Research

Variance Discount Rates: What Drives Preferences Regarding Variance Risk?

Presentations (includes scheduled): AFA 2023, MFA 2022, SFA 2021, TADC 2021, Derivative Markets Conference 2021,  Paris-Dauphine University, Stockholm Business School, Rotterdam School of Management, Tilburg University.

The Size Premium in a Granular Economy (joint with Logan Emery)

Media Coverage: WSJ Heard on the Street, Morningstar, Quantpedia

Presentations (includes scheduled): Frontiers of Factor Investing 2024, Robeco, Venice Finance Workshop*, Erasmus University Rotterdam.

Π-CAPM: The Classical CAPM with Probability Weighting and Skewed Assets (joint with Joost Driessen and Sebastian Ebert)

R&R at Review of Financial Studies

Presentations (includes scheduled): Virtual Derivative Workshop (VDW)*, RBFC 2022, FMA Europe 2022, Consortium on Asset Management and Fintech 2022, Virtual Finance Theory (VFT) seminar*,  FMA 2021,  Bonn University*, ESSEC*, Rotterdam School of Management, Erasmus Behavioral Economics, Aarhus University*, Frankfurt School of Management and Finance*, Cambridge University*, Yale School of Management, Tilburg University.

Best Paper Award Consortium on Asset Management and Fintech 2022.

Horizon effects in the pricing kernel: How investors price short-term and long-term risks (joint with Joost Driessen and Ole Wilms)

R&R at Journal of Financial and Quantitative Analysis

Presentations (includes scheduled): SFS Cavalcade NA 2023, SGF 2023, SAFE AP Workshop 2021, EFMA 2021, SGF 2020*, TADC 2020*, EFMA 2020*, AFA 2019 (Poster), SITE 2018, Tilburg University.