"Missing Financial Data",  with Svetlana Bryzgalova, Sven Lerner, and Markus Pelger

"High Dimensional Factor Models with an Application to Mutual Fund Characteristics"

"Idiosyncratic Equity Risk Two Decades Later," with John Campbell, Burton Malkiel, and Yexiao Xu

"Characteristics of Mutual Fund Portfolios: Where Are the Value Funds?"  with Sydney Ludvigson and Paulo Manoel, WSJ 2019/02/04, Retirement Income Journal 2019/2/7

“How the Wealth Was Won: Factors Shares as Market Fundamentals,” with Dan Greenwald and Sydney Ludvigson

“The Origins of Stock Market Fluctuations,” with Dan Greenwald and Sydney Ludvigson

 "A Primer on the Economics and Time Series Econometrics of Wealth Effects: A Comment," Federal Reserve Bank of New York Staff Report No. 131, May 2001, with Sydney Ludvigson and Nathan Barczi.

"Idiosyncratic Risk and Volatility Bounds, or, Can Models with Idiosyncratic Risk Solve the Equity Premium Puzzle?" Federal Reserve Bank of New York Staff Report No. 130, May 2001. A shorter version of this paper is forthcoming in the Review of Economics and Statistics.