Research

I do research on asset pricing. In particular, most of my research uses structural models to examine asset markets in general equilibrium and optimal dynamic portfolio choice. Here is a list of my working papers and published research, including links to the full copies of the papers. You can find my Google Scholar page here.

Working Papers

1. “Activism and Indexing in Equilibrium,” (Joint with Steven Baker and Michael Gallmeyer), Working Paper, December 2022 (Under Review).

2. “Household Responses to Social Security Policy Risk,” (Joint with Michael Gallmeyer and Chunyu (Ben) Yang), January 2022 (Under revision for resubmission).

3. “Asset Management and the Microeconomics of Empirical Risk Factors,” (Joint with Michael Gallmeyer) [work-in-progress].

Published Articles

1. “Aggregate Tail Risk and Expected Returns,” (Joint with Michael Gallmeyer and J. Spencer Martin), Review of Asset Pricing Studies 8(1) (2018), pages 36-76.

2. “Linear Approximations and Tests of Conditional Pricing Models,” (Joint with Michael Brandt), Review of Finance 22(2) (2018), pages 455-489.

3. “Specification Error, Estimation Risk, and Conditional Portfolio Rules,” (Joint with Murray Carlson, Ron Kaniel, and Hong Yan), International Review of Finance, 17(2) (2017), pages 263-288.

4. “Asset Return Predictability in a Heterogeneous Agent Equilibrium Model,” (Joint with Murray Carlson, Ron Kaniel, and Hong Yan), Quarterly Journal of Finance, 5(2) (2015), pages 125-170.

5. “Risk Attitudes Toward Small and Large Bets in the Presence of Background Risk,” (Joint with Valery Polkovnichenko), Review of Finance, 15 (2011), pages 909-927.

6. “First-Order Risk Aversion, Heterogeneity, and Asset Market Outcomes,” (Joint with Valery Polkovnichenko), Journal of Finance, 64(4) (2009), pages 1863-1887.

7. “Why Constrain Your Mutual Fund Manager?” (Joint with Andres Almazan, Keith C. Brown and Murray Carlson), Journal of Financial Economics, 73(2) (2004), pages 289-321.

8. “Does Intrinsic Habit Formation Actually Resolve the Equity Premium Puzzle?” Review of Economic Dynamics, 5 (2002), pages 618-645.

9. “Recent Advances in Estimating Term-Structure Models,” (Joint with Neil Pearson), Financial Analysts Journal, 57(4) (2001), pages 77-95.

10. “Is the Short Rate Drift Actually Nonlinear?” (with Neil D. Pearson), Journal of Finance 55(1) (2000), pages 355-388. Reprinted in Model Risk, published by Risk Books, May 2000.

11. “Using Proxies for the Short-Rate: When are Three Months Like an Instant?” (with John B. Long, Jr. and Neil D. Pearson), Review of Financial Studies, 12(4) (1999), pages 763-806.

12. “Habit Formation and Aggregate Consumption,” Econometrica, 66(5) (1998), pages 1223-1230.

13. “Approximating the Asset Pricing Kernel,” Journal of Finance, 52 (1997), pages 1383-1410.

14. “The Cyclical Properties of Consumption Growth and the Real Term Structure,” Journal of Monetary Economics, 39 (1997), pages 145-172.

15. “Cotrending and the Stationarity of the Real Interest Rate,” (with Masao Ogaki) Economic Letters, 42 (1993), pages 133-138.

Published Book Chapters

1. “Affine Term Structure Models,” (with Michael W. Brandt) in The New Palgrave Dictionary of Economics, 2nd Edition, (edited by Steven Durlauf and Lawrence Blume). Palgrave-MacMillan, 2006.

2. “The Copula,” in Modern Risk Management: A History. Risk Books, July 2003.