The Price of Political Uncertainty: Theory and Evidence from the Option Market (with Bryan Kelly and Lubos Pastor), November 2013.
Investor's and Central Bank's Uncertainty Embedded in Index Options (with Alexander David), November 2013. Technical Appendix
What Ties Return Volatilities to Price Valuations and Fundamentals?, (joint with Alexander David), Journal of Political Economy , Summer 2013, 121, 4, 682 -- 746. On-Line Appendix
Featured in the Bloomberg (February 23, 2012).
Uncertainty about Government Policy and Stock Prices, (joint with Lubos Pastor) Journal of Finance, August 2012, 64, 4, 1219-1264. Technical Appendix.
Winner of the 2012 Journal of Finance - Smith Breeden Distinguished Paper Prize
Featured in Fox Business (June 29, 2010).
Paulson's Gift (with Luigi Zingales), Journal of Financial Economics, September 2010, 97, 3, 339-368
Habit Formation, the Cross Section of Stock Returns and the Cash Flow Risk Puzzle (with Tano Santos). Journal of Financial Economics. November 2010, 98, 2, 385 - 413.
Learning in Financial Markets (with Lubos Pastor), (survey article) 2009; Annual Review of Financial Economics, 1, 361 -- 381
Winner of the Barclays Global Investors Prize for the Best Paper at the European Finance Association Conference.
Entrepreneurial Learning, the IPO Decision, and the Post-IPO Drop in Firm Profitability (with Lubos Pastor and Lucian Taylor), 2009, Review of Financial Studies ,22, 3005--3046. Technical Appendix.
Winner of the NASDAQ Award for the best paper on capital formation at the 2008 Western Finance Association conference.
Featured in the Forbes Magazine (February 12, 2007).
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).
Labor Income and Predictable Stock Returns (with Tano Santos), Review of Financial Studies, 19, Spring 2006 (Lead Article).
Rational IPO Waves, (with Lubos Pastor), Journal of Finance, 60, August 2005, 1713 – 1757.
Nominated for 2005 Smith Breeden Prize for best paper on the Journal of Finance.
Understanding Predictability, (with Lior Menzly and Tano Santos), Journal of Political Economy, 112, 1, February 2004 (Lead Article), (link to JPE Electronic Edition.) Reprinted in “Financial Markets and the Real Economy”, John Cochrane (ed.) Edward Elgar Publishing Inc. 2006
The Peso Problem Hypothesis and Stock Market Returns, Journal of Economic Dynamics and Control, 28, 4, January 2004.
Winner of the Smith Breeden First Prize for the Best Paper in asset pricing on the Journal of Finance in 2003.
How Does Information Quality Affect Stock Returns? Journal of Finance , 55, 2, April 2000.
Nominated for 2000 Smith Breeden Prize for best paper on the Journal of Finance.
Winner of the Barclays Global Investors / Michael Brennan Prize for the Best Paper on the Review of Financial Studies in 1999.
Featured in Barron's Spot .
Conditional Betas (with Tano Santos), March 2004.
Belief dependent Utilities, Aversion to State Uncertainty, and Asset Prices, revised January 2004.
Option Prices with Uncertain Fundamentals: Theory and Evidence on the Dynamics of Implied Volatilities, (with Alexander David), revised June 2002.
The Excess Co-movement of International Stock Markets in Bad Times: A Rational Expectations Equilibrium Model, (with Ruy Ribeiro – now at JP Morgan), November 2002, PDF file .
and Long Horizon Term and Inflation Risk Premia in
2006 ESSFM Focus Session on Time Series and Cross Sectional Predictability (Slides) July 2006.
Some Facts About the Tech “Bubble” in the Late 1990s (modified slides from NBER discussion), March 2006.
Modeling Multivariate Processes on the Unit Simplex (with Tano Santos)
Discussion Comments on 'Sidelined Investors, Trading-Generated News, and Security Returns', Review of Financial Studies, 15, 2, (Special Issue), 2002.
Lexicographic Rationality Orderings and Iterative Weak Dominance in Decisions, Games and Markets by Battigalli, Montesano and Panunzi (eds.), Kluwer Academic Publishers, 1997.
Teaching Notes 1 Review of Dynamic Equilibrium Models with Complete Markets
to TN1 Portfolio Selection with Time Varying
Teaching Notes 2 Equilibrium with Complete Markets
Teaching Notes 3 Incomplete Information and Learning: Equilibrium Returns
Addendum to TN3 Incomplete Information and Learning: Portfolio Allocation
Teaching Notes 4 Alternative Preferences: Habit Formation and Recursive Utility
Addendum to TN4: Portfolio Selection with Recursive Utility and Time Varying Expected Returns
Teaching Notes 5 Ambiguity Aversion and Robust Decision Making
to TN5: Robust Control, Time Varying