Research

Publications

  • A General Equilibrium Model of the Value Premium with Time-Varying Risk Premia

    Review of Asset Pricing Studies, Forthcoming

    Paper (ssrn)  [October 2017]  Slides Code

    A general equilibrium production model replicates moments of the equity premium and value premium.  Value firms
    are low productivity firms that will eventually experience normal cash flow.  This cash flow pattern makes them more exposed to discount rate shocks, and thus more risky. 

Working Papers

  • Publication Bias and the Cross-Section of Stock Returns

    - with Tom Zimmermann

    To be presented at AFA 2018


    Paper (ssrn)  [September 2017], Cite (Bibtex), Data for Quintile Sorts of 174 Published Predictors

    Data mining bias among published anomalies is surprisingly small, accounting for a modest 13% of the typical in-sample return.   This small bias comes from estimating a model of biased publication on replications of 172 cross-sectional stock return predictors.  Our results imply that the zoo of anomalies was real at the time of publication, and that mispricing played a key role.


  • A Likelihood-Based Comparison of Macro Asset Pricing Models

    - with Rebecca Wasyk and Fabian Winkler

  • Paper (ssrn)  [April 2017], Cite (Bibtex)

    We Bayesian-estimate a model where price/dividends depend on long run risks, habit, and a persistent residual.  The residual is dominant, showing that something other than long run risks and habit is the primary driver of market volatility. 




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

    Paper (ssrn)  [April 2016]  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. 


Older Non-Finance / Non-Econ Publications

  • Chen, A., Leikina, E., Melikov, K., Podbilewicz, B., Kozlov, M.M., and Chernomordik, L.V. Fusion-pore expansion during syncytium formation is restricted by an actin network. Journal of Cell Science. 121, 3619-3628 (2008).
  • Leikina, E., Delanoe-Ayari, H., Melikov, K., Cho, M., Chen, A., Waring, A.J., Wang, W., Xie, Y., Loo, J.A., Lehrer, R.I., and Chernomordik, L.V. Carbohydrate-binding molecules inhibit viral fusion and entry by crosslinking membrane glycoproteins. Nature Immunology. 6, 995-1001(2005).