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Research interests   

Asset pricing, portfolio choice, behavioral economics and finance, decision theory

Publications                    

• First-Order Prudence and its Implications for Precautionary Savings and the Risk-Free Rate (SSRN), with Sebastian Ebert; Operations Research, forthcoming.

• Systematic Skewness and Stock Returns (SSRN); Review of Asset Pricing Studies, 2024, Volume 14, Issue 4, 578–612. (Editor's Choice)

  • The replication code is available in the Harvard Dataverse at https://doi.org/10.7910/DVN/EXGMIQ.

• Crowding and Tail Risk in Momentum Returns (SSRN), with Pedro Barroso and Roger M. Edelen; Journal of Financial and Quantitative Analysis, 2022, Volume 57, Issue 4, 1313-1342.

• Time-Varying State Variable Risk Premia in the ICAPM (SSRN), with Pedro Barroso and Martijn Boons; Journal of Financial Economics, 2021, Volume 139, Issue 2, 428-451.

• Spanning Tests for Assets with Option-Like Payoffs: The Case of Hedge Funds (SSRN), with Frans de Roon; Management Science, 2020, Volume 66, Issue 12, 5969-5989.                                          

  • Matlab functions for the tests are available for download here.

• Stereotypes, Underconfidence and Decision-Making with an Application to Gender and Math (SSRN), with Elyès Jouini and Clotilde Napp; Journal of Economic Behavior & Organization, 2018, Volume 148, 34-45.

• A Simple Skewed Distribution with Asset Pricing Applications (SSRN, BusinessThink, Correction), with Frans de Roon; Review of Finance, 2017, Volume 21, Issue 6, 2169-2197.                                                                    

  • Matlab and Excel functions for the distribution are available for download here.

• On Portfolio Choice with Savoring and Disappointment (SSRN), with Elyès Jouini and Clotilde Napp; Management Science, 2014, Volume 60, Issue 3, 796-804.

Working papers

• Beta Horizons, with Frans de Roon

• Skewness Preferences in Choice under Risk, with Sebastian Ebert

  • The online appendix that contains the complete characterizations of skewness preferences in leading theories of choice under risk (including propect theory) and many additional results is available here.

• Two Skewed Risks, with Arthur Beddock