Publications

We analyze 18 quadrillion models for the joint pricing of corporate bond and stock returns. Strikingly, we find that equity and nontradable factors...

We introduce a measure of a government’s fiscal position that exploits cointegrating relationships among fiscal variables. The measure is a loglinear...

Using granular data covering both regulated (brokerage-financed) and unregulated (shadowfinanced) margin accounts in China, we provide novel evidence...

We propose a novel measure, dubbed “relative basis,” to better capture the commodity convenience yield. Our measure is the difference between the...

Review of Finance, 30 (3), 921–948

We derive option-implied bounds on the probability of a crash in an individual stock, and argue a priori that the lower bound should be close to the...

Annual Review of Financial Economics, 17, 77 - 92

Management Science, 72(2), 1595-1615

We propose a novel measure that allows us to study memory associations in financial markets over the course of several decades. Using our measure, we...

UK government bond yields tend to rise in a two-day window before labor market data releases and monetary policy news. This effect, particularly...

We study causal narratives – narratives which describe a (potentially incorrect) causal relationship between variables. In a series of experiments...