"Idiosyncratic Equity Risk Two Decades Later," Critical Finance Review, 2023, 12, 203-223, with John Campbell, Burton Malkiel, and Yexiao Xu

"Monetary Policy and Asset Valuation,"  Journal of Finance, 2022, LXXVII(2), 967-1017, with Francesco Bianchi and Sydney Ludvigson. Download online appendix HERE

"Factors that Fit the Time Series and Cross-Section of Stock Returns," The Review of Financial Studies,  2020, 33(5), 2274–2325, with Markus Pelger.  Download online appendix HERE

"Estimating Latent Asset-Pricing Factors," Journal of Econometrics,  2020, 218(1), 1-31, with Markus Pelger

“Capital Share Risk and Shareholder Heterogeneity in U.S. Stock Pricing,” Journal of Finance,  2019, LXXIV(4), 1753-1792, with Sydney Ludvigson and Sai Ma

“ETF 101 for Economist,” Journal of Economic Perspectives, 2018, 32(1), 135-154, with Ananth Madhavan 

"Investor Information, Long-Run Risk, and the Term Structure of Equity," The Review of Financial Studies, 2015, 28(3), 706-742, with Massimiliano Croce and Sydney Ludvigson.  Download online appendix HERE

“Conditional Risk Premia in Currency Markets and Other Asset Classes,” Journal of Financial Economics, 2014, 197-225, with Matteo Maggiori and Michael Weber [online appendix] [data]

“Shocks and Crashes,” NBER Macroeconomics Annual 2013, 2014, 293--354, ed. by Jonathan Parker and Michael Woodford, MIT Press, Cambridge MA, with Sydney Ludvigson. [online appendix]

“The Term Structures of Equity and Interest Rates,” Journal of Financial Economics, July 2011, 90-113, with Jessica Wachter

"Measuring and Modeling Variation in the Risk-Return Tradeoff," Handbook of Financial Econometrics, vol. 1, 2010, 617—690, edited by Yacine Ait-Shalia and Lars-Peter Hansen, with Sydney Ludvigson

“Euler Equation Errors,” Review of Economic Dynamics, 12, 255-283, 2009, with Sydney Ludvigson

“Reconciling the Return Predictability Evidence,” Review of Financial Studies, 21(4), 1607-1652, 2008, with Stijn Van Nieuwerburgh

“The Declining Equity Premium: What Role Does Macroeconomic Risk Play?” Review of Financial Studies, 21(4), 1653-1687, 2008, with Sydney Ludvigson and Jessica Wachter [Technical Appendix]

“Why is Long-horizon Equity Less Risky? A Duration-based Explanation of the Value Premium,” Journal of Finance, Vol. LXII(1), 55-92, February 2007, with Jessica Wachter

“Expected Returns and Expected Dividend Growth,” Journal of Financial Economics, 76, 583-626, 2005, with Sydney Ludvigson [Technical Appendix]

“Tay is a good as cay: Reply,” Finance Research Letters, 2 (1), 15-22, March 2005, with Sydney Ludvigson

“Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption,” American Economic Review, 94 (1), 279-299, March 2004, with Sydney Ludvigson

“Inspecting the Mechanism: The Determination of Asset Prices in the RBC Model,” The Economic Journal, 113, 550–575, July 2003

“Robustness of Adaptive Expectations as an Equilibrium Selection Device,” Macroeconomic Dynamics, 7(1), 89-118, January 2003, with Timothy Van Zandt [Technical Appendix]

“Time-Varying Risk-Premia and the Cost of Capital: An Alternative Implication of the Q -Theory of Investment," Journal of Monetary Economics 49, 31-66, 2002, with Sydney Ludvigson

“Monetary Policy Transmission Through the Consumption-Wealth Channel,” Economic Policy Review 8(1), 117-134, May 2002, with Sydney Ludvigson and Charles Steindel

“Idiosyncratic Risk and Volatility Bounds, or, Can Models with Idiosyncratic Risk Solve the Equity Premium Puzzle?” Review of Economics and Statistics, 84 (2), 376-380, May 2002. The working paper version is available here

“Sharpe Ratios and Preferences: An Analytical Approach,” Macroeconomic Dynamics, 6 (2), 242-265, April 2002, with Harald Uhlig.  Winner of the Frank Ramsey Prize for the best paper in Macroeconomic Dynamics from 2001-2004

“Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia Are Time-Varying,” Journal of Political Economy, 109(6), 1238-1287, December 2001, with Sydney Ludvigson

“Consumption, Aggregate Wealth, and Expected Stock Returns,” Journal of Finance, LVI (3), 815--849, June 2001, with Sydney Ludvigson. Nominated for the Smith-Breeden Award for the best paper in The Journal of Finance

“Have Individual Stocks Become More Volatile?  An Empirical Exploration of Idiosyncratic Risk,” Journal of Finance, LVI (1), 1-43, February 2001, with John Campbell, Burton Malkiel and Yexiao Xu. Winner of the First Prize - Smith-Breeden Award for the best paper in The Journal of Finance

“Statistical Estimation and Moment Evaluation of a Stochastic Growth Model with Asset Market Restrictions,” Journal of Economic Behavior and Organization, 44 (2), 85-103, February 2001, with Willi Semmler and Gang Gong

“Can Habit Formation be Reconciled with Business Cycle Facts?” Review of Economic Dynamics, 3 (1), 79--99, February 2000, with Harald Uhlig

“Cross-variable Restrictions in Euler Equations and Risk Premia,” Applied Economics Letters, 2 (2), 99--102, February 2000

“Rules of Thumb versus Dynamic Programming,” American Economic Review, 89 (1), 148-174, March 1999, with Harald Uhlig [Technical Appendix]

“Explaining the Facts with Adaptive Agents: The Case of Mutual Fund Flows,” Journal of Economic Dynamics and Control, 21, 1117-48, 1997