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?

• • Publication bias implies that multiple-testing-adjusted t-hurdles are not informative.

  • Paper, SSRN, Slides

  • Code for observationally equivalent parametrizations of Harvey, Liu, and Zhu's (2016) model with correlations (Matlab)

  • Code for main results (Matlab + Fortran / MEX)

  • 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.

  • Paper, SSRN

  • Matlab code for demonstrating irrelevance in models with investment frictions and gamma-distributed shocks

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.