Bank Risk Dynamics and Distance to Default
(with Amiyatosh Purnanandam) coming soon.
(with Serhiy Kozak and Shrihari Santosh), December 2014.
(with Arvind Krishnamurthy and Annette Vissing-Jorgensen) revised August 2014.
revised September 2014.
(with Arthur Korteweg) revised March 2014.
(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
prepared for the Academic Consultants Meeting at the Federal Reserve Board, May 2012.
Published and forthcoming
(with Ulrike Malmendier), Quarterly Journal of Economics, conditionally accepted.
(with Arvind Krishnamurthy and Dmitry Orlov), Journal of Finance, forthcoming.
Annual Review of Financial Economics, November 2013.
Review of Financial Studies, July 2012.
(with Ken Singleton), Journal of Finance, June 2011.
(with Ulrike Malmendier), Quarterly Journal of Economics, February 2011.
A Skeptical Appraisal of Asset Pricing Tests (with Jonathan 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
Inexperienced Investors and Bubbles (with Robin Greenwood)
Journal of Financial Economics, August 2009.
Carry Trades and Currency Crashes (with Markus Brunnermeier and Lasse Pedersen),
NBER Macroeconomics Annual 2008.
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 Jonathan Lewellen),
Journal of Financial Economics, November 2006.
Winner of the Fama/DFA prize for the best paper (asset pricing) in the JFE in 2006
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 Journal of Finance 2004
Capturing the Value Premium in the UK (with Elroy Dimson and Garrett Quigley)
Financial Analysts Journal, Nov/Dec 2003. [link to data]
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)
Mastering Investment, FT Pitman Publishing, 2002, and Financial Times, March 2001.
Older unpublished papers
revised August 2005.