16. Whatever it Takes? The Impact of Conditional Policy Promises, work in progress (with Valentin Haddad and Alan Moreira)
Publications / Forthcoming Articles:
10. Intermediaries and Asset Prices: Evidence from the U.S., U.K., and Japan, 1870-2016 (with Matt Baron). Review of Financial Studies, forthcoming
9. When Selling Becomes Viral: Disruptions in Debt Markets in the COVID-19 Crisis and the Fed’s Response (with Valentin Haddad and Alan Moreira) Slides . Review of Financial Studies, October 2021.
8. Do Intermediaries Matter for Aggregate Asset Prices? (with Valentin Haddad). Journal of Finance, December 2021. Video Presentation at the NBER Long-Term Asset Management
6. Is Risk Mispriced in a Credit Boom? Prepared for the INET Private Debt Initiative.
4. Volatility-Managed Portfolios (with Alan Moreira) [Internet Appendix]. Journal of Finance, August 2017. Slides. Video Presentation at the NBER Long-Term Asset Management. Media coverage: Financial Times (FT 2018), CNBC, USA Today
3. Financial Crises and Risk Premia. Quarterly Journal of Economics, May 2017
1. Financial Intermediaries and the Cross-Section of Asset Returns (with Tobias Adrian and Erkko Etula) [Web Appendix]. Journal of Finance, December 2014. Winner of the 2015 Journal of Finance Amundi Smith Breeden Prize, Distinguished Paper. Slides. Data. Video Presentation at the Utah Winter Finance Conference. NBER discussion of He, Kelly, Manela (2017), related paper using different intermediary SDF
Slides on Intermediary Asset Pricing presented at FMA (overview / survey)