Working Papers
A Half Century of Female and Male Earnings Risk: Evidence from Millions of Individuals (WP) w/ Turner
A Conditional Factor Model of Corporate Bond Returns (WP) w/ Kelly and Palhares
Instrumented Principal Component Analysis (WP) w/ Kelly and Su
Articles
11. Understanding Momentum and Reversal (JFE forth) w/ Kelly and Moskowitz
10. Earnings Risk in the Household: Evidence from Millions of U.S. Tax Returns (AERI 2020) w/ Turner
- Article
- SSRN
- Code and Data
- Coverage: ASUNow
9. Characteristics are Covariances: A Unified Model of Risk and Return (JFE 2019) w/ Kelly and Su)
- Lead Article
- Winner of the 2019 Best Paper in JFE, Fama/DFA Prize (First Place)
- Winner of 2018 Best Paper, Red Rocks Finance Conference
- SSRN
- Code and Data
- Coverage: ASUNow 2, ASUNow 1
8. The Liquidity Effects of Official Bond Market Intervention (JFQA 2018) w/ DePooter and Martin
7. Estimating Monetary Policy Rules When Nominal Interest Rates Are Stuck at Zero (JMCB 2017) w/ Kim
6. Systemic Risk and the Macroeconomy: An Empirical Evaluation (JFE 2016) w/ Giglio and Kelly
3. Market Expectations in the Cross Section of Present Values (JF 2013) w/ Kelly
- Lead Article
- Winner of 2012 AQR Insight Award First Prize
- Awarded Q Group 2011 Research Grant
- SSRN
- Code
- Data
2. Uncertainty over Models and Data: The Rise and Fall of American Inflation (JMCB 2012)
1. Estimating the Market-Perceived Monetary Policy Rule (AEJMacro 2011) w/ Hamilton and Borger
