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I'm an Assistant Professor of Finance at Paris Dauphine University and a PSL Junior Fellow. My research interests lie at the intersection of Corporate Finance, Asset Pricing, and Computational Finance. My two main research agendas study the impact of the offshore finance industry on corporate policies and the role of social media in investment decisions.

Working Papers

Social Media as a Bank Run Catalyst

R&R at the Journal of Financial Economics

J. Anthony Cookson, Corbin Fox, Javier Gil-Bazo, Juan Felipe Imbet, Christoph Schiller

Abstract: After the run on Silicon Valley Bank (SVB), U.S. regional banks entered a period of significant distress. We quantify social media's role in this distress using comprehensive Twitter data. During the SVB run period, banks in the top tercile of pre-run Twitter exposure lost 6.6 percentage points more stock market value, an effect unexplained by mark-to-market losses and uninsured deposits. Moreover, social media amplifies balance sheet risks and is associated with greater outflow of uninsured deposits during Q1 2023. During the run period, high Twitter message volume in the past four hours predicts hourly stock market losses, especially for banks with high balance sheet risk. At even higher frequency, negative sentiment tweets in the run period translate into immediate stock market losses. These high frequency effects are stronger for tweets with contagion keywords and tweets by tech startup users who are likely depositors in SVB.

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Tweeting for Money: Social Media and Mutual Fund Flows

Javier Gil-Bazo, Juan Felipe Imbet

Abstract: We investigate whether asset management firms use social media to persuade investors. Combining a database of almost 1.6 million Twitter posts by U.S. mutual fund families with textual analysis, we find that flows of money to mutual funds respond positively to tweets with a positive tone. Positive tweets work best when they convey advice or views on the market and when investor sentiment is higher. Using a high-frequency approach, we identify a short-lived impact of families’ tweets on ETF share prices. Finally, we reject the alternative hypothesis that asset management companies use social media to alleviate information frictions.


Private Firms and Offshore Finance

Marcelo Ortiz M., Juan Felipe Imbet

Abstract: We study how offshore vehicles (OVs) in tax havens affect domestic investment and tax revenues among private firms. OVs encourage domestic investment by reducing the tax burden of OV users. The induced investment can potentially expand the taxable income, creating a trade-off that may counterbalance the direct tax base erosion traditionally associated with OVs. To test these hypotheses, we build and analyze a large data set of European private firms identified as OV users in offshore data leaks. Our findings suggest that OV users invest more and pay more taxes, and that these effects are stronger for standalone firms and for firms operating in intangible industries. For identification, we leverage the sequence of offshore data leaks in a staggered difference-in-difference approach. Our results indicate that OV users reduce investments post-leak while their tax payments remain relatively stable.

The Forecasting Power of Short-term Options

Arthur Böök, Juan Felipe Imbet, Martin Reinke, Carlo Sala

Abstract: We propose robust option-implied measures of conditional volatility, skewness and kurtosis based upon quantiles and expectiles inferred from weekly options on the S&P 500. All quantities are by construction forward-looking and estimated non-parametrically through a novel robust and arbitrage-free natural smoothing spline technique that produces quick to estimate volatility smiles. We find that the option-implied robust indicators exhibit short-, medium- and long-term predictive ability for the U.S. equity risk premium, market volatility, skewness and kurtosis, both in- and out-of-sample, and outperform equal indicators inferred from historical returns.

Stroke of a Pen: Investment and Stock Returns under Energy Policy Uncertainty

Juan Felipe Imbet

Abstract: Energy policy uncertainty - as measured by uncertainty about a U.S. President signing an energy related executive order in the future - covaries positively with corporate investment and aggregate consumption growth, and its innovations carry a negative price of risk. I propose and test a q-theory explanation in which firms invest in energy-efficient capital when facing energy policy uncertainty. This uncertainty amplifies differences in investment between growth and value companies as the benefits of substituting energy for capital increase with growth opportunities. As the benefits to invest increase, aggregate current consumption decreases relative to future consumption, creating time varying expected variation in aggregate market returns and consumption growth. Without an investment factor, uncertainty betas explain cross-sectional variation in stock returns across portfolios that differ in their growth opportunities. However, since investment reacts to uncertainty endogenously, an asset pricing model that accounts for an investment factor absorbs the cross-sectional differences in expected returns explained by this policy uncertainty. My findings suggest that uncertainty about future energy policies in the last four decades can explain firms' adoption of energy-efficient capital.

Curriculum Vitae

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