“Asset Pricing when 'This Time is Different'” January 2016. Joint with Pierre Collin-Dufresne and Michael Johannes. Forthcoming at the Review of Financial Studies. (Online Appendix)
“Parameter Learning in General Equilibrium: The Asset Pricing Implications,” with Pierre Collin-Dufresne and Michael Johannes. American Economic Review 106(3), 2016, pp. 664-698. (Online Appendix).
“Learning about Consumption Dynamics,” with Michael Johannes and Yiqun Mou. Journal of Finance 71(2), 2016, pp. 551-600. (Online Appendix)
“Limits to Arbitrage and Hedging: Evidence from Commodity Markets,” with Viral Acharya and Tarun Ramadorai. Journal of Financial Economics 109(2), 2013, pp. 441-465. (Online Appendix) (Data)
“Investor Inattention and the Market Impact of Summary Statistics,” with Thomas Gilbert, Shimon Kogan and Ataman Ozyildirim. Management Science 58, 2012, pp. 336-350. Special Issue on Behavioral Economics and Finance.
“Long-Run Risk through Consumption Smoothing,” with Georg Kaltenbrunner. Review of Financial Studies 23, 2010, pp. 3141 - 3189. (Online Appendix)
An earlier working paper version of this article has some additional results on operating leverage through sticky wages, as well as on return predictability that I still find interesting (LRR Working Paper)
“Expected Returns and the Business Cycle: Heterogeneous Goods and Time-Varying Risk Aversion,” Review of Financial Studies 22, 2009, pp. 5251 - 5294.
“Comment on "Growth Uncertainty, generalized disappointment aversion and production-based asset pricing",” Journal of Monetary Economics 69, 2015, pp. 90-96. Carnegie-Rochester-NYU conference series.
"Estimation of a Stochastic-Volatility Jump-Diffusion Model," with Roger Craine and Knut Syrtveit, Revista de Analisis Economico, 2000, (15), pp 61-87.
“Long-Horizon Investment, Mean Reversion, and Structural Breaks: A General Equilibrium Perspective” January 2016. Joint with Pierre Collin-Dufresne.
“What Drives Anomaly Returns?” May 2016. Joint with Paul Tetlock.
“A Robust Numerical Method for Solving Risk-Sharing Problems with Recursive Preferences” March 2014. Joint with Pierre Collin-Dufresne and Michael Johannes.