Research

Inequality aversion, populism, and the backlash against globalization, with Pietro Veronesi, 2021.
Journal of Finance 76, 2857-2906.

• Internet Appendix to accompany the paper.
• An easy-to-read summary at VoxEU (September 28, 2018).
• An easy-to-read summary by the Becker Friedman Institute (September 2018).
• An easy-to-read summary by the Chicago Booth Review (October 15, 2018).
• Featured in Die Presse (July 12, 2021; in German), Chicago Booth Review (March 2, 2020).

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 summary and update after the 2024 U.S. Presidential election (Chicago Booth Review, November 13, 2024). 
• CBR podcast after the 2024 U.S. Presidential election (November 20, 2024). 
• 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 Chicago Tribune (November 29, 2024), New York Times (November 22, 2024), 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.

• Data from the paper.
• Internet Appendix to accompany the paper.
• Winner of the 2018 Marshall Blume Prize in Financial Research.
• Winner of the 2018 QMA Award for Best Paper on Investment Management, WFA conference.
• Winner of the 2017 Jacobs Levy Center Best Paper Prize.
• 2019 AQR Insight Award, Honorable Mention.
• Summaries in the Chicago Booth Review: February 21, 2018; December 19, 2017; August 21, 2018.

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).

• Featured in Barron's (March 23, 2020), MarketWatch (May 16, 2019).

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.

• Online Appendix to accompany the paper.
• Watch a 5-minute video presentation of the paper on Youtube.
• Lead article.
• Featured in Capital Ideas, Chicago Booth, Spring 2016.

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.

• Technical Appendix to accompany the paper.
• Fixing the typesetter’s errors.
• Featured in the Wall Street Journal (December 6, 2012), Wall Street Journal (November 5, 2011), Bloomberg (November 9, 2011), Gewinn (January 2012; in German), and Chicago Booth Review (September 19, 2013).
• Video of the presentation at the 2012 UWFC.

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).

• Featured in the Investor’s Chronicle (February 2, 2009).

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.

• 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).
• Read the synopsis of the article at SmartEconomist.com.
• Unpublished Technical Appendix to accompany the paper.

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.

• Finalist for the Smith Breeden Prize for the best paper in the Journal of Finance.
• Lead article.
• Featured in Morningstar (October 2019), Time Magazine (June 9, 2003), New York Times (Jan 5, 2003), and Barron’s (Dec 23, 2002).

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.

• Data from the paper, extended to the present.
• Featured in Barron's (April 12, 2021), Barron's (March 23, 2020), New York Times (Dec 28, 2008, and Aug 5, 2001).

Investing in equity mutual funds, with Robert F. Stambaugh, 2002,
Journal of Financial Economics 63, 351--380.

• Featured in the New York Times (April 2, 2000).

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.

• Winner of the Geewax, Terker, & Co. Prize in Investment Research for the best Wharton working paper (first prize).

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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