Image
Department of Finance, LSE
Professor of Finance
Tel
+44 (0)20 7955 4917
Email
Finance Faculty
Publications
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...
DP 905
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...
DP 897
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-...
DP 864
Ripples into waves: Trade networks, economic activity, and asset prices
Journal of Financial Economics, 145(1), 217-238
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.