PhD Candidate in Economics



Is Collective Real-time Sentiment of Individual Investors Influential? (Paper) (Graph)

I incorporate investor heterogeneity in the models predicting financial variables using self-revealed sentiment measures and propose that the importance of investors can be a measure of investor heterogeneity. I use two measures of the importance of investors to identify the heterogeneity in a sample of investors active on a social media network: (1) the centrality defined by the in-degree or the number of followers, and (2) the predictive accuracy of the sentiments of the members. These measures are not affected by the market outcomes and provide a high-frequency stream of sentiments and activity levels of different investor groups. The responses of these investor groups to the returns, sentiments, and activity levels are similar to those of the investor groups documented in the literature. I show improvements in the predictive power of sentiments and activity levels when the analysis incorporates investor heterogeneity and, I find that the sentiments of the group with highest in-degree and accuracy have the largest impact on abnormal returns. The effect found in this paper is twice compared to the effect found in the studies using sentiment measures to predict returns (Antweiler and Frank (2004) and Da et al. (2015)). Consistent with these studies, the sentiments have a statistically significant but an economically small effect on trading volume and, do not have a substantial effect on the bid-ask spread and overall market volatility as measured by VIX.

Effects of Risks to Changes in Preferences on Asset Markets and Macroeconomy

I develop a production-based asset pricing model incorporating shocks to agents’ trade-off between present and future utility. The study estimates the structural parameters of the dynamic stochastic general equilibrium model using perturbation, to match the means, variances, covariances and the persistence of financial and macroeconomic series. The estimation reveals significant risks to the inter-temporal substitution of utility and explains the data with a lower risk aversion, an inter-temporal elasticity of substitution greater than one and high adjustment costs. The simulations resolve many empirical observations including: (1) excess volatility puzzle, (2) equity premium and risk-free rate puzzle, (3) persistence of risk premium and consumption growth, (4) volatility of investment growth, labor growth and investment-output ratio, and (5) contemporaneous correlation of consumption growth with risk premia and with investment growth.

Does Economies of Scale and Productivity Growth Exist in Indian Banking Industry?

Following the economic reforms of 1990-91, Indian banking industry has evolved significantly. This paper examines the economies of scale and the productivity growth of the industry in the deregulated and more competitive environment. I use a 16-year post-economic reform panel data and found that though the industry was relatively resilient to the recent economic crisis, every new economic downturn has an increasing impact. I also find a 56 percent increase in productivity growth and a 27 percent decline in the economies of scale. Though this finding substantiates the argument of positive effects of deregulation, it highlights the need for additional policy changes by the central bank and the banks. The study also reveals that the ownership of the banks effects the performance results and the group of private banks outperformed all the other groups.



Risk and Return Tradeoff in a Mixed Data Regressions. (with Dr. Evan Anderson and Dr. Ai-Ru Cheng)
Information Quality of Rare Events and its Implication on Asset Markets and Macroeconomy.
Are public and private banks equally efficient in India?



Software and Language – Python, MATLAB, Stata, Gephi, R, Julia, LaTex
Teaching platforms – APLIA and Blackboard



2017 – Western Economic Association, San Diego CA (Program)
2017 – Midwest Economic Association, Cincinnati OH (Program)
2016 – Southern Economic Association, Washington DC (Program)
2017 – Northern Illinois University, Dekalb IL
2015 – Northern Illinois University, Dekalb IL