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Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns
This paper investigates nonlinear pricing kernels in which the risk factor is endogenously determined and preferences restrict the definition of the pricing kernel. These kernels potentially generateExpand
Quadratic Term Structure Models: Theory and Evidence
This article theoretically explores the characteristics underpinning quadratic term structure models (QTSMs), which designate the yield on a bond as a quadratic function of underlying stateExpand
Consumption, Dividends, and the Cross-Section of Equity Returns
We show that aggregate consumption risks embodied in cash flows can account for the puzzling differences in risk premia across book-to-market, momentum, and size-sorted portfolios. The dynamics ofExpand
Ex Ante Skewness and Expected Stock Returns
We use a sample of option prices, and the method of Bakshi, Kapadia and Madan (2003), to estimate the ex ante higher moments of the underlying individual securities’ risk-neutral returnsExpand
Cointegration and Consumption Risks in Asset Returns
We argue that the cointegrating relation between dividends and consumption, a measure of long-run consumption risks, is a key determinant of risk premia at all investment horizons. As the investmentExpand
Risk Adjustment and Trading Strategies
We assess the profitability of momentum strategies using a stochastic discount factor approach. In unconditional tests, approximately half of the strategies' profitability is explained. InExpand
The timing of financing decisions: An examination of the correlation in financing waves
Why do corporate financing events occur in waves? We challenge recent evidence of the importance of valuation cycles in driving financing waves by documenting that the aggregate pattern of stockExpand
Stock Repurchase Waves: An Explanation of the Trends in Aggregate Corporate Payout Policy
The use of stock repurchases has fluctuated dramatically over the last two decades: Aggregate repurchases peaked in 1999, when the use of repurchases came close to surpassing the use of dividends,Expand
Nonlinear Pricing Kernels, Kurtosis Preference, and the Cross-Section of Equity Returns
This paper investigates nonlinear pricing kernels in which the risk factor is endogenously determined and preferences restrict the definition of the pricing kernel. These kernels potentially generateExpand
Basis Assets
This paper proposes a new method to form basis assets with which to represent investors' opportunity sets and evaluate the goodness-of-fit of asset pricing models. We use return correlations to formExpand
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