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.
"Does it pay to bet against beta? On the conditional performance of the beta anomaly," with Michael S. O'Doherty, Journal of Finance, Vol. 71, No. 2, 2016, 737-774.
"Conditional benchmarks and the identification of skill in active management," with Michael S. O'Doherty, N. E. Savin, and Ashish Tiwari, working paper.
"Are stocks riskier over the long run? Taking cues from economic theory," with Doron Avramov and Katarina Lucivjanska, working paper.
"Uncertainty and the pricing of intertemporal risk," working paper.
"Understanding the risk-return relation: The aggregate wealth proxy actually matters," with Michael S. O'Doherty, working paper.