Assistant Professor of Finance | Eli Broad College of Business | Michigan State University
CV | SSRN | Google Scholar
Research Interests: Asset Pricing (Macro-finance, Derivatives, Empirical Asset Pricing), Macroeconomics (Business Cycles, Firm Investment), Computational Methods
Contact: schreind@msu.edu
PUBLICATIONS
Macroeconomic Tail Risks and Asset Prices [Journal, SSRN, online appendix, code, errata, bibtex]
Review of Financial Studies, August 2020, 33(8): 3541-3582
A parsimonious consumption-based asset pricing model that (i) rationalizes the equity premium based on low risk aversion and low consumption risk and (ii) is consistent with the main features of stock market risk premia implied by equity index options.
Dissecting the Equity Premium [Journal, SSRN, online appendix, bibtex]
with Tyler Beason
Journal of Political Economy, August 2022, 130(8): 2203-2222
We use options and return data to decompose risk premia into different parts of the return state space. This decomposition reveals that sources of the equity premium in leading asset pricing models differ substantially from those in the data. The discrepancy arises from unrealistically low risk prices for stock market tail events in the models.
Persistent Crises and Levered Asset Prices [Journal, SSRN, bibtex]
with Lars-Alexander Kuehn and Florian Schulz
Review of Financial Studies, June 2023, 36(6), 2571–2616
We structurally estimate an asset pricing model with persistent macroeconomic disasters and optimal capital structure decisions at the firm-level. The model replicates the behavior of bond and equity market risks DURING disasters -- a key data dimension that standard disaster models fail to capture.
Conditional Risk and the Pricing Kernel [Journal (OPEN ACCESS), SSRN, online appendix, bibtex, code]
with Tobias Sichert
Journal of Financial Economics, September 2025, 171(9)
SIX Best Paper Award, Swiss Society for Financial Market Research, 2023
We propose a statistical methodology for jointly estimating the pricing kernel and conditional physical return densities from option prices. Pricing kernel estimates show that negative stock market returns are significantly more painful to investors in low-volatility periods. Density estimates reflect a significantly positive risk–return trade-off.
WORKING PAPERS
By Force of Habit and Cyclical Leverage, updated 10/2023 [SSRN, online appendix, code, bibtex]
When solved accurately, the Campbell-Cochrane habit model produces neither rising stock market volatility during recessions nor strong return predictability. However, an extension with countercyclical leverage does.
Presentations: McGill, Virginia Tech, ASU-UA Junior Finance Conference, FRA 2023
Misallocation Cycles [paper, bibtex]
with Cedric Ehouarne and Lars-Alexander Kuehn
A heterogeneous firm business cycle model with a power law in the firm size distribution. Idiosyncratic shocks cause recessions by inducing cyclical variation in the allocative efficiency of production factors.
Presentations: WFA 2017, AEA 2017, EFA 2016, SED 2016, Red Rock Finance Conference 2016, Duke-UNC Asset Pricing Conference 2016, Arizona Jr Finance Conference 2016, Arizona State University, Federal Reserve Board