Short Research Summaries
Generalized Recovery (Joint with David Lando and Lasse Heje Pedersen), Journal of Financial Economics, forthcoming. We show when recovery is possible using a simple counting argument. We impose no structure on probabilities, thus generalizing Stephen Ross's Recovery Theorem. [code and data]
Higher-Moment Risk (Joint with Niels Joachim Gormsen). Higher-moment risk is high when volatility is low, suggesting that when volatility is low, risk hides in the tails of the market return distribution. The systematic variation in higher-moment risk can be explained by the actions of constrained financial intermediaries. [data]
Conditional Risk (Joint with Niels Joachim Gormsen). We present a new way of studying conditional risk in factor models. Empirically, conditional risk explains alpha to common risk factors everywhere.