Working Papers

  • Accounting for the Anomaly Zoo: a Trading Cost Perspective

    - with Mihail Velikov

    Paper (ssrn)
      [June 2018], Cite (Bibtex),

    Anomalies are not anomalous after accounting for trading costs.  The average anomaly has negative returns net of costs, and even the best anomalies have tiny net returns after publication.  Here are the trading costs for 120 anomalies:

  • Publication Bias and the Cross-Section of Stock Returns

    - with Tom Zimmermann

    Presented at AFA 2018

    Paper (ssrn)  [May 2018], Slides, Cite (Bibtex), Data: Returns of 156 Published Predictors
    Media coverage: Bloomberg

    Publication bias among anomalies is surprisingly small, accounting for a modest 12% of the typical in-sample return.   This small bias comes from estimating a model of biased publication on replications of 156 cross-sectional stock return predictors. 

  • A Likelihood-Based Comparison of Macro Asset Pricing Models

    - with Fabian Winkler and Rebecca Wasyk

  • Paper (ssrn)  [June 2018], Cite (Bibtex), Code

    We horse-race long run risks, habit, and a residual in a Bayesian framework.  The price-dividend ratio is 75% residual, but stock returns are 75% long run risks.

  • An Irrelevance Theorem for Risk Aversion and Time-Varying Risk

    - with Francisco Palomino

    Paper (ssrn)  [July 2018]

    We prove a theorem that helps explain why decades of advances in risk modeling have had relatively little effect on either asset prices or business cycles in neoclassical models.

Permanent Working Papers

  • Semi-Parametric Restrictions on Production-Based Asset Pricing Models

    Paper (ssrn)  [April 2016]  Slides

    Matching the data on asset prices requires either extremely volatile IST shocks or huge capital adjustment costs.  Those parameters imply a very low EIS.  These restrictions apply regardless of many other details of the model. 

    The best parts of this paper are extended and featured in "An Irrelevance Theorem for Risk Aversion and Time-Varying Risk" with Francisco Palomino.