Recent Publications and Current Research

Current Research

An Arrow-Pratt Theory of Preference for Early Resolution of Uncertainty (with Hengjie Ai, Hongye Guo and Amir Yaron)

Working Paper, 2025

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Identifying Preference for Early Resolution from Asset Prices (with Hengje Ai, Hongye Guo, and Amir Yaron)

Working Paper, 2025

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Uncertainty-Induced Reallocations, Innovation, and Growth (with Max Croce, Wenxi Liao, and Sam Rosen)

Working Paper, 2024

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Macroeconomic Announcement Premium (with Hengjie Ai and Hongye Guo)

Oxford Research Encyclopedia of Economics and Finance, 2024 (Subject Review Article)

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Socially Responsible Investing in Good and Bad Times? (with Amir Yaron and Di Wu)

Review of Financial Studies, 2022

SSRN | PDF file

The Term Structure of Equity Risk Premia (with Shane Miller, Dongho Song, and Amir Yaron)

Journal of Financial Economics, 2021

SSRN

Climate Change and Growth Risks (with Dana Kiku and Marcelo Ochoa)

Climate Change Economics: The Role of Uncertainty and Risk, edited by V V Chari and Robert Litterman, 2020

NBER | PDF file

Risk Preferences and Announcement Premium (with Hengje Ai)

Econometrica, August 2018, Pages 1383-1430

Econometric Society | PDF file

Risks for the Long Run: Estimation and Inference with Time Aggregation (with Dana Kiku and Amir Yaron)

Journal of Monetary Economics, September 2016, Pages 52–69

Elsevier | PDF file

Volatility, the Macroeconomy and Asset Prices (with Dana Kiku, Ivan Shaliastovich, and Amir Yaron)

Journal of Finance, December 2014, 69:2471–2511

American Finance Association | PDF file

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

Oxford University Press | PDF file

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

Now Publishers | PDF file

Learning, Long Run Risks, and Asset Price Jumps (with Ivan Shaliastovich)

Review of Financial Studies, 2011, 24: 2738-2780

Oxford University Press | PDF file

Cointegration and Long-Run Asset Allocation (with Dana Kiku)

Journal of Business and Economic Statistics, 2011, Vol. 29, No. 1, 161-173

Taylor & Francis Online | PDF file

Older Working Papers

Macroeconomic Announcement Premium with Production (with Hengje Ai, Jay Im, and Chao Ying)

2021

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Information Acquisition and the Pre-Announcement Drift (with Hengje Ai and Leyla Han)

2021

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Price of Long Run Temperature Shifts in Capital Markets (with Dana Kiku and Marcelo Ochoa) 

2021

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Scale, Sectors, and Risk (with Dana Kiku and Shane Miller)

2020

Work in Progress

Equilibrium Wealth Share Dynamics (with Colin Ward and Amir Yaron)

2020

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A comment on Announcement Risk Premium Reconsidered (with Hengje Ai)

2020

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•  Comments on a recent paper by Toomas Laarits, titled ``Announcement Risk Premium Reconsidered'' which mistakenly claims that a result from Ai and Bansal (2018) contains an error.

Endogenous Liquidity Supply (with John Coleman and Chris Lundblad) 

2014

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The Asset Pricing-Macro Nexus (with Amir Yaron) 

2007

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