School

Research Interest

Publications

[1] Variance Risk in Aggregate Stock Returns and Time-varying Return Predictability, 2019, Journal of Financial Economics

Link to the published version of the paper
The betas and the VRPs used in the main section of the paper have been updated to 2019. It can be found here.

[2] Consumption growth persistence and the stock-bond correlation   with Christopher Jones (USC Marshall), Forthcoming, Journal of Financial and Quantitative Analysis


Working Papers

[3] Stock-Bond Dynamics and the Expected Country Stock Returns  


[4] Trade Competition and International Stock Returns  with Johan Sulaeman (National University of Singapore), paper to be updated soon


[5] Return Extrapolation and Day/Night Effects  with Christopher Jones (USC Marshall) and Tong Wang (Oklahoma)


[6] Variance Risk Premium in Individual Stocks and the Exposure to Factor Variance Risk  


[7] Implied Variance and Market Index Reversal  with Christopher Jones (USC Marshall) and Tong Wang (Oklahoma)



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