Research
Carbon burden, with Robert F. Stambaugh and Lucian A. Taylor, October 2024.
Green tilts, with Robert F. Stambaugh and Lucian A. Taylor, January 2024.
- Winner of the 2023 Jacobs Levy Center Outstanding Paper Prize.
- An easy-to-read summary by the Becker Friedman Institute (June 8, 2023).
- Featured in Bloomberg (December 20, 2023), Chicago Booth Review (October 16, 2023), NBER Digest (September 2023), Fortune (August 10, 2023), VoxEU (August 13, 2023), Knowledge at Wharton (August 7, 2023).
Steering a ship in illiquid waters: Active management of passive funds, with Naz Koont, Yiming Ma, and Yao Zeng, August 2024.
Review of Financial Studies, forthcoming.
- An easy-to-read summary by the Becker Friedman Institute (May 20, 2022).
- Featured in Financial Times (July 30, 2024), Liberty Street Economics (May 28, 2024), Barron's (March 8, 2023), Financial Times (February 26, 2023), Financial Times (February 19, 2023), ETF Stream (May 20, 2022), Chicago Booth Review (July 6, 2022), Knowledge at Wharton (July 26, 2022).
Non-standard errors, with many co-authors, 2024.
Journal of Finance 79, 2339--2390.
Fifty shades of QE: Robust evidence, with Brian Fabo, Martina Jancokova, and Elisabeth Kempf, 2024.
Journal of Banking & Finance 159, 107065.
Dissecting green returns, with Robert F. Stambaugh and Lucian A. Taylor, 2022.
Journal of Financial Economics 146, 403--424.
- Winner of the 2022 Moskowitz Prize. Announcement. Research brief.
- Winner of the 2021 Jacobs Levy Center Best Paper Prize
- Internet Appendix to accompany the paper
- Data (including returns on the green factor and the GMB portfolio)
- An easy-to-read summary in the Financial Times (July 5, 2023), PRI blog (August 24, 2022), the Becker Friedman Institute (June 24, 2021).
- Featured in the Financial Times (June 25, 2021), Knowledge at Wharton (June 29, 2021), MoneyWeek (July 5, 2021), FT Adviser (September 10, 2021), InvestmentNews (September 14, 2021), InvestmentNews (September 27, 2021), Chicago Booth Review (October 6, 2021), Bloomberg (October 28, 2021), Pensions and Investments (November 1, 2021), New York Times (November 5, 2021).
Diseconomies of scale in active management: Robust evidence, with Robert F. Stambaugh, Lucian A. Taylor, and Min Zhu, 2022.
Critical Finance Review 11, 593--611.
Fifty shades of QE: Comparing findings of central bankers and academics, with Brian Fabo, Martina Jancokova, and Elisabeth Kempf, 2021,
Journal of Monetary Economics 120, 1-20.
- Lead article.
- Internet Appendix to accompany the paper
- An easy-to-read summary in VoxEU (October 5, 2020), ProMarket (October 14, 2020), Becker Friedman Institute (October 21, 2020), Chicago Booth Review (December 9, 2020).
- Featured in Rangvid's blog (September 27, 2020), Bloomberg (September 28, 2020), The Grumpy Economist (September 28, 2020), Wall Street Journal (September 29, 2020), Marginal Revolution (September 30, 2020), Central Banking (September 30, 2020), Bloomberg (October 1, 2020), Brookings (October 1, 2020), Chicago Maroon (October 19, 2020), Bloomberg (November 22, 2022).
Inequality aversion, populism, and the backlash against globalization, with Pietro Veronesi, 2021.
Journal of Finance 76, 2857-2906.
Sustainable investing in equilibrium, with Robert F. Stambaugh and Lucian A. Taylor, 2021.
Journal of Financial Economics 142, 550-571.
- Winner of the 2021 Fama/DFA Prize for the best paper in the Journal of Financial Economics in the Areas of Capital Markets and Asset Pricing (first prize).
- Winner of the 2021 AQR Insight Award, Distinguished Paper.
