• Live Fast, Die Young: Equilibrium and Survival in Large Economies, with Elyès Jouini, Economic Theory, 2021, 71(3), 961-996.

Abstract: We model a continuous-time economy with a continuum of investors who differ both in belief and time preference rate and analyze the impact of these heterogeneities on the behavior of financial markets. In particular, we allow the two types of heterogeneity to be correlated: a negative correlation means that the most optimistic agents are also the most patient ones. We fully characterize the risk-free rate which is procyclical and the market price of risk which is countercyclical. When the two types of heterogeneity are negatively correlated, the former is higher and the latter lower compared to the standard case. A negative correlation also leads to a higher market volatility. Moreover, we find that the trading volume increases with the variance of the belief heterogeneity distribution. Finally, the surviving agent of this economy is not necessarily the one who maximizes her utility over her lifetime: a shorter life might be more rewarding than a longer one. 

• Belief Skewness in the Stock Market, with Paul Karehnke.

Abstract: Belief skewness—the asymmetry in investors' cash-flow growth rate expectations—has a negative impact on the stock mean return, controlling for the average bias in beliefs and belief dispersion. When investors are sufficiently optimistic on average, however, the relationship reverses. Belief skewness also has a positive impact on the stock price and a negative impact on the stock volatility. To show this, we first develop a continuous-time general equilibrium model with heterogeneous investors having skewed beliefs. We then use analyst forecast data to construct belief skewness proxies, and verify the model implications for the aggregate market returns empirically.

Presented at: Tilburg Finance Summit (2026)*, ESCP Business School (2026)*, HEC Paris (2026)*, Risk Forum (2026)*, FMA Asia/Pacific Conference (2025), SFS Cavalcade Asia-Pacific (2025), Melbourne Asset Pricing Meeting (2025), Conference in Honor of Professor Elyès Jouini (2025), French Inter-Business School Workshop (2025)*, City University of Hong Kong (2025).

• The Real Side of Disagreement in Bond Markets, with Elyès Jouini. New draft available soon.

Abstract: Can a tractable general equilibrium model account for the joint behavior of short rates, bond risk premia, yield-curve shapes, and yield volatility without imposing exogenous short-rate dynamics or latent prices of risk? We argue that the answer is yes once disagreement is allowed to affect real investment decisions. In our model, the average belief drives the firm investment strategy, while belief dispersion governs how future beliefs respond to aggregate shocks. The real side of disagreement can generate a mean-reverting pro-cyclical risk-free rate, counter-cyclical bond risk premia, rich yield-curve dynamics, and excess yield volatility, aligning with empirical regularities in fixed-income markets.

Presented at: FMA Asia/Pacific Conference (2024), AFFI Conference (2024), EUROFIDAI-ESSEC Paris December Finance Meeting (2023), City University of Hong Kong (2023), Hong Kong Joint Finance Research Workshop (2022).

• Two Skewed Risks, with Paul Karehnke. R&R at Journal of Money, Credit and Banking.

Abstract: We study how skewness and correlation jointly affect portfolio choice, risk premia, and risk measures. Returns follow the split bivariate normal distribution, which combines bivariate normal distributions with different standard deviations and fits asset returns well. Equilibrium risk premia deviate from the CAPM if assets differ in skewness. Moreover, if the more positively skewed asset is more volatile, it underperforms and its beta, maximum return, idiosyncratic and systematic skewnesses are all higher---consistent with empirical evidence. We also show that skewness has a large impact on conditional risk measures and introduce a bivariate GARCH model that allows for side-specific standard deviation dynamics for their empirical estimation.

Presented at: EGRIE Annual Seminar (2021), AFFI Conference (2021)*, Financial Risks International Forum (2021), Tilburg University (2020), Labex Refi IAB Meeting (2019)*, Université Paris Dauphine - PSL (2018).