Manav Chaudhary

Corporate Bond Multipliers: Substitutes Matter
R&R at  Review of Financial Studies
(with Zhiyu Fu and Jian Li)

Many economic questions require estimating the price effect of demand shifts (multipliers) in the bond market. Corporate bonds have salient characteristics that distinguish close versus distant substitutes. We show that accounting for the heterogeneous substitutability between bonds is critical for estimating multipliers correctly. By allowing for heterogeneous substitution, we find that security-level multipliers are essentially zero—an order of magnitude smaller than the estimate ignoring heterogeneous substitutability. Nonetheless, portfolio multipliers are substantially larger and monotonically increase with the aggregation level. Furthermore, we find that the multiplier is larger for high-yield bonds, longer-maturity bonds, and bonds with greater arbitrage risks.

• Presentations: AFFECT 2023 mentorship workshop, AFA 2024, the Bank of Canada-Queen’s workshop on financial intermediation and regulation, Columbia Business School, David Backus Memorial Conference on Macro-Finance, Economic Dynamics and Financial Markets Working Group at the University of Chicago, EFA, EPFL, FIFI conference, HBS Junior Finance Conference, HKUST, NBER Summer Institute, Purdue University, University of Minnesota, TADC at LBS, and the Yiran Fan Memorial Conference at the University of Chicago.

• Awards: TADC’s AQR Asset Management Institute Prize for best economics paper

Regulator Model-Implied Beliefs

Financial regulations rely on regulator-controlled models to generate probabilistic forecasts which determine firm constraints. I refer to these forecasts as regulator model-implied beliefs. Using the U.S. life insurance sector as a laboratory, I measure both regulator model-implied and insurer expectations. I show that the regulator model disagrees with insurers and quantitatively mirrors the systematic belief patterns observed in human forecasters, embedding these patterns into regulatory constraints. Insurers, in turn, pass through these belief dynamics into their portfolio decisions, effectively coordinating behavior at the sector level. This mechanism reveals a new channel linking well-documented belief dynamics to financial intermediary decisions.

• Presentations: Boston College, Colorado Finance Summit, Cornell, HBS Finance, HBS BGIE, Imperial College, LBS, LSE, OSU, University of Chicago, UC Boulder, USC, and University of Toronto

• Awards: Colorado Finance Summit Best Job Market Paper Award

Anatomy of the Treasury Market: Who Moves Yields?
(with Zhiyu Fu and Haonan Zhou)

We develop an empirically flexible yet tractable model that links Treasury yields to the portfolio decisions of investors. The model measures how sensitive investors are to changes in yields and macroeconomic factors, decomposes yield movements into investor-level drivers, and captures how investor behavior differs around key events. We find that Treasury demand is highly inelastic, with large differences across investors and over time. Since 2008, foreign investors have become far less influential, while the Federal Reserve has played an increasingly important role in shaping yields. During flight-to-safety episodes, domestic—not foreign—investors drive the sharp decline in Treasury yields.

• Presentations:  CUHK Shenzhen, HKU, HKUST, Bank of Korea, Peking University, WashU Olin, Brown University, HBS Junior Finance Conference, University of Zurich, Chicago Booth Treasury Markets Conference (2025), Second UIC Finance Conference, the 2025 OFR Rising Scholar Conference, 2025 Sovereign Bond Markets International Conference, 2025 NBER Summer Institute Asset Pricing, EFA 2025, and University of Virginia.

• Optimal GIV: Python package and Juila package

Inflation Expectations and Stock Returns
(with Ben Marrow)

How do inflation expectations affect stock returns, and what accounts for this relationship? We directly measure investors' expectations using traded inflation-indexed contracts and show that, post-2000, stocks offer positive returns in response to higher expected inflation: unconditionally, a 10 basis point increase in 10-year breakeven inflation is associated with a 1.1% increase in the value-weighted stock index. Using a wide range of approaches, we show that this positive relationship is almost entirely due to aggregate variations in expected excess returns rather than changes in firm cash flows (e.g., due to higher mark-ups) or fluctuations in risk-free rates (e.g., due to expected monetary policy response). Overall, a risk premium “proxy” mechanism appears to explain this dominant role of expected excess returns: higher long-term inflation expectations signal stronger future economic growth and reduced volatility.

• Presentations: LBS's TADC, University of Chicago, Yiran Fan Memorial Conference (poster), CCSRG, Inter-finance PhD Seminar

• Awards: TADC’s AQR Asset Management Institute prize for best finance paper, Yiran Fan Memorial prize for best third year paper