- Winner of the 2020 Jacobs Levy Center Outstanding Paper Prize.
- Finalist for the 2022 TIAA Paul A. Samuelson Award.
- Video presentation from the SFS Cavalcade (May 27, 2020).
- A short video summary by the Chicago Booth Review (June 11, 2021).
- A short video summary for AQR Insight Award (May 2021).
- Featured in the Wharton Magazine (Spring/Summer 2021), Harvard Law School Forum on Corporate Governance (April 9, 2021), Chicago Booth Review (February 23, 2021), Knowledge@Wharton (November 9, 2020), Advisor Perspectives (February 19, 2020), New York Times (November 5, 2021).
Political cycles and stock returns, with Pietro Veronesi, 2020,
Journal of Political Economy 128, 4011-4045.
- Lead article.
- Internet Appendix to accompany the paper.
- A three-minute video summary (Chicago Booth Review, July 25, 2017).
- An easy-to-read summary in the Chicago Booth Review (March 27, 2017).
- A one-page summary, Chicago Booth Review Briefing, June 2017.
- Featured in the American Association of Individual Investors Journal (January 2020), Financial Times Alphaville (October 30, 2019), Wall Street Journal (February 17, 2017), Financial Advisor(June 5, 2017), CNBC (June 11, 2017), Breitbart (August 10, 2017).
Fund tradeoffs, with Robert F. Stambaugh and Lucian A. Taylor, 2020,
Journal of Financial Economics 138, 614-634.
Mutual fund performance and flows during the COVID-19 crisis, with Blair Vorsatz, 2020,
Review of Asset Pricing Studies 10, 791-833. (Special issue on COVID-19.)
- Internet Appendix to accompany the paper.
- Easy-to-read summaries in VoxEU (July 30, 2020), Harvard Law School Forum on Corporate Governance (July 29, 2020), CFA Society UK (January 5, 2021).
- Winner of the BlackRock Research Award for the best paper in capital markets at the 2020 Australasian Finance and Banking Conference.
- Featured in Covid Economics 38, 1-36 (July 16, 2020), Becker Friedman Institute's Key Economic Facts About COVID-19: Fact 1, Fact 2, (July 13, 2020), Marketwatch (July 20, 2020), Wealth Professional (July 27, 2020), Investors Chronicle (July 28, 2020), Money Marketing (October 7, 2020), Morningstar (November 2, 2020), Chicago Booth Review (February 23, 2021).
Liquidity risk after 20 years, with Robert F. Stambaugh, 2019,
Critical Finance Review 8, 277-299. (solicited contribution).
Do funds make more when they trade more?, with Robert F. Stambaugh and Lucian A. Taylor, 2017,
Journal of Finance 72, 1483-1528.
- Internet Appendix to accompany the paper.
- Featured in Reuters(December 3, 2014), Frankfurter Allgemeine Zeitung (January 3, 2015; in German), Capital Ideas (Summer 2015), Alpha Architect (October 16, 2015), Reuters (November 10, 2016), Bloomberg (November 16, 2016), ETF.com (August 25, 2017).
The price of political uncertainty: Theory and evidence from the option market, with Bryan Kelly and Pietro Veronesi, 2016,
Journal of Finance 71, 2417-2480.
- Internet Appendix to accompany the paper.
- Featured in VOX (March 31, 2014) and (September 11, 2014).
- Summary + video: Becker Friedman Institute, May 2015.
- Video: Capital Ideas, Chicago Booth, September 2014.
Income inequality and asset prices under redistributive taxation, with Pietro Veronesi, 2016,
Journal of Monetary Economics 81, 1-20.
Scale and skill in active management, with Robert F. Stambaugh and Lucian A. Taylor, 2015,
Journal of Financial Economics 116, 23-45.
- Data Appendix to accompany the paper (dataset construction).
- Online Appendix to accompany the paper (additional robustness results).
- A one-page summary, Capital Ideas, March 2014.
- Video: The Big Question, Chicago Booth, August 2014.
- Video + Q&A, Knowledge @ Wharton, May 2015.
