Purifying the Equity Premium
The equity premium has conventionally been defined as the return on stocks minus the return on bills. We decompose this conventional definition into...
Equity Valuation Without DCF
We introduce discounted alpha - a novel framework for equity valuation. By correcting market prices rather than discounting long-horizon cash flows...
The Day Destroys the Night, Night Extends the Day: A Clientele Perspective on Equity Premium Variation
We provide a powerful new predictor of the equity premium: Smoothed past overnight market returns strongly negatively forecast the quarterly close-to...
Scale or Yield? A Present-Value Identity
We propose a loglinear present-value identity in which investment ("scale"), profitability ("yield"), and discount rates determine a firm’s market-to...
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Scale or Yield? A Present-Value Identity
The Review of Financial Studies, 37(3), 950–988
Putting the Price in Asset Pricing
We propose a novel way to estimate a portfolio’s abnormal price, the percentage gap between price and the present value of dividends computed with a...
Long-Horizon Investing in a Non-CAPM World
We study dynamic portfolio choice in a calibrated equilibrium model where value and momentum anomalies arise because capital slowly moves from under-...
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Ripples into waves: Trade networks, economic activity, and asset prices
Journal of Financial Economics, 145(1), 217-238
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Comomentum: Inferring Arbitrage Activity from Return Correlations
The Review of Financial Studies, 35(7), 3272–3302
A tug of war: Overnight versus intraday expected returns
Journal of Financial Economics, 134 (1), 192-213.
A Tug of War: Overnight Versus Intraday Expected Returns
We decompose the abnormal profits associated with well-known patterns in the cross-section of expected returns into their overnight and intraday...
The Booms and Busts of Beta Arbitrage
Historically, low-beta stocks deliver high average returns and low risk relative to high-beta stocks, offering a potentially profitable investment...
