Published and Forthcoming Papers
"Volatility Expectations and Returns." November 2020. Joint with Tyler Muir. Forthcoming at The Journal of Finance.
"Conditional Dynamics and the Multi-Horizon Risk-Return Trade-Off." July 2020. Joint with Mikhail Chernov and Stig Lundeby. Accepted at The Review of Financial Studies.
“What Drives Anomaly Returns?” with Paul Tetlock. The Journal of Finance 75(3), 2020, pp. 1417-1455. (Online Appendix)
“Asset Pricing when 'This Time is Different'” January 2016. Joint with Pierre Collin-Dufresne and Michael Johannes. The Review of Financial Studies 30(2), 2017, pp. 505-535 (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.
“The Real Explanation of Nominal Stock-Bond Puzzles” July 2021. Joint with Mikhail Chernov and Dongho Song.
"Pricing Currency Risk." May 2021. Joint with Mikhail Chernov and Magnus Dahlquist.
“A Robust Numerical Method for Solving Risk-Sharing Problems with Recursive Preferences” March 2014. Joint with Pierre Collin-Dufresne and Michael Johannes.