Welcome! I am an assistant professor of finance at the University of Chicago Booth School of Business. My main area of research is empirical asset pricing.

For more information, please see my CV.


Selfish Corporations (with Emanuele Colonnelli and Tim McQuade), February 2023, Forthcoming, Review of Economic Studies.
The public demands corporations to behave better within society. This big business discontent can influence public support for economic policies and cause firms’ political communication to backfire. Find the videos used in our survey here.

Financial Markets and the COVID-19 Pandemic (with Ralph S. J. Koijen), October 2022. Forthcoming, Annual Review of Financial Economics
We review the literature on the impact of COVID-19 on financial markets.

Duration-Driven Returns (with Eben Lazarus), 2022. Forthcoming, Journal of Finance
The major equity risk factors invest in short-duration firms and can therefore be explained by models that produce premia on near-future cash flows. New data provide identification.
Featured in Alpha architect

Time Variation of the Equity Term Structure, 2021, Journal of Finance 76(4), 1959-1999
I study and reconcile time variation in the equity term structures of returns and yields. New model to account for the facts.

Implied Dividend Volatility and Expected Growth (with Ralph S.J. Koijen and Ian W. Martin), January 2021, American Economic Association Papers & Proceedings, 111, 361-365.
The implied volatility from dividend derivatives can be used to estimate growth uncertainty, expected returns on dividend claims, and expected growth in real time.

Coronavirus: Impact on Stock Prices and Growth Expectations (with Ralph S. J. Koijen), August 2020. Review of Asset Pricing Studies 10 (4), 574-597. Lead paper. 
Methods for understanding movements in stock prices and recovering growth expectations in real time. Our analysis shows that stock market fluctuations around the coronavirus outbreak mostly come from pricing of distant future cash flows.
Featured in: Forbes, Financial Times, Vox, Seeking alpha, Pro market

Betting Against Correlation: Testing Theories of the Low-Risk Effect (with Cliff Asness, Andrea Frazzini, and Lasse Heje Pedersen), 2020. Journal of Financial Economics 135 (3), 629-652.
Fama-DFA Prize 2020 (second prize), Roger F Murray Price 2018
Two new factors separate competing theories for the low-risk effect: BAC is strong, consistent with leverage constraints; SMAX works too, consistent with lottery demand.
Featured in: WSJ, Institutional Investor, Alpha Architect, Barrons, Cliff’s Perspective

Working Papers

Corporate Discount Rates (with Kilian Huber), October 2022. Slides
A new database of firms’ perceived cost of capital and discount rates. The perceived cost of capital is related to the financial cost of capital, but the wedge between discount rates and the perceived cost of capital has grown substantially over the past decades, a trend that has important implications for the relation between corporate investment and asset prices. See website for cost of capital project (work in progress).

Equity Factors and Firms’ Perceived Cost of Capital (with Kilian Huber), January 2023, R&R at Review of Financial Studies.
Firms’ perceived cost of capital is related to the leverage, market beta, and size of the firm. But less than 10% of risk factors studied in asset pricing are significant in the perceived cost of equity — and most have the wrong sign (click here for overview).

Climate capitalists (with Kilian Huber and Simon Oh), February 2023.
Green firms report lower cost of capital and discount rates in recent years, concurrent with the rise of “green investing.”

Does the Market Understand Time Variation in the Equity Premium? (with Mihir Gandhi and Eben Lazarus), October 2022. Slides
The representative agent understands which direction the equity premium moves in the future but appears to make predictable forecast errors.

Conditional Risk (with Christian Skov Jensen), June 2022, R&R at Journal of Financial Economics.
A new and powerful conditional-risk factor documents a global effect of time-varying market betas on the returns to major risk factors.

Higher-Moment Risk (with Christian Skov Jensen), June 2022, R&R at Journal of Finance.
The shape of the distribution of stock market returns is more left-skewed and fat tailed during periods with low volatility. This finding has implications for our understanding of tail risk, disaster-based asset pricing models, and trading strategies.

Rainy Day Stocks (with Robin Greenwood), January 2017.
The performance of equity risk factors varies between good and times.