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Data

• Liquidity factor data updated through December 2008.

Note: The data shows large liquidity shocks during the recent financial crisis, mostly in September 2008 (Lehman Brothers), March 2008 (Bear Stearns), and August 2007.

Working papers

• Uncertainty about government policy and stock prices, with Pietro Veronesi, June 2010.

Profiled in Fox Business (June 29, 2010).

Technical Appendix to accompany the paper.

• On the size of the active management industry, with Robert F. Stambaugh, August 2010.

• Are stocks really less volatile in the long run?, with Robert F. Stambaugh, May 2009.

Winner of the 2008 Q Group Research Award.

Profiled in the New York Times (March 29, 2009), Investment News (May 24, 2009), Dow Jones Newswires (February 18, 2009), and New York Times again (July 18, 2010).

Technical Appendix to accompany the paper.

Publications

• Technological revolutions and stock prices, with Pietro Veronesi, 2009,
  American Economic Review 99, 1451--1483.

Winner of the Barclays Global Investors Prize for the best paper at the 2006 European Finance Association Conference.

Profiled in the Chicago GSB Capital Ideas (October 2007) and the Economist Intelligence Unit.

Technical Appendix to accompany the paper.

• Predictive systems: Living with imperfect predictors, with Robert F. Stambaugh, 2009,
  Journal of Finance 64, 1583--1628.

Winner of the Goldman Sachs Asset Management Award for the best paper in empirical investments at the 2007 Western Finance Association conference.

Technical Appendix to accompany the paper.

• Entrepreneurial learning, the IPO decision, and the post-IPO drop in firm profitability, with Lucian Taylor and Pietro Veronesi, 2009,
  Review of Financial Studies 22, 3005--3046.

Winner of the NASDAQ Award for the best paper on capital formation at the 2008 Western Finance Association conference.

Profiled in the Forbes Magazine (February 12, 2007).

Technical Appendix to accompany the paper.

• Learning in financial markets, with Pietro Veronesi, 2009,
  Annual Review of Financial Economics 1, 361--381 (survey article).

Profiled in the Investor’s Chronicle (February 2, 2009).

• Estimating the intertemporal risk-return tradeoff using the implied cost of capital, with Meenakshi Sinha and Bhaskaran Swaminathan, 2008,
  Journal of Finance 63, 2859—2897.

• Was there a Nasdaq bubble in the late 1990s?, with Pietro Veronesi, 2006,
  Journal of Financial Economics 81, 61--100.

Winner of the Fama/DFA Prize for the best paper in the Journal of Financial Economics in the Areas of Capital Markets and Asset Pricing (second prize).

Read the synopsis of the article at SmartEconomist.com.

Unpublished Technical Appendix to accompany the paper.

• Rational IPO waves, with Pietro Veronesi, 2005,
  Journal of Finance 60, 1713--1757.

Nominated for the Smith Breeden Prize for the best paper in the Journal of Finance.

• Judging fund managers by the company they keep, with Randolph Cohen and Joshua Coval, 2005,
  Journal of Finance 60, 1057--1096.

Nominated for the Smith Breeden Prize for the best paper in the Journal of Finance.

Lead article.

Profiled in the Time Magazine (June 9, 2003), the New York Times (Jan 5, 2003), and the Barron’s (Dec 23, 2002).

Our mutual fund selection model can be implemented in real time on MUTUALdecision.com.

• Stock valuation and learning about profitability, with Pietro Veronesi, 2003,
  Journal of Finance 58, 1749--1789.

Winner of the Smith Breeden Prize for the best paper in the Journal of Finance (first prize).

Lead article.

A small inconsequential typo.

• Liquidity risk and expected stock returns, with Robert F. Stambaugh, 2003,
  Journal of Political Economy 111, 642--685.

Updated liquidity risk factor data (through December 2008).

Profiled in the New York Times (Dec 28, 2008, as well as Aug 5, 2001).

• Investing in equity mutual funds, with Robert F. Stambaugh, 2002,
  Journal of Financial Economics 63, 351--380.

Profiled in the New York Times (April 2, 2000).

• Mutual fund performance and seemingly unrelated assets, with Robert F. Stambaugh, 2002,
  Journal of Financial Economics 63, 315--349.

Winner of the Fama/DFA Prize for the best paper in the Journal of Financial Economics in the Areas of Capital Markets and Asset Pricing (second prize).

Winner of the Geewax, Terker, & Co. Prize in Investment Research for the best Wharton working paper (honorable mention).

Lead article.

• The equity premium and structural breaks , with Robert F. Stambaugh, 2001,
  Journal of Finance 56, 1207--1239.

• Asset pricing models: Implications for expected returns and portfolio selection , with A. Craig MacKinlay, 2000,
  Review of Financial Studies 13, 883--916.

Winner of the Geewax, Terker, & Co. Prize in Investment Research for the best Wharton working paper (first prize).

• Comparing asset pricing models: An investment perspective , with Robert F. Stambaugh, 2000,
  Journal of Financial Economics 56, 335--381.

Lead article.

• Portfolio selection and asset pricing models , 2000,
  Journal of Finance 55, 179--223.

Nominated for the Smith Breeden Prize for the best paper in the Journal of Finance.

• Costs of equity capital and model mispricing , with Robert F. Stambaugh, 1999,
  Journal of Finance 54, 67--121.

Nominated for the Brattle Prize for the best corporate finance paper in the Journal of Finance.

Other Publications

• A model weighting game in estimating expected returns, 2001,
  The Financial Times, Mastering Investment, Part Two, May 21.

• Articles and interviews in the Slovak press (in Slovak).

Google Scholar search (can be tricky due to accents in my name).

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Click here for expert advice on how to write a lot of papers.
(Works best using Internet Explorer and Real Player. The advice begins some thirty seconds into the music.)

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Note: The papers are in the .pdf format. If you do not have the Adobe Acrobat Reader, you can download it from Adobe Web site.

(Since February 2001.)