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-...
Research highlight
Ripples into waves: Trade networks, economic activity, and asset prices
Journal of Financial Economics, 145(1), 217-238
Research highlight
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...
Connected Stocks
By connecting stocks through common active mutual fund ownership, we forecast cross-sectional variation in return covariance, controlling for...
Best ideas
This paper provides powerful evidence that mutual fund managers can pick stocks that outperform the market. Many have argued that the inability of...
