Review of Financial Studies, August 2020, 33(8): 3541-3582
Journal of Political Economy, August 2022, 130(8): 2203-2222
Review of Financial Studies, forthcoming
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.
Presentations (including coauthor presentations): AFA 2021, MFA 2021, SFS Cavalcade 2018, EFA 2018, Econometic Society Winter Meetings 2020, Minnesota Macro Asset Pricing conference 2017, FMA Conference on Derivatives and Volatility 2017, Unversity of Conneticut Risk Management Conference 2017, Arizona Jr Finance Conference 2020, Notre Dame, University of Muenster (Germany), University of Michigan, London Business School, City University of Hong Kong, University of Toronto
We show empirically that negative stock market returns are significantly more painful to investors when they occur in periods of low volatility, which is reflected in a steeper pricing kernel. This fact is inconsistent with prominent explanations for the level and predictability of stock market returns.
Presentations (including coauthor presentations): Arizona State, Stockholm School of Economics, McGill, Princeton, Carnegie Mellon University, Goethe University, University of Oregon, Virtual Derivatives Workshop, EFA 2022, CICF 2022, SoFIE annual conference 2022, BI-SHoF Conference 2022, Junior European Finance Seminar 2022, 2022 FMA Conference on Derivatives and Volatility, MFA 2023
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
Tails, Fears, and Equilibrium Option Prices (JMP)
A consumption-based asset pricing model with multifractal volatility in consumption growth. The model rationalizes the fact that excess returns are predictable at different frequencies by different predictors.
Presentations: SFS Cavalcade 2016, ESSFM Gerzensee 2016, Northwestern University, Duke University, Carnegie Mellon University Arizona State University, University of British Columbia, Penn State University, Georgetown University, HEC