Research
Research
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My research interests lie at the intersection of real estate, finance, and AI/ML technology, focusing on pressing challenges and emerging opportunities in these fields. I focus on the dynamics of price bubbles, particularly their empirical detection across diverse asset classes. Currently, I am developing a neural network framework to enhance the asset price bubble technology introduced in Choi and Jarrow (2025).
Housing affordability is another critical area of my work, where I examine the economic, social, and policy dimensions of making housing accessible to diverse populations. In an ongoing project, Choi, Nowak, Smith, and Tchistyi (2025), I investigate which groups of homebuyers are more susceptible to the winner's curse effects, such as lower housing returns and higher mortgage default probabilities, in the U.S. housing market. In a related strand of research, I analyze potential disparities within the real estate brokerage industry and their influence on housing outcomes. My broader inquiries include mortgage finance, accessible credit, and the interplay between climate risk and real estate markets.
I also delve into the complexities of debt contracts and the valuation of contingent claims. In Choi, Jarrow, Lebret, and Liu (2025), I formalize and price co-tenancy clauses common in retail contracts using an option pricing framework. Building on this foundation, I am extending reduced-form credit risk models to explore applications in climate risk and insurance, investigating how environmental challenges affect financial systems and real asset valuations.
Finally, I am deeply passionate about leveraging artificial intelligence and machine learning in finance and real estate. These advanced tools play a pivotal role in my projects, including price bubble detection, housing market dynamics, banking, and climate risk modeling, enabling me to uncover patterns and enhance decision-making that traditional methods might overlook.
Working Papers
Working Papers
The Winner's Curse in Housing Markets
(with Adam Nowak, Patrick Smith, Alexei Tchistyi)
The Winner's Curse in Housing Markets
(with Adam Nowak, Patrick Smith, Alexei Tchistyi)
Abstract: This paper tests for a winner’s curse in housing markets by examining the subsequent performance of bidding war transactions relative to non-bidding war transactions. We develop a model in which homeowners who purchase their house in a bidding war transaction experience lower annualized returns and a higher likelihood of mortgage default. Consistent with the model predictions, we find homebuyers who purchase their house in a bidding war experience 8.8pp lower total unlevered return compared to those not engaged in a bidding war and are 2.1pp more likely to default. These winner’s curse effects are even more pronounced among socioeconomically vulnerable homebuyers.
Abstract: This paper tests for a winner’s curse in housing markets by examining the subsequent performance of bidding war transactions relative to non-bidding war transactions. We develop a model in which homeowners who purchase their house in a bidding war transaction experience lower annualized returns and a higher likelihood of mortgage default. Consistent with the model predictions, we find homebuyers who purchase their house in a bidding war experience 8.8pp lower total unlevered return compared to those not engaged in a bidding war and are 2.1pp more likely to default. These winner’s curse effects are even more pronounced among socioeconomically vulnerable homebuyers.
Abstract: Evidence of excess volatilities at high asset prices is associated with bubbles. We propose a new asset price bubble testing methodology based on volatility estimates. Examining the current U.S. equity bull market, we find that the S&P 500, Dow Jones, and Nasdaq do not exhibit bubbles. We investigate Lyft’s earnings error news and estimate that the bubble’s lifetime is approximately 3 months. Our methodology and results are robust to various adjustments for outliers.
Abstract: Evidence of excess volatilities at high asset prices is associated with bubbles. We propose a new asset price bubble testing methodology based on volatility estimates. Examining the current U.S. equity bull market, we find that the S&P 500, Dow Jones, and Nasdaq do not exhibit bubbles. We investigate Lyft’s earnings error news and estimate that the bubble’s lifetime is approximately 3 months. Our methodology and results are robust to various adjustments for outliers.
Pricing the Upside Potential to Downside Risk
(with Robert A. Jarrow, Daniel Lebret, Crocker H. Liu) - under review
Pricing the Upside Potential to Downside Risk
(with Robert A. Jarrow, Daniel Lebret, Crocker H. Liu) - under review
Semifinalist for Best Paper Award, Financial Intermediation & Institutions, FMA 2023
Best Practitioner Research Award (Non-residential), American Real Estate Society 2023, sponsored by BOMA International
Abstract: Shopping center valuations reflect the internalization of externalities where a co-tenancy provision captures the negative spillover effects from anchor departures. This real option provides temporary rent relief and early lease termination. While these clauses may enhance value in stable markets, they are often used as rent concessions during downturns lowering resale prices and rents. Consistent with theory, landlords strategically use cotenancy provisions to offset risks reinforcing their role in optimizing shopping center valuation and tenant stability.
Abstract: Shopping center valuations reflect the internalization of externalities where a co-tenancy provision captures the negative spillover effects from anchor departures. This real option provides temporary rent relief and early lease termination. While these clauses may enhance value in stable markets, they are often used as rent concessions during downturns lowering resale prices and rents. Consistent with theory, landlords strategically use cotenancy provisions to offset risks reinforcing their role in optimizing shopping center valuation and tenant stability.
Selected Works-in-Progress
Selected Works-in-Progress
A Theory of Durable Asset Leasing (with Crocker H. Liu)
Is Nifty Going Up Too Quickly? The Case of the Indian Stock Bubble (with Robert A. Jarrow)
Selling Houses as Minority Broker: Quantifying Diversity Discount
A Theory of Durable Asset Leasing (with Crocker H. Liu)
Is Nifty Going Up Too Quickly? The Case of the Indian Stock Bubble (with Robert A. Jarrow)
Selling Houses as Minority Broker: Quantifying Diversity Discount
Innovative Thinking Award - "Thinking Out of the Box", American Real Estate Society 2024, sponsored by Greenfield Advisors
Publication
Publication
Applying the Local Martingale Theory of Bubbles to Cryptocurrencies (with Robert A. Jarrow), International Journal of Theoretical and Applied Finance, 2022, Vol. 25 No. 03 2250013 1-25.
Applying the Local Martingale Theory of Bubbles to Cryptocurrencies (with Robert A. Jarrow), International Journal of Theoretical and Applied Finance, 2022, Vol. 25 No. 03 2250013 1-25.
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