• Forecast Dispersion and the Price Impact of Macroeconomic News  [SSRN]

While a large literature in macro-finance examines how financial markets respond to macroeconomic news, little is known about how the composition of the forecaster pool shapes these responses. Using data on 25 major U.S. macroeconomic announcements, I document that forecast dispersion has a strong negative effect on market reactions, challenging the conventional interpretation of dispersion as a proxy for uncertainty. To reconcile this puzzle, I develop a noisy rational expectations model in which the informational content of dispersion depends on the share of experienced analysts. When the forecaster pool is primarily experienced, low dispersion indicates precise pre-announcement information, reducing the announcement's price impact. Conversely, when the pool is inexperienced, low dispersion reflects shrinkage toward noisy common information, increasing price impact. Using lagged analyst experience as an instrument, I confirm that the relationship between dispersion and price impact switches sign depending on the share of experienced analysts. These findings reveal an important channel through which analyst heterogeneity affects price discovery. 

Keywords: Macroeconomic announcements, forecast dispersion, uncertainty, analyst heterogeneity, price impact.

Presentations:  Tilburg University, Toulouse School of Economics, 8th HEC Paris Finance PhD Workshop, 6th LTI-Bank of Italy Workshop, 8th Annual Dauphine Finance PhD Workshop, EFA 2025 Doctoral Tutorial, 31st German Finance Association Meeting, UT Dallas Fall Finance Conference (Poster), Inter-Finance PhD Seminar (Online), 38th AFBC (Online)*, Colorado Finance Summit*.

*Scheduled.

• A Tale of Bad Days: Investor Preferences and Fund Manager Skill with Martijn Boons and Rafael Zambrana 

While modern financial markets provide investors with almost instant access to return data, whether they monitor fund performance at high frequency and the implications of this behavior remain unclear. We show that investor flows respond strongly and symmetrically to fund performance on days with low market returns (bad days) but barely respond on good days. Consistent with the smart money hypothesis, outperformance on bad days is persistent and contributes to long-term outperformance. We find no evidence that managers can consistently outperform on both bad and other days. Instead, outperformance on bad days relies on specialized trading strategies and broker connections.

Keywords: Mutual funds, skill, investor preferences, flow-performance sensitivity, smart vs. dumb money, skill vs. luck, bad days, institutional broker connections.

Presentations: 

• Tilburg University, HEC Paris, 22nd EUROFIDAI-ESSEC Paris December Finance Meeting.

• Presentations by co-author(s): Nova SBE, University of Notre Dame, Vienna Graduate School of Finance, BI Norwegian Business School, CFR Research Seminar.

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• Macroeconomic Announcements and the News that Matters Most to Investors with Martijn Boons and Rik Frehen ~ Conditionally accepted at Management Science

Studying a large set of macroeconomic announcements (MAs) and disentangling their news content, we find that a portfolio of stocks that pays off around MAs that negatively impact the aggregate stock market commands a positive risk premium. Adding this portfolio to a position in the aggregate market substantially increases Sharpe ratio while reducing MA risk exposure, which implies a rejection of the CAPM. Using state-of-the-art measures of cash flow and discount rate news and consistent with prominent ICAPM specifications, we argue that the portfolio’s risk premium compensates investors for large reinvestment risk. Thus, we argue that the MA news that matters most to investors is discount rate news, not cash flows news.

Keywords: Macroeconomic announcements, news, price impact, discount rates versus cash flows, risk premia.

Presentations: 

• Tilburg University, ESSEC Business School, 30th Spanish Finance Forum, Lubrafin 2023, Robeco.

• Presentations by co-author(s): Alliance Manchester Business School, City University of Hong Kong, CUNEF, Queen’s University Belfast, Shanghai Advanced Institute of Finance, Universidade do Porto, University of Bristol Business School, Vienna Graduate School of Finance.

Bachelor Thesis Supervisor (Tilburg University) 2021 – Current 

Teaching Assistant (Tilburg University) 2021 – Current 

• Risk Management

• Derivative Securities

• Investment Analysis

• International Finance

• Advanced Corporate Finance

• Corporate Governance and Social Responsibility

Lab Instructor (Al Akhawayn University in Ifrane)     2019

• Conceptual Physics