Do t-stat Hurdles Need to be Raised?
Publication bias implies that multiple-testing-adjusted t-hurdles are not informative.
Presented at WFA 2019
An Irrelevance Theorem for Risk Aversion and Time-Varying Risk (with Francisco Palomino)
A general theorem explains why modern theories of risk tell us little about business cycles.
Permanent Working Papers
Semi-Parametric Restrictions on Production-Based Asset Pricing Models
Matching the data on asset prices requires either extremely volatile IST shocks or huge capital adjustment costs.
The best parts of this paper are extended and can be found in "An Irrelevance Theorem for Risk Aversion and Time-Varying Risk" with Francisco Palomino.