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Published Papers

Firm Characteristics, Consumption Risk, and Firm-Level Risk Exposures, with Christian Lundblad,  Journal of Financial Economics, August 2017, 125 (2) 326-343

Leisure Preferences, Long Run Risks, and Human Capital Returns, with Francisco Palomino and Wei Yang, Review of Asset Pricing Studies, June 2016, 6(1) 88-134. 

Ex Ante Skewness and Expected Stock Returns, with Jennifer Conrad and Eric Ghysels, Journal of Finance, February 2013, 68 (1) 85-124.

Basis Assets, with Dong-Hyun Ahn and Jennifer Conrad, Review of Financial Studies, December 2009, 22 (12), 1343-1375.

Cointegration and Consumption Risks in Asset Returns, with Ravi Bansal and Dana Kiku, Review of Financial Studies, March 2009, 22 (3) 1343-1375.

The Timing of Financing Decisions:  An Examination of the Correlation in Financing Waves, with Amy Dittmar, Journal of Financial EconomicsOctober 2008, 90 (2), 59-83.

Do Sovereign Bonds Benefit Corporate Bonds in Emerging Markets? with Kathy Yuan, Review of Financial Studies, September 2008, 21 (5), 1983-2014.

Consumption, Dividends, and the Cross-Section of Equity Returns, with Ravi Bansal and Christian Lundblad, Journal of Finance, August 2005, 60 (4), 1639-1672.

Purebred or Hybrid?  Reproducting the Volatility in Term Structure Dynamics, with Dong-Hyun Ahn, A. Ronald Gallant, and Bin Gao, Journal of Econometrics, September-October 2003, 116 (1-2), 147-180.

Risk Adjustment and Trading Strategies, with Dong-Hyun Ahn and Jennifer Conrad, Review of Financial Studies, Summer 2003, 16 (2) 459-485.

Quadratic Term Structure Models:  Theory and Evidence, with Dong-Hyun Ahn and A. Ronald Gallant, Review of Financial Studies, Spring 2002, 15 (1), 243-288.

Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross-Section of Equity Returns, Journal of Finance, February 2002, 57 (1), 369-403.

Working Papers

Default Risk and the Pricing of U.S. Sovereign Bonds, September 2018, with Alex Hsu, Guillaume Rousselet, and Peter Simasek.  Draft available soon.

Initial Coin Offerings, September 2018, with Andrew Di Wu.  Draft available soon.

Substitutability and the Cross-Section of Equity Returns, September 2018, with Christian Schlag and Julian Thimme.  Draft available soon.

Does the Investment-Based Model Explain the Value Premium?  Evidence from Investment Euler Equations, September 2018, with Stefanos Delikouras.

Implied Default Probabilities and Recovery Rates from Option Prices, September 2017, with Jennifer Conrad and Allaudeen Hameed

Do Dollar-Denominated Emerging Market Corporate Bonds Insure Foreign Exchange Risk? March 2015, with Stefanos Delikouras and Haitao Li.

Stock Repurchase Waves:  An Explanation of the Trends in Aggregate Payout Policy, February 2004, with Amy Dittmar.

Interpreting Risk Premia Across Size, Value, and Industry Portfolios, February 2003, with Ravi Bansal and Christian Lundblad