Working Papers
Resurrecting the (C)CAPM: A cross-sectional test when risk premia are time-varying: A comment
(with Byoung-Kyu Min)
Does ultimate consumption risk rescue the CCAPM? A replication of Parker and Julliard (2005)
Comparing asset pricing models: The (neglected) impact of "tradability"
The marginal profits-to-Q ratio: Reassessing the cash-flow channel
(with Ilan Cooper and Chunyu Yang)
Does inflation explain equity risk premia?
Leisure, labor income, and equity risk premia
(with Byoung-Kyu Min)
The Cross-Section of Currency Appreciation Rates
What drives marginal Q fluctuations? Time-series and cross-sectional evidence
(with Ilan Cooper and Chunyu Yang)
The volatility puzzle of the beta anomaly
(with Pedro Barroso and Andrew Detzel)
Factor mimicking portfolios and the cross-section of asset returns
On the (Ir)relevance of Long-Run Consumption Growth for Equity Risk Premia