Working Papers

  • Accounting for the Anomaly Zoo: a Trading Cost Perspective

    - with Mihail Velikov

    Paper (ssrn)
      Cite (Bibtex)

    Post-publication and net of trading costs, stock market anomalies offer tiny net returns.  Thus, the average investor should expect tiny net returns from trading on the average anomaly.


  • Publication Bias and the Cross-Section of Stock Returns

    - with Tom Zimmermann

    Presented at AFA 2018


    Paper (ssrn)Slides, Cite (Bibtex), Data: Returns of 156 Published Predictors
    Media coverage: Bloomberg

    Publication bias among anomalies is surprisingly small, accounting for a modest 12% of the typical in-sample return.   This small bias comes from estimating a model of biased publication on replications of 156 cross-sectional stock return predictors. 

  • Do t-stat Hurdles Need to be Raised? Direct Estimates of False Discoveries in the Cross-Section of Stock Returns

    Paper (ssrn), Cite (Bibtex),

    To be presented at WFA 2019

    t-hurdles that control the FDR at 1% or 5% are very poorly identified.  Models that imply that t-hurdles should be raised or lowered are observationally equivalent.  In contrast, the FDR among published predictors and bias adjustments for expected returns are robust and small.

  • The Limits of Data Mining: a Thought Experiment

    Paper (ssrn)

    Media Coverage: Marginal Revolution

    Suppose asset pricing factors are just noise. How much data mining would be required to generate the literature? I find it would take 10,000 academics 15 million years of full-time data mining.

  • Full-Information Examinations of Long-Run Risks and Habit

    - with Fabian Winkler and Rebecca Wasyk

  • Paper (ssrn), Cite (Bibtex), Code

    We horse-race long run risks, habit, and a residual in a Bayesian framework.  The price-dividend ratio is 75% residual, but stock returns are 75% long run risks.



  • An Irrelevance Theorem for Risk Aversion and Time-Varying Risk

    - with Francisco Palomino

    Paper (ssrn)

    We prove a theorem that helps explain why decades of advances in risk modeling have had relatively little effect on either asset prices or business cycles in neoclassical models.

Permanent Working Papers

  • Semi-Parametric Restrictions on Production-Based Asset Pricing Models

    Paper (ssrn)   Slides

    Matching the data on asset prices requires either extremely volatile IST shocks or huge capital adjustment costs.  Those parameters imply a very low EIS.  These restrictions apply regardless of many other details of the model. 

    The best parts of this paper are extended and featured in "An Irrelevance Theorem for Risk Aversion and Time-Varying Risk" with Francisco Palomino.