Disciplining Factor Models: The Role of Conditional Risk
Revisiting Lettau and Ludvigson (2001): Does cay really matter for cross-sectional risk premia?
(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"
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, Erica Li, and Chunyu Yang)
Factor mimicking portfolios and the cross-section of asset returns
On the (Ir)relevance of long-run consumption growth for equity risk premia: An empirical perspective
A Skeptical appraisal on the pricing performance of the Consumption-CAPM
Capital share risk in U.S. asset pricing: Is it real?
Consumption volatility risk: Does it really matter?
(with Byoung-Kyu Min)
Recursive utility under the ICAPM: Is it relevant?
On commodity traded factors and the cross-section of commodity returns
(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)