SSRN author page

Published 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.467–491.

9. On the Timing and Pricing of Dividends
Co-authors: Jules H. van Binsbergen and Michael W. Brandt.
American Economic Review, 2011. 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.

Working Papers

1. The Cross-section of Managerial Ability, Incentives, and Risk Preferences.
This version: January 2012. Presented at the EFA 2008, the AFA 2009, and the Econometric Society World Congress 2010.
* Winner of the 2008 Roger F. Murray Prize of the Q Group (Second Place)

2. The Cross-Section and Time-Series of Stock and Bond Returns, with Hanno Lustig and Stijn Van Nieuwerburgh.
This version: December 2010. Presented at the AFA 2010 and EFA 2009. NBER WP #15688.

3. The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences, with Jules H. van Binsbergen, Jesus Fernandez-Villaverde, and Juan F. Rubio-Ramirez.
This version: November 2011. NBER WP #15890.

4. Health and Mortality Delta: Assessing the Welfare Cost of Household Insurance Choice, with Motohiro Yogo and Stijn Van Nieuwerburgh. This version: August 2011. NBER WP #17325.

5. Equity Yields, with Jules H. van Binsbergen, Wouter Hueskes, and Evert B. Vrugt.
This version: October 2011. NBER WP #17416.

See also the coverage of our paper on Bloomberg.com.

6. Carry, with Toby J. Moskowitz, Lasse H. Pedersen, and Evert B. Vrugt.
This version: January 2012. To be presented at the AFA 2012.

7. The Cross-Section of Firm-Level Equity Yields, with Jules H. van Binsbergen, Bruno Pellegrino, and Antonio Picca.
First version 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.

Recent Discussions

1. Financial Market Dislocations by Paolo Pasquariello, NBER AP Summer Institute, 2011

2. Hedging Labor Income Risk by Sebastien Betermier, Thomas Jansson, Christine Parlour, and Johan Walden, WFA 2011

3. Asset Prices and Institutional Investors by Suleyman Basak and Anna Pavlova, Paul Woolley Conference 2011