Working Papers

Peer-reviewed theory does not help predict the cross-section of stock returns
(with Alejandro Lopez-Lira and Tom Zimmermann)

Publication Bias in Asset Pricing Research (with Tom Zimmermann)

    • This review was requested by the Oxford Research Encyclopedia of Economics and Finance

    • Paper (December 2022), Code

    • We review the evidence on publication bias in anomalies and clarify common misinterpretations ("insignificant findings" are not "false findings").

Missing Data and the Dimensionality of Expected Returns (with Jack McCoy)

Do t-stat Hurdles Need to be Raised?

    • No, not really, because (1) t-hurdles are not identified due to publication bias and (2) strongly identified statistics make asset pricing look pretty good.

    • Paper (Another major revision, April 2022), Code

    • Old Draft (February 2020), Old Code

      • This old draft modeled standard errors, which could in principle help with identification (Andrews and Kasy 2019). But because there are so few observations of insignificant t-stats it doesn't change the main results.

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

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.