TSX Venture Exchange Professor of Finance
Publications
"Incomplete Information, Debt Issuance, and the Term Structure of Credit Spreads," 2023, with Luca Benzoni and Robert S. Goldstein, Management Science, Vol. 69, No. 7, pp. 4331–-4352.
"Debt Dynamics with Fixed Issuance Costs," 2022, with Luca Benzoni, Robert S. Goldstein, and Chao Ying, Journal of Financial Economics, Vol 146, pp. 385-402. Online Appendix by Julien Hugonnier. Winner of the Best Paper Award in Corporate Finance at the NFA 2020
"Group-Managed Real Options," 2021, with Ron Giammarino and Ali Lazrak, Review of Financial Studies, Vol. 35 (9), pp, 4105-4151. Winner of the Best Paper Award at the ASU Sonoram Winter Conference, 2019
"Monetary Policy and Reaching for Income", 2021, with Kent Daniel and Kairong Xiao, Journal of Finance, Vol. 76, No 3, pp. 1145-1193.
Dimensional Fund Advisors Distinguished Paper Award at the Journal of Finance (2021).
Winner of the Summer Haven Investment Management Prize for Best Paper at the Wharton--Rodney L. White Center 2019 conference.
Featured in March 2019 NBER Digest, "Retail Investors Reach for Income when Interest Rates Fall".
"Corporate Innovation and Returns," 2020, with Jan Bena, Review of Corporate Finance Studies, Vol. 9, No 2, pp. 340-383
"Investment Shocks and Asset Prices: a New Approach Based on Investment Data", 2020, with Zhongzhi Song, Journal of Financial and Quantitative Analysis, Vol. 55, No 8, pp. 2665-2699.
"Does Climate Change Affect Real Estate Prices? Only If You Believe in it", 2020, with Markus Baldauf and Constantine Yannelis, Review of Financial Studies, Vol. 33, No. 3, pp. 1256 – 1295.
"Capital Utilization, Market Power, and the Pricing of Investment Shocks", 2017, with Zhongzhi Song, Journal of Financial Economics, Vol. 125, No. 3, pp. 447-470.
"Ambiguity and the Corporation: Group Disagreement and Underinvestment", 2017, with Ron Giammarino and Ali Lazrak, Journal of Financial Economics, Vol. 125, No. 3, pp. 417-433.
"Can Investment Shocks Explain the Cross-Section of Equity Returns?", 2016, with Zhongzhi Song, Management Science, Vol. 63, No. 11, pp. 3829-3848.
"Heterogeneous Innovation, Firm Creation and Destruction, and Asset Prices," with Jan Bena and Patrick Gruning. Review of Asset Pricing Studies, Vol. 6, No. 1, 2016, pp. 46-87.
"Keynes Meets Markowitz: The Trade-off Between Familiarity and Diversification," with Phelim Boyle, Raman Uppal and Tan Wang. Management Science, Vol. 58, No. 2, 2012, pp. 253-272.
"Taylor Series Approximations to Expected Utility and Optimal Portfolio Choice," with Georgios Skoulakis. Mathematics and Financial Economics, Vol. 5, No. 2, 2011, pp. 121-156.
"Financial Distress and the Cross-Section of Equity Returns," with Hong Yan. Journal of Finance, Vol. LXVI, No. 3, June 2011. Winner of the 2010 Crowell Memorial Prize (second prize), Panagora Asset Management. Internet Appendix
"Solving Consumption and Portfolio Choice Problems: The State Variable Decomposition Method," with Georgios Skoulakis. Review of Financial Studies, Vol. 23, 2010, pp. 3346-3400.
"Asset Allocation and Portfolio Performance: Evidence from University Endowment Funds," with Keith C. Brown and Cristian-Ioan Tiu. Journal of Financial Markets, Vol. 13, 2010, pp. 268-294.
"A Generalized Approach to Portfolio Optimization: Improving Performance By Constraining Portfolio Norms,'' with Victor DeMiguel, Javier Nogales and Raman Uppal. Management Science, Vol. 55, No. 5, May 2009, pp. 798-812. Appendix.
"Numerical Solutions to Dynamic Portfolio Problems: The Case for Value Function Iteration Using Polynomial Approximations", with Georgios Skoulakis. Computational Economics, Vol. 33, Issue 2, 2009, pp. 193-207.
"Optimal versus Naive Diversification: How Inefficient Is the 1/N Portfolio Strategy?," with Victor DeMiguel and Raman Uppal. The Review of Financial Studies, Vol. 22, No. 5, May 2009, pp. 1915--1953. Best Paper Award at the 2005 seminars of INQUIRE-UK. Robustness Check Appendix, Data and MATLAB replication Code
"Default Risk, Shareholder Advantage and Stock Returns," with Tao Shu and Hong Yan. The Review of Financial Studies, Vol. 21, No. 6, November 2008, pp. 2743-2778.
"Public Sector Science and the `Strategy of the Commons'," with Ajay K. Agrawal. Economics of Innovation and New Technology, Vol. 16, No. 7, October 2007, pp. 517-539.
"Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach," with Raman Uppal and Tan Wang. The Review of Financial Studies, Vol. 20, No. 1, January 2007, pp. 41-81.Best Paper Award at the 2003 seminars of INQUIRE-UK.
"Are Stocks Desirable in Tax-Deferred Accounts?," with Jennifer Huang, Journal of Public Economics, Vol. 90, No. 12, December 2006, pp. 2257-2283.
"Risk Premia and Preemption in R&D Ventures," Journal of Financial and Quantitative Analysis, Vol. 39, No.4, December 2004, pp. 843-872.
"Public Sector Science and the `Strategy of the Commons'," (Abridged), with Ajay K. Agrawal. Best Paper Proceedings, Academy of Management, Business Policy and Strategy Division, 2002.
"Equilibrium with Endogenous Technological Changes: Theory and Applications," Decisions in Economics and Finance, Vol. 19, No. 1-2, March 1996.
"Linear Operators and Coherent Probabilities," with Gabriele Gurioli. Conference Proceedings of the XIX A.M.A.S.E.S. Meeting, (1995).
Working Papers
"How Effective are Portfolio Mandates?," 2023, with Jack Favilukis and Raman Uppal
"Responsible Consumption, Demand Elasticity, and the Green Premium," 2023, with Xuhui Chen and Ali Lazrak
"Conservative Holdings, Aggressive Trades: Ambiguity, Learning, and Equilibrium Flows," 2023, with Thomas Dangl and Alex Weissensteiner
"Profiting from Real Estate: So Easy a Congressman Can Do It," 2022, with Markus Baldauf, Jack Favilukis, and Keling Zheng
"The Carry Trade and Uncovered Interest Parity when Markets are Incomplete", 2017, with Jack Favilukis