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
"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.