Asset Pricing

Asset Embeddings (with Xavier Gabaix, Ralph S.J. Koijen, and Robert J. Richmond)

July 2023.

SSRN

Asset Demand of U.S. Households (with Xavier Gabaix, Ralph S.J. Koijen, Federico Mainardi, and Sangmin Oh)

October 2022.

SSRN

Exchange Rates and Asset Prices in a Global Demand System (with Ralph S.J. Koijen)

June 2019.

SSRN

Which Investors Matter for Equity Valuations and Expected Returns? (with Ralph S.J. Koijen and Robert J. Richmond)

Review of Economic Studies, 2024, forthcoming.

Oxford University Press | SSRN | Replication files

Understanding the Ownership Structure of Corporate Bonds (with Ralph S.J. Koijen)

American Economic Review: Insights, March 2023, 5(1): 73–92.

American Economic Association | PDF file | Replication files

Inspecting the Mechanism of Quantitative Easing in the Euro Area (with Ralph S.J. Koijen, François Koulischer, and Benoît Nguyen)

Journal of Financial Economics, April 2021, 140(1): 1–20.

Elsevier | SSRN

A Demand System Approach to Asset Pricing (with Ralph S.J. Koijen)

Journal of Political Economy, August 2019, 127(4): 1475–1515.

University of Chicago Press | PDF file | Replication files

• Data on corrected institution type, instrument for market equity, liquidity, and long-run expected returns [Excel file]

• AQR Insight Award, Honorable Mention, 2017

• Glucksman Institute Research Prize, Glucksman Institute for Research in Securities Markets, 2017

Euro-Area Quantitative Easing and Portfolio Rebalancing (with Ralph S.J. Koijen, François Koulischer, and Benoît Nguyen)

American Economic Review: Papers and Proceedings, May 2017, 107(5): 621–627.

American Economic Association | PDF file | Replication files

What Does Futures Market Interest Tell Us about the Macroeconomy and Asset Prices? (with Harrison Hong)

Journal of Financial Economics, September 2012, 105(3): 473–490.

Elsevier | SSRN | Appendix | Data | Replication files

• Data on Commitments of Traders in Commodity Futures [1964–1985 | 1986–1999 | 2000–2010]

Durability of Output and Expected Stock Returns (with João F. Gomes and Leonid Kogan)

Journal of Political Economy, October 2009, 117(5): 941–986.

University of Chicago Press | PDF file | Data

• SIC industry classification based on the 1987 Benchmark Input-Output Accounts [Excel file]

• Richard A. Crowell Memorial Prize, First Prize, PanAgora Asset Management, 2007

Asset Prices Under Habit Formation and Reference-Dependent Preferences

Journal of Business and Economic Statistics, April 2008, 26(2): 131–143.

American Statistical Association | PDF file

Does Firm Value Move Too Much to Be Justified by Subsequent Changes in Cash Flow? (with Borja Larrain)

Journal of Financial Economics, January 2008, 87(1): 200–226.

Elsevier | SSRN | Data

• Geewax, Terker and Company Prize in Investment Research, Honorable Mention, Rodney L. White Center for Financial Research, 2006

Efficient Tests of Stock Return Predictability (with John Y. Campbell)

Journal of Financial Economics, July 2006, 81(1): 27–60.

Elsevier | SSRN | Data | Replication files

• Implementing the Econometric Methods in “Efficient Tests of Stock Return Predictability” [Appendix]

• Journal of Financial Economics All Star Paper

A Consumption-Based Explanation of Expected Stock Returns

Journal of Finance, April 2006, 61(2): 539–580.

American Finance Association | SSRN | Appendix | Data | Replication files