Linear Approximations and Tests of Conditional Asset Pricing Models with David A. Chapman. Last revised May 2014.
Optimal Asset Allocation in Asset Liability Management with Jules H. van Binsbergen. Last revised April 2014.
Realized and Anticipated Macroeconomic Conditions Forecast Stock Returns with Alessandro Beber and Maurizio Luisi. Last revised March 2014.
Eurozone Sovereign Yield Spreads and Diverging Economic Fundamentals with Alessandro Beber and Maurizio Luisi. Last revised September 2013.
Ownership Crowded with Style: Institutional Investors, Liquidity and Liquidity Risk with Alessandro Beber, Mathijs Cosemans, and Michela Verardo. Last revised February 2013.
Asset Allocation and Managerial Assumptions in Corporate Pension Plans with Jawad M. Addoum and Jules H. van Binsbergen. Last revised June 2010.
Measuring the Time-Varying Risk-Return Relation from the Cross-Section of Equity Returns with Leping Wang. Last revised June 2010.
Consumption and Portfolio Choice with Option Implied State Prices with Yacine Ait-Sahalia. Last revised November 2007.
Cash-Flow Risk, Discount-Rate Risk, and the Time-Varying Market Risk Premium with Xing Jin and Leping Wang. Last revised August 2007.
Simulated Likelihood Estimation of Affine Term Structure Models from Panel Data with Ping He. Last revised August 2006.
Time-Consistent No-Arbitrage Models of the Term Structure with Amir Yaron. Last revised February 2003.
Comparing Multifactor Models of the Term Structure with David A. Chapman. Last revised October 2002.