Research

New book: Machine Learning in Asset Pricing (Princeton University Press)
Expanded version of my Princeton Lectures in Finance in May 2019. Published
May 2021. Order from Amazon

Working Papers

Expectations Data in Asset Pricing
(with Klaus Adam) January 2022. Prepared for the Handbook of Economic Expectations

The Statistical Limit of Arbitrage
(with Rui Da and Dacheng Xiu) coming soon.

Inflation Hedging on Main Street? Evidence from Retail TIPS Fund
Flows (with Zhen Yan) coming soon.

Dynamics of Subjective Risk Premia
(with Zhengyang Xu) February 2022.

Risk-adjusted Returns of Private Equity Funds: A New Approach
(with Arthur Korteweg) coming soon.

Judging Banks’ Risk by the Profits They Report
(with Ben Meiselman and Amiyatosh Purnanandam) revised March 2020.

Published and Forthcoming

Market Efficiency in the Age of Big Data
(with Ian Martin) Journal of Financial Economics, forthcoming.

Asset Pricing with Fading Memory
(with Zhengyang Xu) Review of Financial Studies, May 2022.

Who Sells During a Crash? Evidence from Tax Return Data on Daily Sales of Stock
(with Daniel Reck, Jeffrey Hoopes, Patrick Langetieg, Joel Slemrod, Bryan Stuart)
Economic Journal, January 2022.
https://doi.org/10.1093/ej/ueab059

Treasury Inconvenience Yields During the COVID-19 Crisis [Online Appendix]
(with Zhiguo He and Zhaogang Song) Journal of Financial Economics, January 2022.
https://doi.org/10.1016/j.jfineco.2021.05.044

Review Article: Perspectives on the Future of Asset Pricing
(with Markus Brunnermeier, Emmanuel Farhi, Ralph Koijen, Arvind Krishnamurthy, Sydney Ludvigson, Hanno Lustig, and Monika Piazzesi) Review of Financial Studies, April 2021.
https://doi.org/10.1093/rfs/hhaa129

Do Survey Expectations of Stock Returns Reflect Risk-Adjustments?
(with Klaus Adam and Dmitry Matveev) Journal of Monetary Economics, January 2021.
https://doi.org/10.1016/j.jmoneco.2020.04.010

The Making of Hawks and Doves
(with Ulrike Malmendier and Zhen Yan) Journal of Monetary Economics, January 2021.
https://doi.org/10.1016/j.jmoneco.2020.04.002

Banks’ Risk Dynamics and Distance to Default
(with Amiyatosh Purnanandam) Review of Financial Studies, June 2020.
https://doi.org/10.1093/rfs/hhz125

Shrinking the Cross-Section [Online Appendix]
(with Serhiy Kozak and Shrihari Santosh) Journal of Financial Economics, February 2020.
https://doi.org/10.1016/j.jfineco.2019.06.008
Winner of the Fama/DFA prize for the best paper (asset pricing) in the JFE in 2020

Socioeconomic Status and Macroeconomic Expectations
(with Sreyoshi Das and Camelia Kuhnen) Review of Financial Studies, January 2020.
https://doi.org/10.1093/rfs/hhz041

Interpreting Factor Models
(with Serhiy Kozak and Shrihari Santosh), Journal of Finance, June 2018.
https://doi.org/10.1111/jofi.12612

ECB Policies Involving Government Bond Purchases: Impacts and Channels
(with Arvind Krishnamurthy and Annette Vissing-Jorgensen), Review of Finance, February 2018.
https://doi.org/10.1093/rof/rfx053

The Liquidity Premium of Near-Money Assets   [Online Appendix]   [Erratum]
Quarterly Journal of Economics, November 2016.
https://doi.org/10.1093/qje/qjw028

Risk-Adjusting the Returns to Venture Capital   [Online Appendix]
(with Arthur Korteweg) Journal of Finance, June 2016.
https://doi.org/10.1111/jofi.12390

