Research
Publications
"Estimation with mixed data frequencies: A bias-correction approach," (with O. Linton). Journal of Empirical Finance 74 (2023), 1-20.
“What Information Drives Asset Prices?,” (with G. Constantinides). The Review of Asset Pricing Studies Volume 11 (2021), 837–885.
"Asset Pricing With Countercyclical Household Consumption Risk,” (with G. Constantinides). Journal of Finance 72 (2017), 415-460.
“What is the Consumption-CAPM Missing? An Information-Theoretic Framework for the Analysis of Asset Pricing Models,” (with C. Julliard and A. Taylor). Review of Financial Studies 30 (2017), 442-504.
“Can Rare Events Explain the Equity Premium Puzzle?,” (with C. Julliard). Review of Financial Studies 25 (2012), 3037-3076.
“Asset Pricing Tests with Long Run Risks in Consumption Growth,” (with G. Constantinides). Review of Asset Pricing Studies 1 (2011), 96-136.
Working Papers
“The Market Price of Business Cycle Fluctuations,” (with C. Julliard and M. Stutzer). R&R at Management Science.
“Identifying Beliefs From Asset Prices,” (with G. Roussellet). R&R at Review of Financial Studies.
"Recovering Heterogeneous Beliefs and Preferences From Asset Prices," (with A. Korteweg and Q. Xu). Revision requested from the Journal of Finance.
“An Information-Theoretic Asset Pricing Model,” (with C. Julliard and A. Taylor). R&R at Journal of Financial Econometrics.
"Properties of Subjective Beliefs Estimators," (with T. Otsu and G. Roussellet).
"Consumption Partial Insurance in the Presence of Tail Income Risk," (with A. Theloudis).
Older Working Papers
“Income Versus Consumption Inequality: The Role of Time-Varying Higher Moments."