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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.

Publications

Duration-Driven Returns (with Eben Lazarus), 2022. Forthcoming, Journal of Finance
The major equity risk factors invest in short-duration firms and could therefore be explained by a premium on near-future cash flows.
Featured in Alpha architect

Time Variation of the Equity Term Structure, 2021, Journal of Finance 76(4), 1959-1999
The equity term premium is counter-cyclical, a finding that has implications for asset pricing models and the source of predictability in expected returns.

Implied Dividend Volatility and Expected Growth (with Ralph Koijen and Ian 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.

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. The lower bound suggests that most of the drop in stock prices during the coronavirus came from discount rates.
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.
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

Discount Rates: Measurement and Implications for Investment (with Kilian Huber), March 2022.
We construct a new database of firms’ discount rates and cost of capital and study how these are related to pricing in financial marketes and to real investment.

Equity Factors and Firms’ Perceived Cost of Capital (with Kilian Huber), new draft coming soon, R&R at Review of Financial Studies.
We study how equity risk factors are reflected in firms perceived cost of capital and discount rates.

Conditional Risk (with Christian Skov Jensen), June 2021, 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.

Selfish Corporations (with Emanuele Colonnelli and Tim McQuade), September 2021, R&R at Review of Economic Studies.
Public perception of corporate behavior influences support for economic policies. You can find the videos used in our survey here.

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

Rainy Day Stocks (with Robin Greenwood), January 2017.