Projects
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01
Master’s Thesis: ECB Narrative Tone and Market Impact
My master’s thesis examines how the tone of European Central Bank communications influences euro-area markets across policy statements, press conferences, Monetary Policy Accounts, and Executive Board speeches. I build a hawk and dove tone index and test its impact at intraday and daily horizons while controlling for the policy news released at the same time. The results indicate that intraday moves are driven by substantive announcements, with tone adds a small, short-lived lift to equities during the press conference Q&A. By the daily close, tone effects mostly fade, with limited persistence in speeches and the Accounts, and even there tone matters mainly when systemic stress is around average and weakens as stress rises. Overall, tone can move prices in specific contexts, but it plays a supporting role relative to clear policy signals.
02
The Economics Hub: Global Macro & RBI Sentiment Tracker
This project is a fully automated data platform that tracks key global macroeconomic indicators and measures the sentiment of the Reserve Bank of India’s monetary policy communication using a large language model (Anthropic’s Claude Opus).
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03
Post-Earnings Announcement Drift in the 21st Century
This project investigates whether earnings surprises still lead to predictable stock returns in US equity markets from 2000 to 2023. Using an event study framework, it shows that the PEAD anomaly has significantly weakened and is largely explained by standard risk factors like size, value, and momentum. Statistical tests and cross-sectional regressions also confirm that earnings surprises lose their predictive power once key firm-level factors are accounted for.
04
Volatility and Risk Modelling in Currency Markets
This project evaluates volatility and Value-at-Risk (VaR) models to forecast risk in two portfolios: one with nine developed market currencies and another including the Argentine peso. The results show that standard models often underestimate extreme risks in emerging markets. Backtesting confirms the importance of using flexible, adaptive models to better capture unexpected market movements.
05
Empirical Finance: Mutual Fund Performance & Predictability
This project explores return predictability using volatility measures and evaluates mutual fund performance through Fama-French factor models. It also includes a custom portfolio analysis of the “Magnificent Seven” tech stocks, comparing their performance with selected funds across key financial metrics.
06
Asset Pricing Models in the Corporate Bond Market
Building on the extensive body of research exploring risk factors in equity markets, this project evaluates multiple factor models to identify the determinants of corporate bond risk premia. While the traditional CAPM is relevant, multi-factor models that include duration-adjusted market risk (MKTDB) and momentum offer a superior fit for accurate bond market specific pricing.
07
Ethics in Finance: Incentives, Misconduct & Culture
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This project maps the ethical risks within the wholesale green bond market, identifying key challenges such as greenwashing, the absence of a universal “green” standard, and insufficient financial incentives for issuers.
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During a Summer School in Lisbon, my group critically assessed a shareholder motion at JPMorgan regarding its financing of projects linked to Indigenous rights violations. Our improved, evidence-based resolution reframed the issue as a material financial risk rather than a purely ethical concern, advocating for measurable performance indicators to enhance accountability.
08
Blockchain-Based Cross-Border Payment Protocol (OpenBridge)
In this project, I propose OpenBridge - a hybrid blockchain protocol designed to address the high costs, slow settlement times, and lack of transparency in traditional cross-border payments. The proposed prototype uses a permissioned architecture, Layer-2 rollups, and zero-knowledge proofs to enable fast, secure, and compliant foreign exchange settlement.
09
Equity Market Neutral Strategies
As part of the Alternative Investments course, my group delivered a presentation on Equity Market Neutral (EMN) strategies. The presentation made the case for allocating capital to EMN funds, highlighting their potential to generate consistent, low-volatility returns with minimal correlation to broader equity markets.
10
Financial Statement Analysis: Marks & Spencer Equity Valuation
This equity research report analyzes Marks & Spencer’s successful operational turnaround, driven by improved profitability and asset turnover, but concludes that a valuation based on core fundamentals suggests this recovery is already fully priced into the current stock.