Published research

14.  Birds of a Feather - Do Hedge Fund Managers Flock Together? with M. Gerritzen and J. Jackwerth
Management Science, 2024, Vol. 70, No. 5, 2976-2998 

13.  Dissecting the yield curve: The international evidence with A. Berardi
Journal of Banking and Finance, 2022, Vol. 134, 106286

12.  Mind the (Convergence) Gap: Bond Predictability Strikes Back!  with A. Berardi, M. Markovich, and A. Tamoni
Management Science, 2021, Vol. 67, No. 12, 7888–7911

• • Online Appendix

  • CPG factor data

11.  What Constrains Liquidity Provision? Evidence From Institutional Trades  with E. Cotelioglu and F. Franzoni
Review of Finance, 2021, Vol 25:2, 485–517 

• • Online Appendix

10.  Equity is Cheap for Large Financial Institutions  with P. Gandhi and H. Lustig
Review of Financial Studies, 2020, Vol 33:9, 4231–4271 

9.  Direct versus Iterated Multi-Period Volatility Forecasts  with E. Ghysels, R. Valkanov, A. Rubia, and A. Dossani
Annual Review of Financial Economics, 2019, Vol. 11, 173-195

8.  Financial Market Misconduct and Public Enforcement: The Case of Libor Manipulation  with P. Gandhi, B. Golez, and J. Jackwerth
Management Science, 2019, Vol. 65:11,  5268–5289

• • Online Appendix

7.  Inflation Risk Premia, Yield Volatility, and Macro Factors  with A. Berardi
Journal of Financial Econometrics, 2019, Vol. 17:3, 397–431 

6.  Why Invest in Emerging Markets? The Role of Conditional Return Asymmetry  with E. Ghysels and R. Valkanov
Journal of Finance, 2016, Vol. 71:5, 2145-2192 

• • Online Appendix

5.  Forecasting Real Estate Prices  with E. Ghysels, W. Torous, and R. Valkanov
Handbook of Economic Forecasting: Vol II, G. Elliott and A. Timmermann (eds.), Elsevier, 2013

• Files to replicate Tables 1 to 4

4.  Exploiting property characteristics in commercial real estate portfolio allocation  with W. Torous and R. Valkanov
Journal of Portfolio Management, 2012, Vol. 35:5, 39-50

3.  Expected Returns and Expected Growth in Rents of Commercial Real Estate  with W. Torous and R. Valkanov
Review of Financial Studies, 2010, Vol. 23:9, 3469-3519

2.  The Cross-Sectional Dispersion of Commercial Real Estate Returns and Rent Growth: Time Variation and Economic Fluctuations
with W. Torous and R. Valkanov
Real Estate Economics, 2008, Vol.36:3, 403-439

1.  Valuation in the U.S. Commercial Real Estate  with E. Ghysels and R. Valkanov
European Financial Management, 2007, Vol.13:3, 472-497