Working Papers

Open Source Cross-Sectional Asset Pricing (with Tom Zimmermann)

    • Solicited by the Critical Finance Review

    • Paper, SSRN

    • We provide data and code that successfully reproduces nearly all cross-sectional stock return predictors. The data consists of 315 characteristics and 1,260 "anomaly" portfolios, and successfully replicates statistical significance for 98% of predictors.

    • Code and Data

The Limits of P-Hacking: Some Thought Experiments

    • R&R, Journal of Finance

    • Media Coverage: Marginal Revolution

    • Paper, SSRN

    • Code (Matlab)

    • Suppose asset pricing factors are just p-hacked noise. How much p-hacking would be required to generate the literature? I find it would take 10,000 academics hundreds of thousands of years of full-time data mining.

Zeroing in on the Expected Returns of Anomalies (with Mihail Velikov)

Do t-stat Hurdles Need to be Raised?

    • Presented at WFA 2019

    • Paper, SSRN, Slides

    • Code, Data

    • Multiple testing may cast doubt on stock market anomalies, but selective reporting implies that multiple testing adjustments may be weakly identified. In particular, corrected t-stat hurdles have huge standard errors.

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

    • Paper, SSRN

    • Why does risk teach us so little about business cycles or growth? We show this is due to a broad irrelevance theorem.

Work(s) in Progress

2 PCs Capture 70% of the Cross-Section of Expected Returns (with Jack McCoy and Fabian Winkler)

Permanent Working Papers

Semi-Parametric Restrictions on Production-Based Asset Pricing Models

    • Paper (ssrn)

    • 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.

Financing Concerns in April 2020 Appear Worse Than in 2008 Based on Earnings Calls (with Jie Yang)

    • Paper, SSRN

    • Media Coverage: Bloomberg, LA Times, Yahoo Finance

    • The share of firms discussing financing concerns spiked more than 6.5 standard deviations from the mean.

    • We just wanted to share this short analysis while it was especially relevant.