We find that threats of adverse geopolitical events align with investors’ perceptions of geopolitical risk and capture variation in risk premia across assets and over time. 

• Conference Presentations: Stanford SITE 2025, WashU Olin Finance Conference 2025, SAFE Asset Pricing Workshop 2025, CREDIT 2025

• Media coverage:  Barron's

While rebalancing is a fundamental tool for investors, mechanical rebalancing costs about 8 basis points annually due to price pressures.

• Conference Presentations: AFA 2026, NBER Asset Pricing Spring 2025, CEPR Paris Symposium 2025, SFS Cavalcade 2025, Red Rock 2025, Imperial College Hedge Fund Conference 2025, Inquire Europe Autumn Seminar 2025, FMA 2025, Isenberg Finance Conference 2025,  Esade Spring Workshop 2025,  LTI-Bank of Italy Workshop 2025

• Quantpedia Awards 2025 – 1st Place

• Media coverage: Bloomberg, Pensions & Investments, Matt Levine's Money Stuff, Financial Times, Top Traders Unplugged ft. Nick Baltas, Seu Dinheiro, Barron's, FT Alphaville, Institutional Money Magazine

• Independent Replication Analyses: InsiderFinance, Quantitativo

We document long-term reversal patterns in risk-adjusted returns across a broad set of equity anomalies. 

• Conference Presentations: SFS Cavalcade 2025, AFA 2024, MFA 2024, EWFS 2024, AiE 2023, IWiFE 2023

A novel measure, the consumption gap (cgap), emerges as a powerful equity premium predictor when consumption is characterized by measurement error.

• Conference Presentations: Finance Down Under 2025, SoFiE 2023,  SFS Cavalcade Asia-Pacific 2022, EEA 2022, IAAE 2022, EFMA 2022, NZFM 2022

• VGSF Best Dissertation Award 2023, John Doukas Ph.D. Best Paper Award 2022

Cash-flow news explains most of the time variation in stock-oil correlation.

• Conference Presentations: J.P. Morgan Annual Commodities Symposium 2025, AFA 2022, FMA 2021, CEMA 2021, DGF 2021

• Runner-Up, Best Paper Award, Investments, 2021 FMA

• Media coverage: Wall Street Journal

A monetary policy rule in which the equilibrium real rate is driven by demographics and productivity features drifting Treasury yields and predictable bond risk premia.

• Conference Presentations: 2nd LTI-Bank of Italy Workshop, BFWG 2021 (QMUL), IAAE 2021, 2021 INQUIRE Residential Seminar (Bath, UK), 9th Asset Pricing Workshop (University of York)