Research
Articles
- A Skeptical Appraisal of Asset Pricing Tests (with Jonathan Lewellen and Jay Shanken),
Journal of Financial Economics, forthcoming.
- Inexperienced Investors and Bubbles (with Robin Greenwood)
Journal of Financial Economics, forthcoming.
[New York Times 7/4/2008]
- Carry Trades and Currency Crashes (with Markus Brunnermeier and Lasse Pedersen),
NBER Macroeconomics Annual 2008.
-
Do Wealth Fluctuations Generate Time-Varying Risk Aversion? Micro-Evidence on Individuals' Asset Allocation (with Markus Brunnermeier), American Economic Review, June 2008.
- The Effect of Dividends on Consumption (with Malcolm Baker and Jeffrey Wurgler),
Brookings Papers on Economic Activity, Spring 2007.
- The Conditional CAPM Does Not Explain Asset Pricing Anomalies (with Jonathan Lewellen),
Journal of Financial Economics, November 2006.
Winner of the Fama/DFA prize for the best paper (asset pricing) in the JFE in 2006
- Short Sales, Institutional Investors, and the Cross-Section of Stock Returns,
Journal of Financial Economics, November 2005.
- Hedge Funds and the Technology Bubble (with Markus Brunnermeier),
Journal of Finance, October 2004.
[New York Times 4/28/2005]
[Die Zeit
5/25/2005]
Winner of the Smith-Breeden Prize for the best paper in the Journal of Finance 2004
- Capturing the Value Premium in the UK (with Elroy Dimson and Garrett Quigley),
Financial Analysts Journal, Nov/Dec 2003. [link to data]
Working Papers
Book Chapters
- Seeking Out Investment Value in Styles (with Elroy Dimson), in: Mastering Investment, FT Pitman Publishing, 2002, and Financial Times, March 2001.
