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Selected Recent Publications

• Risk Preferences and the Announcement Premium

(with Hengjie Ai forthcoming Econometrica 2018)

• An Empirical Evaluation of the Long-Run Risks Model for Asset Prices

(with Dana Kiku, Amir Yaron, Journal of Monetary Economics 2016)

• Volatility, the Macroeconomy and Asset prices

(with Kiku, Shaliastovich, Yaron, Journal of Finance 2014)

• A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets

(with Ivan Shaliastovich, Review of Financial Studies 2012)

• An Empirical Evaluation of the Long-Run Risks Model for Asset Prices

(with Kiku, Shaliastovich, Yaron, Critical Finance Review 2012)

• Learning and Asset Price Jumps

(with Ivan Shaliastovich , Review of Financial Studies 2011)

• Confidence Risk and Asset Prices

(with Ivan Shaliastovich, American Economic Review p&p 2010)

• Long Run Risks, the Macroeconomy, and Asset Prices

(with Dana Kiku and Amir Yaron, American Economic Review p&p 2010)

• Cointegration and Long-Run Asset Allocation
  (with Dana Kiku, Journal of Business and Economics Statistics, 2011)
• Cointegration and Consumption Risks in Asset Returns

(with Robert Dittmar and Dana Kiku, Review of Financial Studies 2009)

• Rational Pessimism, Rational Exuberance, and Asset Pricing Models
  (with Ron Gallant and George Tauchen, Review of Economic Studies 2007)

• Long Run Risks and Financial Markets
  (The Review of the St. Louis Federal Reserve Bank 2007)

Discussion by Tom Sargent

• Long Run Risks and Risk Compensation in Equity Markets
  (Handbook of the Equity Risk Premium. ed. by Rajnish Mehra 2008)

Discussion by John Heaton

• Consumption, Dividends, and the Cross-Section of Equity Returns
  (with Bob Dittmar and Chris Lundblad, Journal of Finance, 2005 )
• Interpretable Asset Markets?
  (with Varoujan  Khatchatrian and Amir Yaron, European Economic Review 2005)
• Risks For The Long Run: A Potential Resolution of Asset Pricing Puzzles
  (with Amir Yaron, Journal of Finance-----Winner of the 2004 Smith-Breeden Paper Award given by the American Finance Association and the Journal of Finance)
• Term Structure of Interest Rates with Regime Shifts
  (with Hao Zhou, Oct 2002, Journal of Finance )
• The Forward Premium Puzzle: Different Tales from Developed and Emerging Markets
  (with Magnus Dahlquist, July 2000, Journal of International Economics-----winner of the 1999 CBOT best paper award presented by the Western Finance Association)

Growth-Optimal (Entropy) Papers and the in-demand addendum

• Addendum to Growth Optimal Portfolio paper that derives decomposition of SDF into permanent and transitory components (1994)
• Growth-optimal paper (Entropy Bounds)

(with Bruce Lehmann, 1997, Macroeconomic Dynamics)

Liquidity Papers

• Endogenous Liquidity Supply

(with John Coleman and Chris Lundblad 2011) which builds on my earlier paper

• A Monetary Explanation of the Equity Premium, Term Premium, and Risk-Free Rate Puzzles

(with John Coleman, 1996, Journal of Political Economy)

Climate Change Papers

• Price of Climate Change in Capital Markets

(with Dana Kiku and Marcelo Ochoa 2017 (revised 2017))

• Climate Change and Growth Risks

(with Dana Kiku and Marcelo Ochoa 2015)

• Welfare Costs of Long-Run Temperature Shifts

(with Marcelo Ochoa 2011)

Current Working Papers

• Is the Term Structure of Equity Risk premia Upward Sloping?

(with Shane Miller and Amir Yaron 2017)

• Is Socially Responsible Investing a Luxury Good?

(with Di Wu and Amir Yaron 2017)

• What Explains Sectoral Wealth Share Dynamics?

(with Colin Ward and Amir Yaron 2017)

• Endogenous Liquidity Supply

(with John Coleman and Chris Lundblad 2011)

• The Asset Pricing-Macro Nexus and Return-Cash Flow Predictability
  (with Amir Yaron 2007)

• A Note on the Economics and Statistics of Predictability: A Long Run Risks Perspective

(with Dana Kiku and Amir Yaron 2007)

• Equity Capital: A Puzzle?
  (with Ed Fang and Amir Yaron 2006 )
• Dynamic Trading Strategies and Portfolio Choice
  (with Magnus Dahlquist  and Campbell Harvey)
• Expropriation Risk and Return in Global Capital Markets
  (with Magnus Dahlquist)
• Interpreting Risk Premia Across, Size, Value and Industry Portfolios
  (with Bob Dittmar and Chris Lundblad)