Amy Wang Huber

About Me

I am an Assistant Professor of Finance at the Wharton School of the University of Pennsylvania.  

My research seeks to understand how prices and quantities are jointly determined in interconnected financial markets. A central focus is on the frictions faced by large financial intermediaries such as broker-dealers and institutional investors; in particular, how the trade-offs they face shape asset prices, liquidity, and the transmission of shocks across markets. By combining theoretical modeling with empirical analysis, I study the mechanisms through which market interconnections influence asset prices and macro-financial outcomes.

I hold a Ph.D. in Finance from the Stanford Graduate School of Business and an A.B. in Economics, magna cum laude, from Harvard College. Prior to graduate school, I was a consultant at McKinsey & Company’s New York office and a private equity investor at the Abu Dhabi Investment Authority (ADIA). I am a CFA charterholder and an external consultant for the Federal Reserve Bank of New York.

RESEARCH

Geoeconomic Competition and Capital Reallocation in Global FX Funding

We quantify geoeconomic competition in global FX funding by measuring how one country's funding inflow responds to another country’s actions, which we call ``reallocation exposure.'' We use reallocation exposure to construct time-varying measures of geoeconomic power and characterize the network of financial competition and cooperation.

Demand Propagation Through Traded Risk Factors

We develop a risk-driven framework to quantify how demand shocks to one asset reprice others, and find that intermediaries’ aversion to non-diversifiable risk is a key friction driving shock transmission. We construct risk factors using both prices and quantities, and exploit the joint orthogonality of returns and flows to estimate factor's price sensitivity using IV.

Dollar Asset Holdings and Hedging Around the Globe

R&R @ The Review of Financial Studies
Using hand-collected data, we provide the first comprehensive estimates of foreign investors' U.S. dollar security holdings and currency hedging practices. We show expected FX returns are a key determinant of currency exposure. We quantify how aggregate hedging demand affects hedging costs.

Market Power in Wholesale Funding: A Structural Perspective from the Triparty Repo Market

The Journal of Financial Economics (Editor’s Choice)
I quantify the degree of competition in a key wholesale funding market, finding dealer markdowns in the 25 bps range. Dealers’ market power over Triparty cash-lenders contributes to various funding spreads.

Are Intermediary Constraints Priced?

The Review of Financial Studies
We design a trading strategy to directly measure the price of a new component of the intermediary’s SDF: the risk of intermediary constraints tightening.

Geoeconomic Competition and Capital Reallocation in Global FX Funding

We quantify geoeconomic competition in global FX funding by measuring how one country's funding inflow responds to another country’s actions, which we call ``reallocation exposure.'' We use reallocation exposure to construct time-varying measures of geoeconomic power and characterize the network of financial competition and cooperation.

Demand Propagation Through Traded Risk Factors

We develop a risk-driven framework to quantify how demand shocks to one asset reprice others, and find that intermediaries’ aversion to non-diversifiable risk is a key friction driving shock transmission. We construct risk factors using both prices and quantities, and exploit the joint orthogonality of returns and flows to estimate factor's price sensitivity using IV.

Dollar Asset Holdings and Hedging Around the Globe

R&R @ The Review of Financial Studies
Using hand-collected data, we provide the first comprehensive estimates of foreign investors' U.S. dollar security holdings and currency hedging practices. We show expected FX returns are a key determinant of currency exposure. We quantify how aggregate hedging demand affects hedging costs.

Market Power in Wholesale Funding: A Structural Perspective from the Triparty Repo Market

The Journal of Financial Economics (Editor’s Choice)
I quantify the degree of competition in a key wholesale funding market, finding dealer markdowns in the 25 bps range. Dealers’ market power over Triparty cash-lenders contributes to various funding spreads.

Are Intermediary Constraints Priced?

The Review of Financial Studies
We design a trading strategy to directly measure the price of a new component of the intermediary’s SDF: the risk of intermediary constraints tightening.

Discussion

TEACHING

FNCE 7070 Valuation (MBA)