer large losses during economic recessions when jobs are on the line. Surprisingly, empirical studies have struggled to discover convincing evidence that labor income risk is as important in financial markets as we think. In this paper we contribute clear evidence that labor income risk does indeed have an impact on households' investment decisions.
WORKING PAPERS
Evaluating Total Portfolio Performance: Pitfalls and Solutions (2026), with Laurent Barras and Alex Beath
Reference portfolios of listed equities and government bonds are increasingly used as benchmarks to evaluate the investment skill of institutional investors at the total portfolio level. We show that portfolio optimization away from the reference portfolio creates an inherent tension in this approach: the more a fund exploits sources of value-add, the more its portfolio deviates from the reference portfolio, generating tracking error that makes benchmark-relative performance a noisier measure of skill. Using a stylized fund calibrated to realistic levels of diversification, capital market assumptions, and manager and security selection, we find that more than 20 years of performance data are required to reliably distinguish skill from noise, far longer than the threeto five-year horizons typically used in practice. We propose approaches to quantify and interpret this uncertainty, isolate sources of value creation, and improve benchmark selection.
Prefund or PAYGO Retiree Benefits? Insights from US State Retiree Health Care Plans (2026), with Sara B. Holland and Sean Wilkoff, Wharton Pension Research Council Working Paper No. 7
This chapter examines why governments prefund retirement benefits or rely on pay-as-you-go (PAYGO) financing, drawing insights from US state retiree health plans following the GASB 43-45 disclosure reform. By increasing transparency and revealing large unfunded liabilities, the reform triggered divergent responses: most states moved toward prefunding, while others continued to rely on PAYGO. States facing higher health cost pressures increased funding more. A conceptual framework explains these divergent responses by highlighting how governments jointly determine benefit design (operating leverage) and financing (financial leverage) subject to constraints such as liability size, legal flexibility, and fiscal capacity. Case studies of Kentucky, Hawaii, New York, and Wisconsin illustrate the main mechanisms and show how the interaction of operating and financial leverage shapes transitions to funded systems.
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.
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: An Analytical Approach (2026), with Laurent Calvet and Evan Jo
We develop a closed-form multi-sector production model that explicitly links capital supply and demand to the cost and quantity of capital used by firms. Investor preferences and risk assessments shape supply curves, while firm characteristics such as profitability and asset pledgeability drive demand curves. We characterize economic conditions under which supply and demand forces each have a first-order effect on the firms’ cost of capital, capital usage, the stochastic discount factor, and the composition of the market portfolio. Heterogeneity in supply and demand curves determines the sign of the cross-sectional relation between the price of risk and market-portfolio exposure and helps explain pricing anomalies. We study the equilibrium effects of supply and demand shocks, such as profitability improvements or divestment campaigns, depending on whether these shocks are firm-specific or affect multiple firms. Our approach illustrates the benefits of a unified analytical 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
2026-2030
$262,849
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
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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