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What Drives Risky Investments Lower Around Retirement?
I solve the life-cycle portfolio allocation problem of a disappointment averse (DA) agent. DA agents overweight disappointing outcomes. Unlike expected utility investors, DA investors drastically cutExpand
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Pre-earnings announcement returns and momentum
Abstract The trading strategy of buying winners and selling losers based on returns prior to earnings announcements is profitable with mean returns of 0.58%–0.64% per month. The equal-weightedExpand
Life-Cycle Portfolio Allocation for Disappointment Averse Agents
I solve the life-cycle portfolio allocation problem of a disappointment averse (DA) agent with labor income risk. DA preferences overweight disappointing outcomes and are consistent with behaviorExpand
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Disappointment Aversion and Income Risk: Implications for Portfolio Allocation
I solve the life-cycle portfolio allocation problem of a disappointing averse (DA) agent. Unlike expected utility investors, the risky allocations relate positively with income risk over later phaseExpand
Internet Appendix to "What drives risky investments lower around retirement?"
This document contains supplemental materials for the paper, “What drives risky investments lower around retirement?” These include numerical method for solving life-cycle problem of a disappointmentExpand
Information in the Term Structure for the Conditional Volatility of One Year Bond Returns
The term structure of interest rates captures a significant amount of the time variation in the conditional volatility of 1-year excess returns of bonds of 2- to 5-year maturity. A single linearExpand
What Drives Risky Investments Lower at Retirement?
I solve the life-cycle portfolio allocation problem of a disappointment averse (DA) agent with labor income risk. DA preferences overweight disappointing outcomes and are consistent with behaviorExpand
What Explains pre-FOMC Drift?