Working Papers

Most claimed statistical findings in cross-sectional return predictability are likely true

    • I show this using non- and semi-parametric FDR estimators that are verified in cluster-bootstrapped simulations.

    • Paper (October 2021), SSRN, Code

Do t-stat Hurdles Need to be Raised?

An Irrelevance Theorem for Risk Aversion and Time-Varying Risk (with Francisco Palomino)

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.

    • Paper (ssrn)

    • 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.