Research
Working Papers
"A Supply and Demand Approach to Capital Markets" (with S. Betermier and E. Jo), April 2023.
"The Cross-Section of Household Preferences" (with J. Campbell, F. Gomes and P. Sodini), October 2022.
"Five Facts About the Money Holdings of Individuals and Firms" (with S. Betermier and J. Kvaerner), September 2022.
"What Do the Portfolios of Individual Investors Reveal about the Cross-Section of Equity Returns?" (with S. Betermier, S. Knüpfer, and J. Kvaerner), February 2022.
Best Paper Award at 2021 Northern Finance Association conference
Book
Multifractal Volatility: Theory, Estimation and Forecasting (with A. Fisher), Academic Press, 2008.
Journal Publications
"Can Security Design Foster Household Risk-Taking?" (with C. Célérier, P. Sodini and B. Vallée), Journal of Finance 78 (4), 1917-1966, August 2023.
"The Finance of Climate Change" (with G. Gianfrate and R. Uppal), Journal of Corporate Finance 73, 1-4, April 2022.
"Rich Pickings? Risk, Return, and Skill in Household Wealth" (with L. Bach and P. Sodini), American Economic Review 110 (9), 2703-2747, September 2020.
"Staying on Top of the Curve: A Cascade Model of Term Structure Dynamics" (with A. Fisher and L. Wu), Journal of Financial and Quantitative Analysis 53 (2), pp. 937-963, April 2018.
"Aggregation of Heterogeneous Beliefs, Risk Sharing and Asset Pricing in Complete Financial Markets" (with J.-M. Grandmont and I. Lemaire), Research in Economics 72 (1), pp. 117-146, March 2018.
"Who are the Value and Growth Investors?"(with S. Betermier and P. Sodini), Journal of Finance 72 (1), pp. 5-46, February 2017 .
Robust Filtering (with V. Czellar and E. Ronchetti), Journal of the American Statistical Association 110 (512), pp. 1591-1606, December 2015.
"Accurate Methods for Approximate Bayesian Computation Filtering" (with V. Czellar). Journal of Financial Econometrics 13 (4), pp. 798-838, Fall 2015
"What is Beneath the Surface? Option Pricing with Multifrequency Latent States" (with M. Fearnley, A. Fisher and M. Leippold), Journal of Econometrics 187 (2), pp. 498-511, August 2015.
"Through the Looking Glass: Indirect Inference via Simple Equilibria" (with V. Czellar), Journal of Econometrics 185 (2), pp. 343-358. Received the Best y-BIS Paper Award from the American Statistical Association and the National Institute of Statistical Sciences.
"Twin Picks: Disentangling the Determinants of Risk-Taking in Household Portfolios" (with P. Sodini), Journal of Finance 69 (2), pp. 867-906, April 2014.
"Extreme Risk and Fractal Regularity in Finance" (with A. Fisher), In: Fractal Geometry and Dynamical Systems in Pure and Applied Mathematics II: Fractals in Applied Mathematics, D. Carfi, M. Lapidus, E. Pearse and M. van Frankenhuijsen eds., Contemporary Mathematics, Vol. 601, 2013, American Mathematical Society.
"Measuring the Financial Sophistication of Households" (with J. Campbell and P. Sodini), American Economic Review 99 (2), pp. 393-398, May 2009.
"Fight or Flight? Portfolio Rebalancing by Individual Investors" (with J. Campbell and P. Sodini), Quarterly Journal of Economics 124 (1), pp. 301-348, February 2009.
"Fractals" Entry in the New Palgrave Dictionary of Economics, 2008.
"Multifrequency Jump-Diffusions: An Equilibrium Approach" (with A. Fisher), Journal of Mathematical Economics 44 (2), pp. 207-226, January 2008.
"Down or Out: Assessing the Welfare Costs of Household Investment Mistakes" (with J. Campbell and P. Sodini), Journal of Political Economy 115 (5), pp. 707-747, October 2007 (lead article).
"Multifrequency News and Stock Returns" (with A. Fisher), Journal of Financial Economics 86 (1), pp. 178-212, October 2007.
"Idiosyncratic Production Risk, Growth and the Business Cycle" (with G. M. Angeletos), Journal of Monetary Economics 53 (6), 1095-1115, September 2006 (lead article).
"Volatility Comovement: A Multifrequency Approach" (with A. Fisher and S. Thompson), Journal of Econometrics 131 (1-2), pp. 179-215, March 2006.
"Incomplete-Market Dynamics in a Neoclassical Production Economy" (with G. M. Angeletos), Journal of Mathematical Economics 41 (4-5), pp. 407-438, August 2006 (lead article).
"Financial Innovation, Market Participation and Asset Prices" (with M. Gonzalez-Eiras and P. Sodini), Journal of Financial and Quantitative Analysis 39 (33), pp. 431-459, September 2004 (lead article).
"How to Forecast Long-Run Volatility: Regime-Switching and the Estimation of Multifractal Processes" (with A. Fisher), Journal of Financial Econometrics 2 (1), pp. 49-83, Spring 2004.
"Behavioral Heterogeneity and the Income Effect" (with E. Comon), Review of Economics and Statistics 85 (3), pp. 653-669, August 2003.
"Multifractality in Asset Returns: Theory and Evidence" (with A. Fisher), Review of Economics and Statistics 84 (3), pp. 381-406, August 2002 (lead article).
"Forecasting Multifractal Volatility" (with A. Fisher), Journal of Econometrics 105 (1), pp. 27-58, November 2001.
"Incomplete Markets and Volatility", Journal of Economic Theory 98 (2), pp. 295-338, June 2001.
"Heterogeneous Probabilities in Complete Asset Markets" (with J. M. Grandmont and I. Lemaire), Advances in Mathematical Economics 1, pp. 3-15, 1999 (Springer Verlag, S. Kusuoka and T. Maruyama Eds). Japanese translation in Mita Journal of Economics, Tokyo 1999.