Areas of Expertise
- Asset Pricing (empirical and theoretical): factor models, cross-sectional anomalies, long-run risk, asset allocation, applied Bayesian econometrics
Publications and Working Papers
"Does it pay to bet against beta? On the conditional performance of the beta anomaly," with Michael S. O'Doherty, Journal of Finance, forthcoming.
"Asset-pricing anomalies at the firm level," with Michael S. O'Doherty, Journal of Econometrics, Vol. 186, No. 1, 2015, 113-128.
"Intertemporal Risk and the Cross Section of Expected Stock Returns," working paper.
"Cross-Sectional Asset Pricing Puzzles: An Equilibrium Perspective," with Doron Avramov and Satadru Hore, working paper.
"Asset-Pricing Anomalies at the Firm Level," with Phil Davies and Michael O'Doherty, working paper.
"Implications of Long-Run Risk for Asset Allocation Decisions," with Doron Avramov, working paper.