Biography

I am a PhD student at the Vienna Graduate School of Finance. My research interests focus on the economics of technological innovations in the financial industry. I recently released a paper that shows how blockchain-based settlement may introduce limits to arbitrage in cross-market trading. In another paper, I analyze how consumers react to the availability of overdraft facilities through mobile banking apps. I currently investigate the potential of crowdfunding mechanisms to elicit demand information and improve the screening of viable projects.

Before starting my PhD studies, I was a research assistant in the field of labor economics at the Institute for Advanced Studies and an intern at Ithuba Capital and the Austrian Financial Market Authority.

Interests

  • FinTech
  • Blockchain
  • Banking

Education

  • PhD in Finance, 2020

    Vienna Graduate School of Finance

  • MSc in Economics, 2015

    University of Vienna

  • BSc in Economics, 2012

    University of Vienna

Research

Crowdfunding with Private Consumer Valuations

Reward-based crowdfunding allows entrepreneurs to sell claims on future products to finance investments. Entrepreneurs thereby generate demand information and may condition their investment decisions on it. I characterize the profit-maximizing crowdfunding mechanism in a setting where consumers have private information about product valuations. Two types of demand uncertainty matter for the profit-maximizing mechanism: the number of consumers who value the product and the magnitude of their valuation. Entrepreneurs may finance all viable projects by committing to prices that decrease in the number of pledgers, thus granting consumers with high valuations an information rent. If the forgone rent is large, however, entrepreneurs prefer fixed high prices that preclude financing of demand states with low valuations.

Perceived Precautionary Savings Motives: Evidence from FinTech

We study the consumption response to the provision of credit lines to individuals that previously did not have access to credit combined with the possibility to elicit directly a large set of preferences, beliefs, and motives. As expected, users react to the availability of credit by increasing their spending permanently and reallocating consumption from non-discretionary to discretionary goods and services. Surprisingly, though, liquid users react more than others and this pattern is a robust feature of the data. Moreover, liquid users lower their savings rate, but do not tap into negative deposits. The credit line seems to act as a form of insurance against future negative shocks and its mere presence makes users spend their existing liquidity without accumulating any debt. By eliciting preferences, beliefs, and motives directly, we show these results are not fully consistent with models of financial constraints, buffer stock models with and without durables, present-bias preferences, uncertainty about future income, bequest motives, or the canonical life-cycle permanent income model. We label this channel the perceived precautionary savings channel, because liquid households behave as if they faced strong precautionary savings motives even though no observables suggest they should based on standard theoretical models.

Trust Takes Time: Limits to Arbitrage in Decentralized Markets

Distributed ledger technologies replace trusted intermediaries with time-consuming consensus protocols to record the transfer of ownership. This settlement latency imposes limits to arbitrage and hinders price discovery. We theoretically derive arbitrage bounds that increase with expected latency, latency uncertainty, volatility and risk aversion. Using Bitcoin orderbook and network data, we estimate arbitrage bounds of on average 121 basis points, explaining 91% of the observed cross-market price differences. Consistent with our theory, periods of high latency risk exhibit large price differences, while asset flows chase arbitrage opportunities. Decentralized settlement without centralized clearing thus introduces a non-trivial friction that affects market efficiency.

Fishing with Pearls: The Value of Lending Relationships with Prestigious Firms

We provide novel evidence of banks establishing lending relationships with prestigious firms to signal their quality and attract future business. Using survey data on firm-level prestige, we show that lenders compete more intensely for prestigious borrowers and offer lower upfront fees to initiate lending relationships with prestigious firms. We also find that banks expand their lending after winning prestigious clients. Prestigious firms benefit from these relations as they face lower costs of borrowing even though prestige has no predictive power for credit risk. Our results are robust to matched sample analyses and a regression discontinuity design.

Recent Posts

Volatility in Cryptocurrency Markets

An application of the spotvolatility estimator from Hautsch et al (2019) to other cryptocurrencies

Distributed Ledger Technology and Settlement Latency

A companion piece to Hautsch et al (2019) on how latency enters blockchain-based settlement

Teaching

I was a teaching assistant for the following courses:

  • University of Vienna: Calculus, Keynes for Beginners, International Macroeconomics, Macroeconomics and Inequality
  • TU (Vienna University of Technology): Microeconomics
  • Gutman Private Welath Management Seminar: FinTech
  • WU (Vienna University of Economics and Business): Linear Algebra

Some useful notes for students:

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