- Winner of the 2015 Fama/DFA Prize for the best paper in the Journal of Financial Economics in the Areas of Capital Markets and Asset Pricing (first prize).
- Winner of the 2014 Jacobs Levy Center Best Paper Prize.
- Winner of the 2014 Best Paper Award, Rothschild Caesarea Center 11th Annual Academic Conference.
- Winner of the 2013 Marshall Blume Prize in Financial Research (honorable mention).
- Featured in the NBER Digest (June 2014), Capital Ideas (Summer 2014), Wall Street Journal (February 22, 2014), Morningstar’s Rekenthaler Report (a four-part series: Part 1, Part 2, Part 3, Part 4), CNN Money (March 2, 2014), Knowledge @ Wharton (April 29, 2014), Bankrate (May 2, 2014), Seeking Alpha (February 19, 2014), International Financing Review (February 26, 2014), Parkiet (February 25, 2014; in Polish), FTSE Global Markets (December 5, 2014), Global Investor (December 10, 2014), Chicago Booth Review (June 17, 2014), Mutualfunds.com (July 6, 2016).
Political uncertainty and risk premia, with Pietro Veronesi, 2013,
Journal of Financial Economics 110, 520--545.
On the size of the active management industry, with Robert F. Stambaugh, 2012,
Journal of Political Economy 120, 740--781.
- Featured in the Financial Times (February 19, 2011), Institutional Investor (February 18, 2011), Knowledge@Wharton (February 2, 2011), Bloomberg (March 7, 2012), Capital Ideas (May 2012), Investment Europe (June 8, 2012), and Luxemburger Wort (November 14, 2012; in German).
Uncertainty about government policy and stock prices, with Pietro Veronesi, 2012,
Journal of Finance 67, 1219--1264.
- Winner of the Smith Breeden Prize for the best paper on capital markets in the Journal of Finance (Distinguished Paper).
- Featured in Fox Business (June 29, 2010).
- Technical Appendix to accompany the paper.
Are stocks really less volatile in the long run?, with Robert F. Stambaugh, 2012,
Journal of Finance 67, 431—478.
- Winner of the 2012 Whitebox Advisors Selected Research Prize for the best financial research of the year.
- Winner of the 2008 Q Group Research Award.
- Finalist for the Smith Breeden Prize for the best paper on capital markets in the Journal of Finance.
- Finalist for the 2012 TIAA-CREF Paul A. Samuelson Award.
- Summarized in FAMe (Finance and Accounting Memos), Issue 1, 2014.
- Featured in the New York Times (March 29, 2009), Investment News (May 24, 2009), Dow Jones Newswires (February 18, 2009), New York Times (July 18, 2010), Bloomberg Businessweek (February 2, 2011), Marketwatch (July 15, 2011), Fama-French Forum (December 14, 2009), Capital Ideas (May 2012), New York Post (June 19, 2012), Absolute Return (June 19, 2012), Reuters (June 29, 2012), Marketwatch (June 15, 2017), Marketwatch (June 21, 2018), Marketwatch (March 12, 2022).
- TV interview on Consuelo Mack’s Wealthtrack, May 27, 2011.
- TV interview on Fox Business News, June 27, 2012.
- Interview on tastytrade, September 5, 2014.
- Technical Appendix to accompany the paper.
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.
- Featured 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.
- Featured 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 (solicited survey article).
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.
Rational IPO waves, with Pietro Veronesi, 2005,
Journal of Finance 60, 1713--1757.
- Finalist 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.
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 on capital markets 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.
Investing in equity mutual funds, with Robert F. Stambaugh, 2002,
Journal of Financial Economics 63, 351--380.
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.
Comparing asset pricing models: An investment perspective, with Robert F. Stambaugh, 2000,
Journal of Financial Economics 56, 335--381.
Portfolio selection and asset pricing models , 2000,
Journal of Finance 55, 179--223.
- Finalist 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.
- Finalist for the Brattle Prize for the best corporate finance paper in the Journal of Finance.