Articles
The risk-return trade-off among equity factors
(with Pedro Barroso), Journal of Empirical Finance (forthcoming)
Is long-run risk really priced? Revisiting Liu and Matthies (2022)
Journal of Finance (forthcoming)
Does dividend policy lead the economy?
Journal of Money, Credit and Banking (forthcoming)
On the driving forces of real exchange rates: Is the Japanese Yen different?
(with Ming Zeng), Journal of Empirical Finance 74, 101423 (2023)
(with Ilan Cooper and Liang Ma), Journal of Money, Credit and Banking 54(1), 73-118 (2022)
Multifactor models and their consistency with the APT
(with Ilan Cooper, Liang Ma, and Dennis Philip), Review of Asset Pricing Studies 11(2), 402-444 (2021)
(with Panayiotis Andreou, Anastasios Kagkadis, and Dennis Philip), Critical Finance Review 10(1), 65-81 (2021)
Cash-flow or return predictability at long horizons? The case of earnings yield
(with Danielle Xu), Journal of Empirical Finance 59, 172-192 (2020)
Asset pricing implications of money: new evidence
(with André Silva), Journal of Banking and Finance 120, 105956 (2020)
ICAPM and the accruals anomaly
(with Hui Guo), Quarterly Journal of Finance 10(3), 2050014 (2020)
Monetary policy and corporate bond returns
(with Haifeng Guo and Alexandros Kontonikas), Review of Asset Pricing Studies 10(3), 441-489 (2020)
New evidence on conditional factor models
(with Ilan Cooper), Journal of Financial and Quantitative Analysis 54(5), 1975-2016 (2019)
Asset growth, profitability, and investment opportunities
(with Ilan Cooper), Management Science 65(9), 3988-4010 (2019)
Economic activity and momentum profits: further evidence
(with Dennis Philip), Journal of Banking and Finance 88, 466-482 (2018)
Short-term interest rates and stock market anomalies
(with Pedro Santa-Clara), Journal of Financial and Quantitative Analysis 52(3), 927-961 (2017)
Cross-sectional return dispersion and the equity premium
Journal of Financial Markets 29, 87-109 (2016)
Macro variables and the components of stock returns
(with Dennis Philip), Journal of Empirical Finance 33, 287-308 (2015)
Dividend yields, dividend growth, and return predictability in the cross-section of stocks
(with Pedro Santa-Clara), Journal of Financial and Quantitative Analysis 50(1-2), 33-60 (2015)
Review of Finance 18(2), 623-679 (2014)
Interest rate risk and the cross-section of stock returns
(with Abraham Lioui), Journal of Financial and Quantitative Analysis 49(2), 483-511 (2014)
Another look at the stock return response to monetary policy actions
Review of Finance 18(1), 321-371 (2014)
Return decomposition and the Intertemporal CAPM
Journal of Banking and Finance 37(12), 4958-4972 (2013)
The 'Fed model' and the predictability of stock returns
Review of Finance 17(4), 1489-1533 (2013)
Intertemporal CAPM with conditioning variables
Management Science 59(1), 122-141 (2013)
Multifactor models and their consistency with the ICAPM
(with Pedro Santa-Clara), Journal of Financial Economics 106(3), 586-613 (2012)