The Post-communist Transition at 30
In the 30 years since the fall of communism, the countries of the former Soviet bloc and Yugoslavia have undergone tremendous change. Income per...
Information Dispersion Across Employees and Stock Returns
Rank-and-file employees are becoming increasingly critical for many firms, yet we know little about how their employment dynamics matter for stock...
Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models
We propose a novel, and simple, Bayesian estimation and model selection procedure for crosssectional asset pricing. Our approach, that allows for both...
Consumption in Asset Returns
Consumption dynamics are hard to measure accurately in the data, yet they are the crucial ingredient of macro-finance asset pricing models. The...
Sell in May and Go Away in the Equity Index Futures Markets, 1993-2019
The period May 1 to the turn of the month of November (-6 trading day of October) has historically produced negligible returns. The rest of the year...
Banks and government bonds: A love story
European banks have been criticised for holding too much domestic government debt during the recent euro area crisis, intensifying the doom loop...
Exchanges of innovation resources inside venture capital portfolios
Journal of Financial Economics, 135 (1), 144-168
Dollars or Pence? Choosing a framework for US-China trade
Given that China is a strategic and economic rival to the US, the Trump administration’s framework for US-China trade makes far more sense than one...
Systemic consequences of outsourcing to the cloud
Financial institutions are increasingly outsourcing information technology to the cloud, motivated by efficiency, security, and cost. This column...
Longterm decision making under the threat of earthquakes?
Under the threat of earthquakes, long-term policy makers need tools to optimally decide on the economic trajectories that will maximize the society...
Strategic news releases in equity vesting months
The Review of Financial Studies, 31 (11), 4099-4141
