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.
Expected Stock Returns and Firms’ Perceived Cost of Capital, May 2021
Firms with higher expected stock returns have a higher perceived cost of equity and use higher discount rates in capital budgeting.
Duration-Driven Returns (with Eben Lazarus), February 2021
The major equity risk factors invest in short-duration firms and could therefore be explained by a premium on near-future cash flows.
Revise and resubmit, Journal of Finance
Featured in Alpha architect
Conditional Risk (with Christian Skov Jensen), June 2021
A new and powerful conditional-risk factor documents a global effect of time-varying market betas on the returns to major risk factors.
Selfish Corporations (with Emanuele Colonnelli and Tim McQuade), September 2021
Public perception of corporate behavior influences support for economic policies. You can find the videos used in our survey here.
Rainy Day Stocks (with Robin Greenwood), January 2017
Implied Dividend Volatility and Expected Growth (with Ralph Koijen and Ian Martin), January 2021. Forthcoming, American Economic Association Papers & Proceedings.
The implied volatility from dividend derivatives can be used to estimate growth uncertainty, expected returns on dividend claims, and expected growth.
Time Variation of the Equity Term Structure, August 2020. Forthcoming, Journal of Finance.
The equity term premium is counter-cyclical: it is negative in good times but positive in bad times.
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.
We use dividend futures to provide a lower bound on expected growth as perceived by investors in real time. We also provide a perspective on the stock market’s response.
See growth expectations here.
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.
Roger F Murray Price 2018.
Two cool new factors separate competing theories: 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