William (Will) Cassidy


Will Cassidy

Will is a PhD student studying Finance at the University of Chicago, Booth School of Business. He graduated from the University of Pennsylvania in Mathematical Economics in 2016. Before starting his doctoral studies, he worked as a research professional in the Fama-Miller Center for Research in Finance.

Will's primary research interests lie in Political Economy and Asset Pricing.

Working Papers

  1. Long-Run Taxation Risk and the Presidential Equity Premium Puzzle
    Most recent revision: 09/2020
    This paper aims to explain the Presidential Equity Premium Puzzle. I estimate a simple model in which a new President serves as an uncertainty shock to the growth rate of dividends. This uncertainty shock is differentially priced across parties because Democrats increase the tax burden of equity holders. The interaction between the dual shocks to expected tax burdens and dividend growth rates gives rise to expected returns that are higher under Democrats. Results from structural estimation show that this channel accounts for approximately a third of the difference in the level of expected returns on the market across parties. This model can match the level of the difference in expected returns for “normal” times, but not in Presidential terms immediately preceding and following financial crises, which accounts for the missing two-thirds of the difference. This model also generates dynamics consistent with the cross-sectional moments of returns and announcement effects noted in the literature. Further, this model is able to generate occasionally high realized returns under Republicans, consistent with the experience of equity markets in the post-2016 sample.

Unpublished Papers

  1. Lobbying and SMB (2017)
    (Manuscript available upon request)
    This paper argues that SMB is correlated with political risk. Building on Santa-Clara and Valkanov (2003) and more recent theoretical work by Pastor and Veronesi (2013), this paper presents a story in which firms mitigate political risk through direct political spending. Firm ability to hedge political risk is a function of firm size. This interdependence of politcal risk and firm size results in a close connection of the political risk premium and the small firm premium, SMB. This paper then provides empirical evidence for such a connection by connecting variation in SMB to partisan variables and equity returns to lobbying data.