"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]
Research
Interests
Asset pricing, applied theoretical and
empirical, in connection with macroeconomics, corporate finance, labor
economics, and capital markets research in accounting.
Dissertation
Essays on the cross-section of returns, 2002, The Wharton School, University of Pennsylvania.
Unemployment
crises (with Petrosky-Nadeau), 2013 | Presentation
Digesting anomalies:
An investment approach (with Hou and Xue), 2012 | Presentation
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Not for Publication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.
Publications
[All articles are the sole copyright of the
respective publishers. Materials are provided for educational use only]
2010s
The
investment manifesto (with Lin), 2013, Journal of Monetary Economics 60 (3),
351-366.
Lecture notes | SAS and Matlab
programs
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.
2000s
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.
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 | 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.
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