Dana Kiku
Associate Professor Department of FinanceUniversity of Illinois at Urbana-Champaign
Published and Forthcoming Papers
A Quantitative Model of Dynamic Moral Hazard, with Hengjie Ai and Rui Li // Review of Financial Studies, forthcoming
“A Unified Model of Firm Dynamics with Limited Commitment and Assortative Matching”, with Hengjie Ai, Rui Li, and Jincheng Tong // Journal of Finance, 76 (1), 2021
“Risks for the Long Run: Estimation with Time Aggregation”, with Ravi Bansal and Amir Yaron // Journal of Monetary Economics, 82, 2016
“Volatility Risks and Growth Options” , with Hengjie Ai // Management Science, 62 (3), 2016
“Volatility, the Macroeconomy and Asset Prices” , with Ravi Bansal, Ivan Shaliastovich and Amir Yaron // Journal of Finance, 69 (6), 2014
“Growth to Value: Option Exercise and the Cross-Section of Equity Returns” , with Hengjie Ai // Journal of Financial Economics, 107 (2), 2013
“An Empirical Evaluation of the Long-Run Risks Model for Asset Prices”, with Ravi Bansal and Amir Yaron // Critical Finance Review, 1, 2012
“Cointegration and Long-Run Asset Allocation” , with Ravi Bansal // Journal of Business and Economic Statistics, 29 (1), 2011
“Long Run Risks, the Macroeconomy, and Asset Prices”, with Ravi Bansal and Amir Yaron // American Economic Review: Papers & Proceedings, 100 (2), 2010
“Cointegration and Consumption Risks in Asset Returns”, with Ravi Bansal and Robert Dittmar // Review of Financial Studies, 22 (3), 2009
Current Working Papers
“Climate Change Risk” with Ravi Bansal and Marcelo Ochoa
“Climate Change and Growth Risks” with Ravi Bansal and Marcelo Ochoa
Permanent Working Papers
“Is the Value Premium a Puzzle?” (2007)