Current working papers
“Analysts Are Good at Ranking Stocks” (with Adam Farago and Ming Zeng).
“Long-Run Stock Return Distributions: Empirical Inference and Uncertainty” (with Andreas Dzemski, Adam Farago and Tamás Kiss).
Selected publications
10. "Small Rebalanced Portfolios Often Beat the Market Over Long Horizons” (with Adam Farago). Review of Asset Pricing Studies, Vol. 13, No. 2, Jun. 2023, pp. 307–342. Internet Appendix.
9. “Long-run Predictability Tests are Even Worse than You Thought” (with Tamás Kiss). Journal of Applied Econometrics, Vol. 37, Nov. 2022, pp. 1334-1355. Internet Appendix.
8. "Long-Horizon Stock Returns Are Positively Skewed” (with Adam Farago). Review of Finance, Vol. 27, Mar. 2023, pp. 495-538. Internet Appendix.
7. “Dividend Growth Does Not Help Predict Returns Compared To Likelihood-Based Tests: An Anatomy of theDog” (with Tamás Kiss). Critical Finance Review, Vol. 10, No. 3, Aug. 2021, pp. 445-464.
6. “Stock price co-movement and the foundations of pairstrading” (with Adam Farago). Journal of Financial and Quantitative Analysis, Vol. 54, No. 2, Apr. 2019, pp. 629-665.
5. “Interactions among High-Frequency Traders” (with Evangelos Benos, James Brugler, and Filip Zikes). Journal of Financial and Quantitative Analysis, Vol. 52, No. 4, Aug. 2017, pp. 1375-1402.
4. “Rise of the Machines: Algorithmic Trading in theForeign Exchange Market” (with Alain Chaboud, Benjamin Chiquoine, and Clara Vega). Journal of Finance, Vol. 69, No. 5, October 2014, pp 2045-2084.
3. “New Methods for Inference in Long-Horizon Regressions”, Journal of Financial and Quantitative Analysis, Vol. 46, No. 3, June 2011, pp. 815-839.
2. “Predicting Global Stock Returns”, Journal of Financial and Quantitative Analysis, Vol. 45, No. 1, February 2010, pp. 49-80.
1. “What Drives Volatility Persistence in the Foreign Exchange Market?” (with David Berger and Alain Chaboud), Journal of Financial Economics, Vol. 94, No. 2, November 2009, pp. 192-213.
Other publications
21. “Understanding Wealth-Tax Rates: An Investor-Utility Mapping to Capital-Gains Taxes” (with Adam Farago and Tamás Kiss). European Financial Management, Forthcoming. Internet Appendix.
20. “Reproducibility in Management Science” (with Milos Fišar, Ben Greiner, Christoph Huber, Elena Katok, Ali I. Ozkes, and the Management Science Reproducibility Collaboration). Management Science,Vol. 70, No. 3, Mar. 2024, pp. 1343-1356. Note: Member of the Management Science Reproducibility Collaboration.
19. “Non-Standard Errors” (with 342 co-authors). Journal of Finance, Vol. 79, No. 3, Jun. 2024, pp. 2339-2390.
18. ”Inflation Illiteracy - A Micro-Data Analysis” (with Fredrik N. G. Andersson and Pär Österholm), Sveriges Riksbank Economic Review, No. 2, Dec. 2022, pp. 105-118.
17. “The evolution of price discovery in an electronic market” (with Alain Chaboud and Filip Zikes), Journal of Banking and Finance, Vol. 130, Sep. 2021, 106171.
16. “Anchoring in Surveys of Household Expectations” (with Pär Österholm). Economics Letters, Vol. 198, Jan. 2021, 109687. .
15. “Heterogeneity in Households’ Expectations of MortgageRates and Housing Prices – Evidence from Micro Data” (with Pär Österholm), Journal of Housing Economics, Vol. 50, Dec. 2020, 101731.
14. “A Micro-Data Analysis of Households’ Expectations ofMortgage Rates” (with Pär Österholm), Economics Letters, Vol. 185, Dec. 2019, 108693.
13. “Maximal predictability under long-term mean reversion”, Journal of Empirical Finance, Vol. 45, No. 1, Jan. 2018, pp. 269-282.
12. “Households’ mortgage-rate expectations – more realisticthan at first glance?” (with Pär Österholm), Sveriges Riksbank Economic Review, No. 2, Nov. 2017, pp. 56-63.
11. “Some curious power properties of long-horizon tests”, Finance Research Letters, Vol. 9, No. 2, June 2012, pp. 81-91.
10. “Characteristic-based mean-variance portfolio choice” (with Petar Manchev), Journal of Banking and Finance, Vol. 36, No. 5, May 2012, pp. 1392-1401.
9. “Portfolio Diversification Across Characteristics”, Journal of Investing, Vol. 20, No. 4, Winter 2011, pp. 84-88.
8. “Testing for Cointegration Using the JohansenMethodology when Variables are Near Integrated: Size Distortions and PartialRemedies” (with Pär Österholm), Empirical Economics, Vol. 39, No. 1, August 2010, pp. 51-76.
7. “Frequency of Observation and the Estimation of Integrated Volatility in Deep and Liquid Markets” (with Alain Chaboud, Benjamin Chiquoine, and Mico Loretan), Journal of Empirical Finance, Vol. 17, No. 2, March 2010, pp. 212-240.
6. “Jackknifing Stock Return Predictions” (with Benjamin Chiquoine), Journal of Empirical Finance, Vol. 16, No. 5, December 2009, pp. 793-803.
5. “Efficiency in Housing Markets: Which Home-Buyers KnowHow to Discount?” (with Randi Hjalmarsson), Journal of Banking and Finance, Vol. 33, No. 11, November 2009, pp. 2150-2163.
4. “Testing the expectations hypothesis when interest rates are near integrated” (with Meredith Beechey and Pär Österholm), Journal of Banking and Finance, Vol. 33, No. 5, May 2009, pp. 934-943.
3. “Interpreting long-horizon estimates in predictive regressions”, Finance Research Letters, Vol. 5, No. 2, June 2008, pp. 104-117.
2. “The Stambaugh bias in panel predictive regressions”, Finance Research Letters, Vol. 5, No. 1, March 2008, pp. 47-58.
1. “Fully modified estimation with nearly integrated regressors”, Finance Research Letters, Vol. 4, No. 2, June 2007, pp. 92-94.