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) July 2022.
Inflation Hedging on Main Street? Evidence from Retail TIPS Fund Flows
(with Zhen Yan) November 2022.
Dynamics of Subjective Risk Premia
(with Zhengyang Xu) February 2022.
Winner of the European Finance Association Meeting best paper award 2022
Risk-adjusted Returns of Private Equity Funds: A New Approach
(with Arthur Kortweg) July 2022.
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, July 2022.
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.
Treasury Inconvenience Yields During the COVID-19 Crisis [Online Appendix]
(with Zhiguo He and Zhaogang Song) Journal of Financial Economics, January 2022.
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.
Do Survey Expectations of Stock Returns Reflect Risk-Adjustments?
(with Klaus Adam and Dmitry Matveev) Journal of Monetary Economics, January 2021.
Shrinking the Cross-Section [Online Appendix]
(with Serhiy Kozak and Shrihari Santosh) Journal of Financial Economics, February 2020.
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.
ECB Policies Involving Government Bond Purchases: Impacts and Channels
(with Arvind Krishnamurthy and Annette Vissing-Jorgensen), Review of Finance, February 2018.
Empirical Cross-Sectional Asset Pricing
Annual Review of Financial Economics, November 2013.
Estimation and Evaluation of Conditional Asset Pricing Models [Online Appendix]
(with Ken Singleton), Journal of Finance, June 2011.
Depression Babies: Do Macroeconomic Experiences Affect Risk-Taking
(with Ulrike Malmendier) Quarterly Journal of Economics, February 2011.
[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.
Winner of the Fama/DFA prize (second prize) for the best paper (asset pricing) in the JFE in 2010
Do Wealth Fluctuations Generate Time-Varying Risk Aversion? Micro-Evidence on Individuals’ Asset Allocation
(with Markus Brunnermeier), American Economic Review, June 2008.
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.
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.
Hedge Funds and the Technology Bubble
(with Markus Brunnermeier), Journal of Finance, October 2004.
Winner of the Smith-Breeden Prize for the best paper in the JF 2004
[New York Times] [Die Zeit]
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.
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.