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
Real-time Discovery of Return-Based Anomalies
(with Benjamin Marrow), coming soon.
Stock Market Valuation: Explanations, Non-Explanations, and Some Open Questions
Comments given at NBER SI Asset Pricing Meeting, July 2024.
Interest Rate Risk in Banking
(with Peter DeMarzo and Arvind Krishnamurthy), June 2024.
Movements in Yields, not the Equity Premium: Bernanke-Kuttner Redux
(with Zhengyang Xu), revised June 2024.
Leaning against Inflation Experiences
March 2024.
When do Cross-Sectional Asset Pricing Factors Span the Stochastic Discount Factor?
(with Serhiy Kozak), revised May 2024.
The Statistical Limit of Arbitrage
(with Rui Da and Dacheng Xiu), July 2022.
Inflation Hedging on Main Street? Evidence from Retail TIPS Fund Flows
(with Zhen Yan), revised March 2023.
Judging Banks’ Risk by the Profits They Report
(with Ben Meiselman and Amiyatosh Purnanandam), revised July 2023.
Published and Forthcoming
Risk-adjusted Returns of Private Equity Funds: A New Approach
(with Arthur Kortweg), forthcoming in the Review of Financial Studies.
Dynamics of Subjective Risk Premia
(with Zhengyang Xu) Journal of Financial Economics, November 2023.
Winner of the European Finance Association Meeting best paper award 2022
https://doi.org/10.1016/j.jfineco.2023.103713
Expectations Data in Asset Pricing
(with Klaus Adam) Handbook of Economic Expectations, November 2022, Chapter 16.
https://doi.org/10.1016/B978-0-12-822927-9.00024-0
Market Efficiency in the Age of Big Data
(with Ian Martin) Journal of Financial Economics, July 2022.
https://doi.org/10.1016/j.jfineco.2021.10.006
Asset Pricing with Fading Memory
(with Zhengyang Xu) Review of Financial Studies, May 2022.
https://doi.org/10.1093/rfs/hhab086
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
Comments on “Learning from Potentially-Biased Statistics” by A. Cavallo, G. Cruces, and R. Perez-Truglia
Brookings Panel on Economic Activity Spring 2016
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.