Published and Forthcoming Papers

  1. Excess Volatility: Beyond Discount Rates (with S. Giglio) Quarterly Journal of Economics, Conditionally accepted

    We document a form of excess volatility that is irreconcilable with standard models of prices, and in particular cannot be explained by variation in the discount rates of rational agents.

    Finalist for 2016 AQR Insight Award
  2. Intermediary Asset Pricing: New Evidence from Many Asset Classes (with Z. He and A. Manela) Journal of Financial Economics, Forthcoming
    Link to "Intermediary Asset Pricing" data
  3. Too-Systemic-To-Fail: What Option Markets Imply About Sector-Wide Government Guarantees (with H. Lustig and S. Van Nieuwerburgh) American Economic Review, Forthcoming
    → Winner of the Glucksman Prize
    → Winner Best Paper on Financial Institutions and Markets at 2012 WFA Annual Meeting
    Article in Business & Economy Magazine
    Coverage at FT.com
    Coverage at NYTimes.com
    NBER slides
  4. The Price of Political Uncertainty: Theory and Evidence from the Option Market (with L. Pastor and P. Veronesi) Journal of Finance, Forthcoming
  5. The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications (with B. Herskovic, H. Lustig and S. Van Nieuwerburgh) Journal of Financial Economics, Forthcoming
  6. Systemic Risk and the Macroeconomy: An Empirical Evaluation (with S. Giglio and S. Pruitt) Journal of Financial Economics, (Lead Article)
    Systemic Risk Measures Data Files
    Winner of 2015 Roger F. Murray Q-Group Prize
    → Coverage at VoxEU
    Coverage at MoneyAndBanking.com
  7. The Three-Pass Regression Filter: A New Approach to Forecasting with Many Predictors (with S. Pruitt) Journal of Econometrics, Forthcoming
    Separate web appendix
  8. Tail Risk and Asset Prices (with H. Jiang) Review of Financial Studies, October 2014, 27(10): p.2841-2871
    → Lead article
    Editor's Choice article, RFS Executive Editor blog post
  9. The Dynamic Power Law Model, Extremes, December 2014 17(4) p.557-583
  10. Shaping Liquidity: On the Causal Effects of Voluntary Disclosure (with K. Balakrishnan, M. Billings and A. Ljungqvist) Journal of Finance, October 2014 69(5) p.2237-2278
  11. Market Expectations in the Cross Section of Present Values (with S. Pruitt) Journal of Finance, October 2013 68(5) p.1721-1756
    → Lead article
    Winner 2012 AQR Insight Award
    Winner 2011 Q Group Award
  12. Testing Asymmetric Information Asset Pricing Models (with A. Ljungqvist) Review of Financial Studies, May 2012, 25(5), p.1366-1413
    → Coverage at SeekingAlpha.com
  13. Dynamic Equicorrelation (with R. Engle)Journal of Business and Economic Statistics, April 2012, 30(2), p.212-228
  14. A Practical Guide to Volatility Forecasting (with C. Brownlees and R. Engle)Journal of Risk, Winter 2011/2012, 14(2), p.3-22

Working Papers