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...
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...
A tug of war: Overnight versus intraday expected returns
Journal of Financial Economics, 134 (1), 192-213.
Information Acquisition with Heterogeneous Valuations
We study the market for a risky asset with heterogeneous valuations. Agents seek to learn about their own valuation by acquiring private information...
Clients’ Connections
We propose a new measure of private information in decentralised markets – connections – defined as the number of dealers with whom a client trades in...
The Efficient IPO Market Hypothesis: Theory and Evidence
We derive the optimal underwriting method and the quantitative IPO pricing rule that this method implies in a market with informational frictions...
Bank Resolution and the Structure of Global Banks
The Review of Financial Studies, 32(6), 2384–2421.
Sentiment and speculation in a market with heterogeneous beliefs
We present a dynamic model featuring risk-averse investors with heterogeneous beliefs. Individual investors have stable beliefs and risk aversion, but...
