"The other night I ate at a real nice family restaurant. Every table had an argument going." (George Carlin)
[see my SSRN page for early drafts of my work]
[see my Google Scholar page for a quick citation count]
Asset pricing, applied theoretical and empirical, in connection with macroeconomics, corporate finance, labor economics, and capital markets research in accounting.
Essays on the cross-section of returns, 2002, The Wharton School, University of Pennsylvania.
An equilibrium asset pricing model with labor market search (with Kuehn and Petrosky-Nadeau), 2013 | Presentation
A model of momentum (with Liu), 2013, to be presented at NBER SI AP.
Do anomalies exist ex ante? (with Tang and Wu), 2013.
A supply approach to valuation (with Belo and Xue), 2013.
Not for Publication
Anomalies, 2005, NBER working paper 11322. Runner-up, Best Paper Award at the 2005 Utah Winter Finance Conference.
[All articles are the sole copyright of the respective publishers. Materials are provided for educational use only]
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
Financially constrained stock returns (with Livdan and Sapriza), 2009, Journal of Finance 64 (4), 1827-1862.
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
Recent Professional Discussions in Academic Conferences
Discussion on Eisfeldt and Papanikolaou (2012) “Organization capital and the cross-section of expected returns” in the American Economic Association Annual Meetings in January 2013. pdf
Discussion on Garlappi and Song (2012) “Can investment shocks explain the cross-section of stock returns?” in the 3rd Advances in Macrofinance Tepper-LAEF Conference in September 2012. pdf
Discussion on Bansal, Kiku, Shaliastovich, and Yaron (2012) “Volatility, the macroeconomy, and asset prices” at the 2012 Western Finance Association Annual Meetings in Las Vegas, June 2012. pdf
Discussion on Donangelo (2012) “Labor mobility and the cross-section of expected returns” at the 19th Mitsui Finance Symposium on “Financial Market Implications of the Macroeconomy” at Stephen M. Ross School of Business, University of Michigan, June 2012. pdf
Discussion on Kung and Schmid (2011) “Innovation, growth, and asset prices” at the NBER Asset Pricing Meeting in April 2012. pdf
Discussion on Hackbarth and Johnson (2011) “Investment flexibility and stock returns” at the Utah Winter Finance Conference in February 2012. pdf
Discussion on Hirshleifer and Yu (2011) “Asset pricing in production economies with extrapolative expectations” at the NBER Behavioral Finance Meeting in November 2011. pdf
Discussion on Chen (2011) “What does the value premium tell us about the term structure of equity returns?” at the UBC Summer Finance Conference in July 2011. pdf
Discussion on Gourio and Michaux (2011) “Stochastic volatility, bond yields, and the q theory of investment” at the SFS Finance Cavalcade in May 2011. pdf
Discussion on Gilchrist and Zakrajsek (2010) “Credit spreads and business cycle fluctuations” at the Advances in Macrofinance Tepper-LAEF Conference in October 2010. pdf