Learning from Inflation Experiences   [Online Appendix]
(with Ulrike Malmendier) Quarterly Journal of Economics, February 2016.
https://doi.org/10.1093/qje/qjv037

Sizing Up Repo
(with Arvind Krishnamurthy and Dmitry Orlov), Journal of Finance, December 2014.
https://doi.org/10.1111/jofi.12168

Empirical Cross-Sectional Asset Pricing
Annual Review of Financial Economics, November 2013.
https://doi.org/10.1146/annurev-financial-110112-121009

Evaporating Liquidity   [Online Appendix] 
Review of Financial Studies, July 2012.
https://doi.org/10.1093/rfs/hhs066

Estimation and Evaluation of Conditional Asset Pricing Models   [Online Appendix]
(with Ken Singleton), Journal of Finance, June 2011.
https://doi.org/10.1111/j.1540-6261.2011.01654.x

Depression Babies: Do Macroeconomic Experiences Affect Risk-Taking
[Online Appendix] 
(with Ulrike Malmendier) Quarterly Journal of Economics, February 2011.
https://doi.org/10.1093/qje/qjq004
[Economist]   [Financial Times]  [New York Times]

A Skeptical Appraisal of Asset Pricing Tests
(with Jon Lewellen and Jay Shanken), Journal of Financial Economics, May 2010.
https://doi.org/10.1016/j.jfineco.2009.09.001
Winner of the Fama/DFA prize (second prize) for the best paper (asset pricing) in the JFE in 2010

Inexperienced Investors and Bubbles
(with Robin Greenwood), Journal of Financial Economics, August 2009.
https://doi.org/10.1016/j.jfineco.2008.08.004
[New York Times]

Carry Trades and Currency Crashes
(with Markus Brunnermeier and Lasse Pedersen), NBER Macroeconomics Annual 2008.
https://doi.org/10.1086/593088

Do Wealth Fluctuations Generate Time-Varying Risk Aversion? Micro-Evidence on Individuals’ Asset Allocation
(with Markus Brunnermeier), American Economic Review, June 2008.
https://doi.org/10.1257/aer.98.3.713

The Effect of Dividends on Consumption
(with Malcolm Baker and Jeffrey Wurgler), Brookings Papers on Economic Activity, Spring 2007.

The Conditional CAPM Does Not Explain Asset Pricing Anomalies
(with Jon Lewellen), Journal of Financial Economics, November 2006.
https://doi.org/10.1016/j.jfineco.2005.05.012
Winner of the Fama/DFA prize for the best paper (asset pricing) in the JFE in 2006

Short Sales, Institutional Investors, and the Cross-Section of Stock Returns
Journal of Financial Economics, November 2005.
https://doi.org/10.1016/j.jfineco.2004.08.008

Hedge Funds and the Technology Bubble
(with Markus Brunnermeier), Journal of Finance, October 2004.
https://doi.org/10.1111/j.1540-6261.2004.00690.x
Winner of the Smith-Breeden Prize for the best paper in the JF 2004
[New York Times]   [Die Zeit]

Capturing the Value Premium in the UK
(with Elroy Dimson and Garrett Quigley), Financial Analysts Journal, Nov/Dec 2003.
https://doi.org/10.2469/faj.v59.n6.2573

Published Comments

Long-Run Inflation Uncertainty 
International Journal of Central Banking, September 2016.

Comments on “Shifting Confidence in Home Ownership: The Great Recession” by Anat Bracha and Julian C. Jamison
B.E. Journal of Macroeconomics, October 2012.

Book Chapters

Seeking Out Investment Value in Styles
(with Elroy Dimson) in: Mastering Investment, FT Pitman Publishing, 2002, and Financial Times, March 2001.

Permanent Working Papers

Interpreting Repo Statistics in the Flow of Funds Accounts
(with Arvind Krishnamurthy) May 2013.
Update 7/1/2014: In part in response to our note, the Federal Reserve Board has now changed its Flow of Funds calculations

Macroeconomic Experiences and Expectations
prepared for the Academic Consultants Meeting at the Federal Reserve Board, May 2012.