Working Papers
What Hundreds of Economic News Events Say About Belief Overreaction in the Stock Market (with Francesco Bianchi and Sai Ma). Comments welcome.
Monetary-Based Asset Pricing: A Mixed-Frequency Structural Approach (with Francesco Bianchi and Sai Ma). Comments welcome.
What Explains the COVID-19 Stock Market? (with Josue Cox and Daniel Greenwald). Comments welcome.
“Characteristics of Mutual Fund Portfolios: Where are the Value Funds?” (with Martin Lettau and Paulo Manoel). Comments welcome. WSJ Coverage 2/4/2019
"Shock Restricted Structural Vector-Autoregressions" (with Sai Ma and Serena Ng). Comments welcome.
"Origins of Stock Market Fluctuations" (with Daniel Greenwald and Martin Lettau). Working paper supplanted by “How the Wealth Was Won: Factor Shares as Market Fundamentals.”
"Foreign Ownership of U.S. Safe Assets: Good or Bad?" (with Jack Favilukis and Stijn Van Nieuwerburgh).
"A Primer on the Economics and Time Series Econometrics of Wealth Effects: A Comment" (with Martin Lettau and Nathan Barczi).