Working Papers

Demand-Based Expected Returns

w/ Ale Crescini and Fabio Trojani

Skewness and Time-Varying Second Moments in A Nonlinear Production Network: Theory and Evidence

w/ Ian Dew-Becker 

Robustness and Dynamic Sentiment

w/ Pascal J. Maenhout and Hao Xing

Dollar and Carry Redux

w/ Sining Liu, Thomas A. Maurer and Yaoyuan Zhang

Sharpe Ratio Shrinkage

w/ Ngoc-Khanh Tran and Shixiang Xia