Index        Research        Teaching        Bio-Vitae        Official Fisher page

 

 

 

“Our lives begin to end the day we become silent about things that matter.”

Martin Luther King, Jr.

 

 

Research interests: Asset pricing, applied theoretical and empirical, in connection with macroeconomics, corporate finance, labor economics, computational economics, and capital markets research in accounting

[Research Summary: “Exploring asset pricing anomalies” in NBER Reporter (the 2014:1 issue), see also a more technical draft for the academic audience]

[See my Google Scholar page for a quick citation count]

 

 

Dissertation

 

Essays on the cross-section of returns, 2002, The Wharton School, University of Pennsylvania.

 

 

Working Papers

[see my SSRN page for early drafts of my work]

 

Endogenous disasters and asset prices (with Petrosky-Nadeau and Kuehn), 2013. Slides

A first stab at embedding the Diamond-Mortensen-Pissarides search model of unemployment into an equilibrium asset pricing framework.

 

Unemployment crises (with Petrosky-Nadeau), 2013, presented at NBER SI 2014 Macro Perspectives workshop. Slides

A search and matching model with credible bargaining, when calibrated to the mean and volatility of unemployment in the postwar sample, can potentially explain the unemployment crisis in the Great Depression.

 

Solving the DMP model accurately (with Petrosky-Nadeau), 2014.

An accurate global algorithm is critical for solving the search model of unemployment; loglinearization understates the volatility of unemployment but overstates the unemployment-vacancy correlation.

 

A comparison of new factor models (with Hou and Xue), 2014.

The Hou, Xue, and Zhang (2014) q-factor model is better than the Fama-French (2014) five-factor model on both economic and empirical grounds.

 

Anomalies, 2005, NBER working paper 11322. Not for publication. Runner-up, Best Paper Award at the 2005 Utah Winter Finance Conference.

An economic explanation for why investment and profitability play a fundamental role in the cross section of expected stock returns.

 

 

Publications

[All articles are the sole copyright of the respective publishers. Materials are provided for educational use only]

 

Digesting anomalies: An investment approach (with Hou and Xue), 2014, Review of Financial Studies, forthcoming. Internet appendix | Lecture notes | OUPblog

 

A neoclassical interpretation of momentum (with Liu), 2014, Journal of Monetary Economics 67, 109-128. Lecture notes

 

Do anomalies exist ex ante? (with Tang and Wu), 2014, Review of Finance 18 (3), 843-875, lead article.

 

A supply approach to valuation (with Belo and Xue), 2013, Review of Financial Studies 26 (12), 3029-3067. Internet appendix | Lecture notes

 

The investment manifesto (with Lin), 2013, Journal of Monetary Economics 60 (3), 351-366. Lecture notes

 

Value versus growth: Time-varying expected stock returns (with Gulen and Xing), 2011, Financial Management 40 (2), 381-407.

 

Do time-varying risk premiums explain labor market performance? (with Chen), 2011, Journal of Financial Economics 99 (2), 385-399.

 

Does q-theory with investment frictions explain anomalies in the cross-section of returns? (with Li), 2010, Journal of Financial Economics 98 (2), 297-314. Lecture notes

 

The q-theory approach to understanding the accrual anomaly (with Wu and Zhang), 2010, Journal of Accounting Research 48 (1), 177-223.

 

Investment-based expected stock returns (with Liu and Whited), 2009, Journal of Political Economy 117 (6), 1105-1139. Internet appendix | Gauss programs and data | Matlab programs and data | Lecture notes

 

Anomalies (with Li and Livdan), 2009, Review of Financial Studies 22 (11), 4301-4334, lead article. Lecture notes

 

Financially constrained stock returns (with Livdan and Sapriza), 2009, Journal of Finance 64 (4), 1827-1862. Lecture notes

 

Momentum profits, factor pricing, and macroeconomic risk (with Liu), 2008, Review of Financial Studies, 21 (6), 2417-2448.  

 

The new issues puzzle: Testing the investment-based explanation (with Lyandres and Sun), 2008, Review of Financial Studies 21 (6), 2825-2855. Runner-up, Barclays Global Investors Award for the Best Conference Paper at the 2005 European Finance Association Annual Meetings.

 

Is the value spread a useful predictor of returns? (with Liu), 2008, Journal of Financial Markets 11 (3), 199-227.

 

Expected returns, yield spreads, and asset pricing tests (with Campello and Chen), 2008, Review of Financial Studies 21 (3), 1297-1338.

 

The expected value premium (with Chen and Petkova), 2008, Journal of Financial Economics 87 (2), 269-280.

 

Asset pricing implications of firms’ financing constraints (with Gomes and Yaron), 2006, Review of Financial Studies 19 (4), 1321-1356.

 

Is value riskier than growth? (with Petkova), 2005, Journal of Financial Economics 78 (1), 187-202. Discussion in Bodie, Kane, and Marcus, 2009, Investments.

 

The value premium, 2005, Journal of Finance 60 (1), 67-103. First Prize, Smith-Breeden Award for 2005 | Matlab and Fortran 90 programs | Discussion in Bodie, Kane, and Marcus, 2009, Investments | One of the 25 most cited articles in Journal of Finance since 2004 | The 4th most highly cited article in the literature on anomalies and fundamental analysis since 2000 with the highest average number of citations per year according to Richardson, Tuna, and Wysocki (2010) | Lecture notes

 

Equilibrium stock return dynamics under alternative rules of learning about hidden states (with Brandt and Zeng), 2004, Journal of Economic Dynamics and Control 28 (10), 1925-1954, lead article.

 

Asset prices and business cycles with costly external finance (with Gomes and Yaron), 2003, Review of Economic Dynamics 6 (4), 767-788.

 

Equilibrium cross section of returns (with Gomes and Kogan), 2003, Journal of Political Economy 111 (4), 693-732, lead article. Matlab programs | Erratum | Reprinted in “Stephen A. Ross, Mentor: Influence Through Generations,” ed. Mark Grinblatt, McGraw-Hill Irwin, 2008.