We show that the momentum and long-term reversal effects are explained by a conditional factor pricing model. [SSRN]
Category: working paper
Instrumented Principal Component Analysis (WP) w/ Kelly and Su
Factor estimation using instrumental data to capture both cross-sectional and time-series variation in factor loadings [SSRN]
The Pseudo-Information Filter (WP)
The pseudo-information filter offers significant computational advantages over the Kalman filter when the data are high-dimensional. [draft]
Markup Variation and Endogenous Fluctuations in the Price of Investment Goods (WP) w/ Floetotto and Jaimovich
The price of investment goods relative to consumptions goods is driven by both exogenous technology shocks and endogenous markup fluctuations due to changes in the relative competitive environment. [draft]
