Working Papers
Understanding Negative Risk-Return Trade-offs (Job Market Paper, March 2024) Presentation Slides
Conferences: FMA/CBOE Conference on Derivatives and Volatility 2023, MFA 2023, Finance Down Under 2023, Chinese Finance Annual Meeting 2022, FMA 2022, Econometric Society Asian Meeting 2022
Volatility-Managed Volatility Trading (March 2024)
Abstract: We study how long-run investors can best harvest VRPs. We show that a volatility-managed portfolio, which reduces selling of volatility assets during periods of heightened volatility, considerably enhances long-run performance relative to constant-weight portfolios.
Commodity Prices, Discount Rates, and Expected Dividend Growth (Nov 2023)
Abstract: We estimate a state-space model to analyze the "omitted variable bias" in time-series return forecast studies. After accounting for the omitted variable bias introduced by expected dividend growth, gold's safe-haven nature emerges (i.e., gold price significantly positively predicts stock market returns).
Conferences: PHBS-CUHKSZ Economics/Finance Workshop, 7th Annual J.P. Morgan Center International Commodities Symposium
Work-In-Progress
Abstract: Loan borrowers outperform bond borrowers by 3% to 10% annually from 2002 to 2020 after controlling for conventional factors. Data is consistent with a production-based asset pricing model in which firms endogenously choose the type of debt to use. In equilibrium, riskier firms opt for loans.
ETF Rebalancing, Front-Running, and Intraday VIX Futures Prices, with Bjørn Eraker and Paul Whelan.
Abstract: Large VIX futures ETFs' leverage commitment exposes themselves to predatory trading. We model predatory trading and its intraday asset pricing implications in the VIX futures market.
Publications
The Price of Higher-Order Catastrophe Insurance: The Case of VIX Options, with Bjørn Eraker. Journal of Finance, 77 (6): 3289-3337, December 2022