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Welcome! I am an associate professor of finance at the University of Chicago Booth School of Business. For more information, please see my CV.

Working Papers

Corporate Discount Rates (with Kilian Huber), June 2023. Slides, R&R at American Economic Review.
Firms’ discount rates do not move one-for-one with the perceived cost of capital, leading to time-varying discount rate wedges. The average wedge has grown substantially over the past decades, a trend that has implications for the relation between corporate investment and asset prices.
See website for cost of capital project. Featured in Barrons, Matt Levine.

Firms’ Perceived Cost of Capital (with Kilian Huber), October 2023. Slides.
Firms’ perceived cost of capital is excessively volatile relative to what risk premia in financial markets justify. The excess volatility represents a challenge for production-based asset pricing and leads to a rejection of the “Investment CAPM.”
See website for cost of capital project.

Sticky Discount Rates (with Masao Fukui and Kilian Huber), February 2024.
Firms’ nominal discount rates are sticky with respect to expected inflation. The stickiness causes firms’ investment demand to increase when inflation increases, leading to a distinct source of monetary non-neutrality.
Online supplement.

Climate Capitalists (with Kilian Huber and Simon Oh), February 2023.
The perceived cost of capital has dropped substantially for green firms relative to brown firms since the  the rise of “green investing.” In a stylized model, the observed differences in perceived cost of capital and discount rates are large enough to lead to sizeable reductions in emissions. See website for cost of capital project.

Forward Return Expectations (with Mihir Gandhi and Eben Lazarus), September 2023, R&R at Review of Financial Studies.
Investors mispredict their own future stock-return expectations, particularly during crises. Find out how and why it matters for excess volatility, demand elasticities, and stylized facts about the equity term structure. Slides.

Higher-Moment Risk (with Christian Skov Jensen), December 2023, R&R at Journal of Finance.
The shape of the distribution of stock market returns is more left-skewed and fat tailed  during good times than bad times. The cyclical fluctuations in higher-moment risk matter for tail risk and disaster-based asset pricing models.

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

Publications

Conditional Risk (with Christian Skov Jensen), February 2024, conditionally accepted,  Journal of Financial Economics.
Conditional risk matters more than you think, particularly in the most recent sample where the equity premium is unusually volatile.

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), November 2023, Annual Review of Financial Economics, 15, 69-89.
We review the literature on the impact of COVID-19 on financial markets. We argue that most of the movements in the aggregate stock markets appears to have been driven by changes in risk appetite.

Duration-Driven Returns (with Eben Lazarus), 2023, Journal of Finance, 78(3), 1393-1447.
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 Financial Times, 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