Publications
Putting the Price in Asset Pricing
We propose a novel way to estimate a portfolio’s abnormal price, the percentage gap between price and the present value of dividends computed with a...
Long-Horizon Investing in a Non-CAPM World
We study dynamic portfolio choice in a calibrated equilibrium model where value and momentum anomalies arise because capital slowly moves from under-...
Research highlight
Ripples into waves: Trade networks, economic activity, and asset prices
Journal of Financial Economics, 145(1), 217-238
Research highlight
Comomentum: Inferring Arbitrage Activity from Return Correlations
The Review of Financial Studies, 35(7), 3272–3302
A tug of war: Overnight versus intraday expected returns
Journal of Financial Economics, 134 (1), 192-213.
A Tug of War: Overnight Versus Intraday Expected Returns
We decompose the abnormal profits associated with well-known patterns in the cross-section of expected returns into their overnight and intraday...
The Booms and Busts of Beta Arbitrage
Historically, low-beta stocks deliver high average returns and low risk relative to high-beta stocks, offering a potentially profitable investment...