Research

Publications:

• "An Option to Predict: Why Do Implied Volatility Spreads Predict Stock Returns?," Journal of Financial and Quantitative Analysis, forthcoming 2022 (with Colin Campbell and Alex Petkovich)

• "Aggregate Tail Risk and Expected Returns," Review of Asset Pricing Studies, Volume 8, Issue 1, June 2018, p. 36-76 (with David Chapman and J. Spencer Martin)

• “Disagreement about Inflation and the Yield Curve,” Journal of Financial Economics, Vol. 127, Issue 3, March 2018, p. 459-484 (with Paul Ehling, Christian Heyerdahl-Larsen, and Philipp Illeditsch)

• “Portfolio Tax Trading with Carry Over Losses,” forthcoming at Management Science (with Paul Ehling, Sanjay Srivastava, Stathis Tompaidis, and Chunyu Yang)

• “Term Premium Dynamics and the Taylor Rule,” The Quarterly Review of Finance, Vol. 7, No. 4, 2017 (with Burton Hollifield, Francisco Palomino, and Stanley Zin)

• "Taxable and Tax-Deferred Investing with the Limited Use of Losses," Review of Finance, Vol. 21, Issue 5, 2017, p. 1847-1873 (with Marcel Fischer)

• "Heuristic Portfolio Trading Rules with Capital Gain Taxes," Journal of Financial Economics , Vol. 119, 2016, p. 611-625 (with Marcel Fischer)

  • Appendix: Robustness Results

• “Credit Conditions and Stock Return Predictability,” Journal of Monetary Economics, Vol. 74, 2015, p. 117-132 (with Sudheer Chava and Heungju Park)

• “Rare Event Risk and Emerging Market Debt with Heterogeneous Beliefs,” Journal of International Money and Finance, Vol. 33, 2013, p. 163-187 (with Stephan Dieckmann)

• “Arbitrage and the Tax Code,” Mathematics and Financial Economics, Vol. 4, No. 3, 2011, p. 183-221 (with Sanjay Srivastava)

• “CEO Optimism and Forced Turnover” , Journal of Financial Economics, Vol. 101, Issue 3, 2011, p. 695-712 (with Colin Campbell, Shane Johnson, Jessica Rutherford, and Brooke Stanley)

• “An Examination of Heterogeneous Beliefs with a Short Sale Constraint in a Dynamic Economy,” The Review of Finance, Vol. 12, Issue 2, 2008, p. 323-364 (with Burton Hollifield)

• “Arbitrage-Free Bond Pricing with Dynamic Macroeconomic Models,” The Federal Reserve Bank of St. Louis Review, July/August 2007, 89(4), p. 305-326 (with Burton Hollifield, Francisco Palomino, and Stanley Zin)

• “Tax Management Strategies with Multiple Risky Assets,” Journal of Financial Economics, Vol. 80, May 2006, p. 243-291 (with Ron Kaniel and Stathis Tompaidis)

• “Taylor Rules, McCallum Rules, and the Term Structure of Interest Rates,” Journal of Monetary Economics, Vol. 52, Issue 5, July 2005, p. 921-950 (with Burton Hollifield and Stanley Zin)

• “The Equilibrium Allocation of Diffusive and Jump Risks with Heterogeneous Agents,” Journal of Economic Dynamics and Control, Vol. 29, Issue 9, September 2005, p. 1547-1576 (with Stephan Dieckmann)

• “Capital Market Equilibrium with Differential Taxation,” European Finance Review (now titled the Review of Finance), Vol. 7, Issue 2, 2003, p. 121-159 (with Suleyman Basak)

• “Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two-Country Dynamic Monetary Equilibrium,” Mathematical Finance, Vol. 9 (January 1999), No. 1, p. 1-30 (with Suleyman Basak)

Working Papers:

• "Activism and Indexing in Equilibrium" (with Steven Baker and David Chapman)

• "Decoding the Pricing of Uncertainty Shocks" (with Zhanhui Chen and Baek-Chun Kim)

• "Household Responses to Social Security Policy" (with David Chapman and Chunyu Yang)

• "Value or Growth? The Pricing of Idiosyncratic Cash-Flow Risk with Heterogeneous Beliefs" (with Hogyu Jhang and Hagen Kim)

• “Demand Discovery and Asset Pricing” (with Burton Hollifield and Duane Seppi)

Work-in-Progress:

• “Selling Alpha as Beta” (with Steven Baker and David Chapman)

• “Asset Pricing Implications of Exchange Traded Fund Investment” (with Astrid Schornick)

• “The Equilibrium Impact of a Short Sale Constraint: A Quantitative Analysis” (with Nam Dau and Astrid Schornick)

• “Idiosyncratic Risk and Heterogeneous Beliefs” (with Hogyu Jhang)