Working Papers
Do Variance Expectations Overreact? Evidence From the Cross-section of Stock Options, with Stefano Cassella and Michael Pho
Anomalies at any time in any place? Momentum, reversal and size around the world in the early twentieth century, with Fabio Braggion and Lyndon Moore, R&R Review of Asset Pricing Studies
The Implied Equity Term Structure, with Lieven Baele and Tomas Jankauskas
PI-CAPM: The Classical CAPM with Probability Weighting and Skewed Assets, with Sebastian Ebert and Joren Koëter, R&R Review of Financial Studies
Horizon effects in the pricing kernel: How investors price short-term versus long-term risks, with Joren Koëter and Ole Wilms
Who Is Afraid of Liquidity Risk? Dynamic Portfolio Choice with Stochastic Illiquidity, with Ran Xing
The Missing Piece of the Puzzle: Liquidity Premiums in Inflation-Indexed Markets, with Theo Nijman and Zorka Simon
Myopic or Dynamic Liquidity Management? A Study of Hedge Funds around the 2008 Financial Crisis, with Ran Xing
Beta: The Good, the Bad, and the Ugly, with Jeroen van Zundert
Explaining the Stock Market's Reaction to Unemployment News Over the Business Cycle, with Ivo Kuiper
Older work:
The Norwegian Government Pension Fund’s potential for capturing illiquidity premiums, with Frank de Jong (project for the Norwegian Ministry of Finance)
Option-Implied Correlations and the Price of Correlation Risk, with Pascal Maenhout and Grigory Vilkov
Hedging House Price Risk: Portfolio Choice with Housing Futures, with Frank de Jong and Otto van Hemert