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...
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...
Comomentum: Inferring Arbitrage Activity from Return Correlations
We propose a novel measure of arbitrage activity to examine whether arbitrageurs can have a destabilizing effect in the stock market. We apply our...
Stock prices under pressure: How tax and interest rates drive returns at the turn of the tax year
We show that the level of interest rates determines the magnitude of mispricing at the turn of the tax year, as investors face the trade-off between...
