Research
Long-Horizon Risk and Retirement Saving
Tax Uncertainty and Retirement Savings Diversification (with David C. Brown and Michael S. O'Doherty)
Journal of Financial Economics, 2017
Winner of the 2018 TIAA Paul A. Samuelson Award for Outstanding Scholarly Writing on Lifelong Financial Security
Both Roth and traditional retirement accounts have benefits for most investors, so most of us should diversify our retirement savings across the two.
Are Stocks Riskier over the Long Run? Taking Cues from Economic Theory (with Doron Avramov and Katarina Lucivjanska)
Review of Financial Studies, 2018
Stock market investments could appear safer or riskier over long horizons depending on your view of whether price fluctuations are driven by cash flows or discount rates.
Stocks for the Long Run? Evidence from a Broad Sample of Developed Markets (with Aizhan Anarkulova and Michael S. O'Doherty)
Journal of Financial Economics, 2022
Finalist for the 2022 TIAA Paul A. Samuelson Award for Outstanding Scholarly Writing on Lifelong Financial Security
We estimate that a diversified stock market investor has a 12% chance of losing relative to inflation even with a long 30-year horizon.
The Safe Withdrawal Rate: Evidence from a Broad Sample of Developed Markets (with Aizhan Anarkulova, Michael S. O'Doherty, and Richard Sias)
Forthcoming in Journal of Pension Economics and Finance
We estimate safe rates of retirement savings drawdowns using a broad sample of asset returns and find that safe withdrawal rates are low compared with US estimates.
Long-Horizon Losses in Stocks, Bonds, and Bills (with Aizhan Anarkulova and Michael S. O'Doherty)
We systematically examine long-term periods with losses in domestic stocks, international stocks, bonds, and bills relative to inflation.
Beyond the Status Quo: A Critical Assessment of Lifecycle Investment Advice (with Aizhan Anarkulova and Michael S. O'Doherty)
Carefully modeling long-term returns and learning from a large historical sample turns conventional wisdom on its head; an all-equity strategy is safest for lifecycle saving.
Stock Return Predictability
Asset-Pricing Anomalies at the Firm Level (with Michael S. O'Doherty)
Journal of Econometrics, 2015
We develop a new approach for considering multiple anomalies and show, among other things, that anomalies tend to weaken post publication.
Does It Pay to Bet Against Beta? On the Conditional Performance of the Beta Anomaly (with Michael S. O'Doherty)
Journal of Finance, 2016
The beta anomaly is fully explained by the conditional CAPM; high-beta stocks do not underperform relative to low-beta stocks.
On the Performance of Volatility-Managed Portfolios (with Michael S. O'Doherty, Feifei Wang, and Xuemin (Sterling) Yan)
Journal of Financial Economics, 2020
The benefits of volatility-managed portfolios, which scale down (up) investments when risk is high (low), are difficult to capture for real-time investors.
Is 'Not Trading' Informative? Evidence from Corporate Insiders’ Portfolios (with Luke DeVault and Kainan Wang)
Financial Analysts Journal, 2022
Even liquidity-motivated insider sales are informative if the insiders strategically sell one of multiple inside positions, and investors could profit from these signals.
On the Economic Value of Stock Market Return Predictors (with Travis L. Johnson and Michael S. O'Doherty)
Review of Finance, 2023
Considering time-varying volatility and multi-period horizons is critical for both in-sample and out-of-sample evidence on stock market return predictability.
Taming the Estimation of Cash-Flow and Discount-Rate News (with Aizhan Anarkulova and Yi Zhou)
Draft available upon request
We stabilize VAR estimation of cash-flow and discount-rate news with model forecast combinations; we show remarkably strong return and cash flow predictability.
Fund Performance and Behavior
Conditional Benchmarks and Predictors of Mutual Fund Performance (with Michael S. O'Doherty, N. E. Savin, and Ashish Tiwari)
Critical Finance Review, 2018
Popular predictors of mutual fund performance do not survive when we account for the time variation in strategy betas.
Dominated ETFs (with David C. Brown and Mitch Towner)
Forthcoming in Critical Finance Review
A large number of ETFs that are more expensive and less liquid than highly correlated competitors survive and thrive, with a large cost to investors.
Discretionary NAVs (with Neal Stoughton)
Mutual fund holdings of private firms give the funds discretion over the valuation of these positions and the reported daily net asset value of the fund.
Intertemporal Risk
Pricing Intertemporal Risk when Investment Opportunities are Unobservable
Journal of Financial and Quantitative Analysis, 2019
Intertemporal risk is priced in the cross section under specific sets of prior beliefs that market expected returns vary substantially and future cash flows are important to valuation.
Understanding the Risk-Return Relation: The Aggregate Wealth Proxy Actually Matters (with Michael S. O'Doherty)
Journal of Business and Economic Statistics, 2019
Traditional tests of the risk-return relation implied by the Intertemporal CAPM have large biases because proxying for aggregate wealth with the stock market is not innocuous.