Research

 

Dissecting green returns, with Robert F. Stambaugh and Lucian A. Taylor, September 2021.

 

Diseconomies of scale in active management: Robust evidence, with Robert F. Stambaugh, Lucian A. Taylor, and Min Zhu, July 2021.

 

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.

Inequality aversion, populism, and the backlash against globalization, with Pietro Veronesi, 2021.
Journal of Finance, forthcoming.

 

Sustainable investing in equilibrium, with Robert F. Stambaugh and Lucian A. Taylor, 2021.
Journal of Financial Economics, forthcoming.

 

Political cycles and stock returns, with Pietro Veronesi, 2020,
Journal of Political Economy 128, 4011-4045.

 

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.)

 

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.


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 Chicago Booth Review (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.


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.


Uncertainty about government policy and stock prices, with Pietro Veronesi, 2012,
Journal of Finance 67, 1219--1264.


Are stocks really less volatile in the long run?, with Robert F. Stambaugh, 2012,
Journal of Finance 67, 431—478.


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.

  • Lead article.

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.

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