Publications

Published or Forthcoming Articles

1. Duration-Based Valuation of Corporate Bonds, with Yoshio Nozawa and Michael Schwert, Review of Financial Studies, 2024, forthcoming.

2. A Horizon Based Decomposition of Mutual Fund Value Added Using Transactions, with Jungsuk Han, Hongxun Ruan and Ran Xing, Journal of Finance, 2024, forthcoming.

3. Dynamic Asset (Mis)Pricing: Build-up vs. Resolution Anomalies, with Martijn Boons, Christian Opp and Andrea Tamoni, Journal of Financial Economics, 2023.

4. Man versus Machine Learning: Earnings Expectations and Conditional Biases, with Xiao Han and Alejandro Lopez-Lira. NBER working paper 27843. Review of Financial Studies, 2023.

5. Regulation of Charlatans in High-Skill Professions with Jonathan Berk. Addendum: Case  With Harm. NBER working paper 23696. Journal of Finance, 2022.

6. Risk Free Interest Rates with William Diamond and Marco Grotteria. NBER working paper 26138. Daily Data. Journal of Financial Economics, 2022, Editor's Choice.

7. Mutual Funds: Skill and Performance with Jonathan Berk and Max Miller. Journal of Portfolio Management, 2020.

8. Real Anomalies with Christian Opp. Journal of Finance, 2019. NBER working paper 23238. 

9. Matching Capital and Labor with Jonathan Berk and Binying Liu. Journal of Finance, 2017. NBER working paper 20138.

10. Mutual Funds in Equilibrium with Jonathan Berk. Annual Review of Financial Economics, 2017.  

11. How Do Investors Compute the Discount Rate? They Use the CAPM with Jonathan Berk. Financial Analyst Journal, 2017. 

12. The Term Structure of Returns: Facts and Theory with Ralph Koijen. Journal of Financial Economics, 2017, Lead Article. NBER working paper 21234.

13. Assessing Asset Pricing Models using Revealed Preference with Jonathan Berk. Journal of Financial Economics, 2016, Lead Article. NBER working paper 20345.

14. On the Timing and Pricing of Dividends - Reply with Ralph Koijen. American Economic Review, 2016. Data.

15. Active Managers are Skilled with Jonathan Berk. Journal of Portfolio Management, 2016.   

16. Good-Specific Habit Formation and the Cross-Section of Expected Returns. Journal of Finance, 2016.  

17. Measuring Skill in the Mutual Fund Industry with Jonathan Berk. Journal of Financial Economics, 2015, Lead Article. NBER working paper 18184. Data Appendix. Online Appendix.

18. Collective Pension Schemes and Individual Choice with Dirk Broeders, Myrthe de Jong and Ralph Koijen, Journal of Pension Economics and Finance, 2014.

19. Equity Yields  with Ralph Koijen, Wouter Hueskes and Evert Vrugt. Journal of Financial Economics, 2013, Lead Article. NBER working paper 17416.

20. The Term Structure of Interest Rates in a DSGE Model  with Recursive Preferences with Jesus Fernandez-Villaverde, Ralph Koijen and Juan Rubio-Ramirez. Journal of Monetary Economics, 2012. NBER working paper 15890. 

21. On the Timing and Pricing of Dividends with Michael Brandt and Ralph Koijen. American Economic Review, 2012. NBER working paper 16455. Data. Online Appendix.

22. Optimal Capital Structure with John Graham and Jie Yang. Journal of Applied Corporate Finance, 2011. 

23. The Cost of Debt with Johan Graham and Jie Yang. Journal of Finance, 2010. NBER working paper 16023.

24. Predictive Regressions: A Present-Value Approach with Ralph Koijen. Journal of Finance, 2010. NBER working paper 16263.   

25. Optimal Decentralized Investment Management with Michael Brandt and Ralph Koijen. Journal of Finance, 2008. NBER working paper 12144.  

26. Portfolio Weight Iteration when Simulating Dynamic Portfolio Choice Problems with Michael Brandt. Computational Economics, 2007. 

27. Exploring Relations between Decision Analysis and Game Theory with Leslie Marx. Decision Analysis, 2007. 

Book chapters

1. Leveling the Playing Field with Jonathan Berk. In Portfolio Construction, Measurement, and Efficiency. Edited by John B. Guerard Jr., 2016. Springer.

2. Optimal Asset Allocation in Asset Liability Management with Michael Brandt. Handbook of Fixed Income Securities, Edited by Pietro Veronesi, 2015. NBER working paper 12970.

3. Financial Valuation of PBGC Insurance with Market Implied Default Probabilities with Robert Novy-Marx and Joshua Rauh. NBER Tax Policy and the Economy, Volume 28, 2014.

4. Decentralized Decision Making in Investment Management with Michael Brandt and Ralph Koijen. Handbook of Quantitative Asset Management, Oxford University Press, 2012. Edited by Bernd Scherer and Kenneth Wilson.