Long Run Risks
The Term Structure of Equity Risk Premia (with Shane Miller, Dongho Song, and Amir Yaron)
Journal of Financial Economics, 2021, Forthcoming
Volatility, the Macroeconomy and Asset Prices (with Dana Kiku, Ivan Shaliastovich, and Amir Yaron)
Journal of Finance, December 2014, 69:2471–2511
A Long Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets (with Ivan Shaliastovich)
Lead article, Review of Financial Studies, 2013, 26(1): 1-33
An Empirical Evaluation of the Long-Run Risks Model for Asset Prices (with Dana Kiku and Amir Yaron)
Critical Finance Review, 2012, Vol. 1: No 1, pp 183-221
Learning, Long Run Risks, and Asset Price Jumps (with Ivan Shaliastovich)
Review of Financial Studies, 2011, 24: 2738-2780
Cointegration and Long-Run Asset Allocation (with Dana Kiku)
Journal of Business and Economic Statistics, 2011, Vol. 29, No. 1, 161-173
Confidence Risk and Asset Prices (with Ivan Shaliastovich)
American Economic Review, p&p, May 2010, 537-541
Long-Run Risks, the Macro-economy and Asset Prices (with Dana Kiku and Amir Yaron)
American Economic Review, p&p, May 2010, 542-546
Cointegration and Consumption Risks in Equity Returns (with Robert Dittmar and Dana Kiku)
Review of Financial Studies, 2009, 22: 1343 - 1375
Rational Pessimism, Rational Exuberance, and Asset Pricing Models (with Ronald Gallant and George Tauchen)
Review of Economic Studies, Vol. 74, October 2007, 1005-1033
Long Run Risks and Financial Markets
The Review, St. Louis Federal Reserve Bank, Vol. 89, July/August 2007, 283-300
Long Run Risks and Risk Compensation in Equity Markets
Handbook of Investments: Equity Risk Premium, edited by Rajnish Mehra, North Holland, Amsterdam 2006
Consumption, Dividends, and the Cross-Section of Equity Returns (with Robert Dittmar and Christian Lundblad)
Lead Article, Journal of Finance, 60, August 2005, 1639-1672
American Finance Association | PDF file
Nominated for Smith-Breeden best paper award, American Finance Association and the Journal of Finance, 2005
Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (with Amir Yaron)
Journal of Finance, 59, August 2004, 1481-1509
American Finance Association | PDF file
Winner of the Smith-Breeden Paper Award, American Finance Association and the Journal of Finance, 2004
Working Papers
Scale, Sectors, and Risk (with Dana Kiku and Shane Miller)
2020
Work in Progress