SSRN author page
Published and Forthcoming Papers
1. Optimal Decentralized Investment Management
Co-authors: Jules H. van Binsbergen and Michael W. Brandt.
Journal of Finance, 63(4), August 2008, p.1849-1895.
2. Momentum and Mean Reversion in Strategic Asset Allocation
Co-authors: Juan Carlos Rodriguez and Alessandro Sbuelz.
Management Science, 55(7), July 2009, p.1199-1213.
3. Mortgage Timing
Co-authors: Otto Van Hemert and Stijn Van Nieuwerburgh.
Journal of Financial Economics, 93, August 2009, p.292-324.
* Winner of the 2007-08 Glucksman Institute Research Prize (First Place)
4. When Can Life-cycle Investors Benefit from Time-varying Bond Risk Premia?
Co-authors: Theo E. Nijman and Bas J.M. Werker.
Review of Financial Studies, 23, February 2010, p.741-780. Appendix containing details on the numerical approach is also available.
5. Predictive Regressions: A Present-Value Approach
Co-author: Jules H. van Binsbergen.
Journal of Finance, 65(4), August 2010, p.1439-1471.
* Winner of the Goldman Sachs Asset Management Award for the best paper in empirical investments at the 2008 WFA conference
* Finalist for 2010 Smith Breeden Prize for best paper in the Journal of Finance
6. Long-Run Risk, the Wealth-Consumption Ratio, and the Temporal Pricing of Risk
Co-authors: Hanno Lustig, Stijn Van Nieuwerburgh, and Adrien Verdelhan.
American Economic Review P&P, 100(2), May 2010, p.552-556.
7. Optimal Annuity Risk Management
Co-authors: Theo E. Nijman and Bas J.M. Werker.
Review of Finance, 15(4), October 2011, p.799-833.
8. Predictability of Returns and Cash Flows
Co-author: Stijn Van Nieuwerburgh.
Annual Review of Financial Economics, 3, December 2011, p.4677-491.
9. On the Timing and Pricing of Dividends
Co-authors: Jules H. van Binsbergen and Michael W. Brandt.
American Economic Review, 102(4), 2012, p.1596-1618. The Web Appendix contains further results.
* Winner of the 2010 Swiss Finance Institute Outstanding Paper Award
* The data used in our paper can be found here.
* Our response to a recent paper by Boguth, Carlson, Fisher, and Simutin (September, 2011) can be found here.
10. The Term Structure of Interest Rates in a DSGE Model
with Recursive Preferences
Co-authors: Jules H. van Binsbergen, Jesus Fernandez-Villaverde, and Juan F. Rubio-Ramirez.
Journal of Monetary Economics, 59, 2012, p.634-648.
11. The Cross-section of Managerial Ability, Incentives, and Risk Preferences
Journal of Finance, 2012, forthcoming.
* Winner of the 2008 Roger F. Murray Prize of the Q Group (Second Place)
12. Equity Yields
Co-authors: Jules H. van Binsbergen, Wouter Hueskes, and Evert B. Vrugt.
Journal of Financial Economics, 2013, forthcoming.
* See also the coverage of our paper on Bloomberg.com.
Papers under Review or Revision
1. The Cost of Financial Frictions for Life Insurers, with Motohiro Yogo.
This version: March 2013. NBER WP #18321.
*Video of the presentation at the 2013 Utah Winter Finance Conference
2. Financial Health Economics, with Tomas J. Philipson and Harald Uhlig.
This version: August 2012. [under review; send me an email for the latest version]
3. The Cross-Section and Time-Series of Stock and Bond Returns, with Hanno Lustig and Stijn Van Nieuwerburgh.
This version: August 2012. NBER WP #15688.
4. Health and Mortality Delta: Assessing the Welfare Cost of Household Insurance Choice, with Motohiro Yogo and Stijn Van Nieuwerburgh.
This version: November 2012. NBER WP #17325.
*Winner of the 2012 Utah Winter Finance Conference Best Paper Prize
*Winner of the 2012 Roger F. Murray Prize of the Q Group (Third Place)
*Video of the presentation at the 2012 Utah Winter Finance Conference
Working Papers
1. Carry, with Toby J. Moskowitz, Lasse H. Pedersen, and Evert B. Vrugt.
This version: July 2012.
2. Shadow Insurance Markets, with Motohiro Yogo. Coming soon.
3. Capital, Labor, and Financial Markets, with Jules H. van Binsbergen. Coming soon.
4. The Market for Household Derivatives, with Motohiro Yogo. Coming soon.
Book Chapters and Other Publications
1. Strategic Asset Allocation, with Jules H. van Binsbergen and Michael W. Brandt. Forthcoming at the "Handbook of Quantitative Finance," Oxford University Press.
2. Saving and Investing over the Life Cycle and the Role of Collective Pension Funds, with A. Lans Bovenberg, Theo E. Nijman, and Coen N. Teulings. De Economist 155, 2007, 347-415. Lead article.
3. Market Efficiency and Return Predictability, with Stijn Van Nieuwerburgh. Encyclopedia of Complexity & System Science, Robert Meyers (ed.), 2007.
4. Valuation and Risk Management of Inflation-Sensitive Pension Rights, with Theo E. Nijman. In "Fair Value and Pension Fund Management", N. Kortleve, Th. Nijman and E. Ponds (eds.), Elsevier Publishers 2006.
5. Judging the Quality of Survey Data by Comparison with "Truth" as Measured By Administrative Records: Evidence from Sweden, with Stijn Van Nieuwerburgh and Roine Vestman.
This version: February 2012. Chapter in NBER Book "Improving the Measurement of Consumer Expenditures," Christopher Carroll, Thomas Crossley, John Sabelhaus, eds.