Disciplining factor models: The role of conditional risk
Another look at ultimate consumption risk and equity pricing
Does inflation explain equity risk premia?
Leisure, labor income, and equity risk premia
(with Byoung-Kyu Min)
What drives marginal Q fluctuations? Time-series and cross-sectional evidence
(with Ilan Cooper, Dongmei Li, and Chunyu Yang)
Factor mimicking portfolios and the cross-section of asset returns
Another look at the (ir)relevance of long-run risks for equity risk premia
How important is (quarterly) consumption risk?
Capital share risk in U.S. asset pricing: Is it real?
Consumption volatility risk: Does it really matter?
(with Byoung-Kyu Min)
Trivial Asset Pricing: The Case of Commodities
(with Kyung Yoon Kwon)
Bad beta, good beta: A replication
Basis-momentum and the cross-section of commodity returns: Does it really matter?
(with Kyung Yoon Kwon)
What drives the aggregate net payout yield? A structural investment approach
(with Ilan Cooper, Erica Li, and Chunyu Yang)
The cross-sectional intercept in asset pricing tests
(with Alex Horenstein)
Inference on cross-sectional fit in linear factor models
(with Alex Horenstein, Saad Mouti, and Fangfang Wang)